Strategy Zoo / S1529
PriceMomentum_V1529
ARCHIVEDhybridstructuraladded exit filter: sma_50_slope < 0.0034
Fitness
0.5495
Generation
70
Complexity
28
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.085 -> 0.1653
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1529 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1653) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.2357) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close):
position = 1.0
if long and (macd_hist < 0.0 or sma_50_slope < 0.0034):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.7% | 76.7% | 5.5% | 21.1% |
| Total Return | 142.2% | 452.1% | 22.1% | 1581.2% |
| Sharpe | 0.53 | 1.54 | 0.33 | 0.77 |
| Sortino | 0.55 | 1.81 | 0.31 | 0.80 |
| Calmar | 0.31 | 2.58 | 0.14 | 0.55 |
| Volatility | 27.8% | 42.7% | 27.0% | 31.3% |
| Max DD | -37.8% | -29.8% | -38.3% | -38.3% |
| Win Rate | 48.3% | 54.6% | 48.5% | 49.6% |
| Avg Win | 3.0% | 5.3% | 3.2% | 3.7% |
| Avg Loss | -2.1% | -2.5% | -2.5% | -2.3% |
| Payoff | 1.43 | 2.14 | 1.25 | 1.62 |
| Expectancy | 0.4% | 1.8% | 0.2% | 0.7% |
| Profit Factor | 1.33 | 2.57 | 1.18 | 1.60 |
| Trades | 315 | 119 | 136 | 570 |
| Avg Holding Days | 2.7 | 3.3 | 2.6 | 2.8 |
| Turnover | 79.0 | 79.3 | 72.4 | 77.3 |
| Exposure | 26.5% | 35.4% | 22.4% | 27.3% |
Growth of $100
PriceMomentum_V1529 vs TSLA Buy & Hold
PriceMomentum_V1529 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | 18.7% | 1.49 | -6.6% | 29 |
| 2017 | 15.6% | 0.92 | -7.4% | 38 |
| 2018 | -17.7% | -0.69 | -21.2% | 37 |
| 2019 | 26.9% | 1.14 | -20.2% | 26 |
| 2020 | 417.3% | 3.00 | -22.7% | 44 |
| 2021 | 17.3% | 0.67 | -22.9% | 54 |
| 2022 | -20.5% | -0.88 | -25.4% | 20 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 278 | 3.9% | 0.21 | 13% |
| hidden test | EXPENSIVE | 83 | 101.2% | 2.31 | 41% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 8.7% | 0.24 | 25% |
| hidden test | LOW VOLATILITY | 443 | 26.3% | 1.28 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.7% | -0.85 | 22% |
| hidden test | NORMAL | 816 | -7.4% | -0.32 | 20% |
| hidden test | SIDEWAYS | 298 | -18.1% | -0.80 | 22% |
| hidden test | UPTREND | 371 | 34.4% | 1.00 | 30% |
| train | DOWNTREND | 518 | -11.3% | -0.74 | 9% |
| train | EXPENSIVE | 311 | 22.5% | 0.69 | 46% |
| train | EXTREME | 100 | 329.9% | 4.63 | 82% |
| train | HIGH VOLATILITY | 699 | 25.0% | 0.65 | 28% |
| train | LOW VOLATILITY | 745 | 9.0% | 0.50 | 29% |
| train | MEDIUM VOLATILITY | 568 | 10.1% | 0.44 | 21% |
| train | NORMAL | 1,601 | -6.3% | -0.31 | 19% |
| train | SIDEWAYS | 592 | 6.4% | 0.33 | 22% |
| train | UPTREND | 902 | 35.4% | 0.97 | 40% |
| validation | DOWNTREND | 125 | 29.7% | 1.43 | 5% |
| validation | EXPENSIVE | 138 | 27.8% | 0.66 | 45% |
| validation | EXTREME | 144 | 310.9% | 4.30 | 69% |
| validation | HIGH VOLATILITY | 258 | 80.2% | 1.39 | 34% |
| validation | LOW VOLATILITY | 183 | 16.9% | 0.86 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 82.8% | 2.18 | 38% |
| validation | NORMAL | 474 | 2.6% | 0.10 | 22% |
| validation | SIDEWAYS | 206 | -26.5% | -1.22 | 21% |
| validation | UPTREND | 425 | 121.4% | 2.27 | 51% |
Trades (full period)
latest 100 of 570
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.85% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.95% | 2 | |
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-29 | 2025-12-30 | $459.64 | $454.43 | -3.47% | 2 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-12 | 2025-12-15 | $458.96 | $475.31 | 2.50% | 2 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-18 | 2025-10-06 | $416.85 | $453.25 | 0.73% | 13 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-20 | 2025-06-03 | $343.82 | $344.27 | -0.02% | 10 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-11-06 | 2024-11-29 | $288.53 | $345.16 | 32.15% | 17 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.66% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-08-26 | 2024-08-30 | $213.21 | $214.11 | -6.56% | 5 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-08 | 2024-05-09 | $174.72 | $171.97 | -1.94% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.22% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.41% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.78% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 |