Strategy Zoo / S1546
PriceMomentum_V1546
ARCHIVEDhybridstructuraladded entry filter: sma_200 > roll_low_50
Fitness
0.5982
Generation
71
Complexity
27
Created
2026-10-14
Lineage
Parents (1)
changed cumret_252d threshold 1.1509 -> 1.5; changed cumret_252d threshold -0.1997 -> 0.3073
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1546 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1653) and cumret_252d > 1.5 and cumret_252d > 0.3073 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 and sma_200 > roll_low_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.5% | 57.1% | 21.5% | 25.4% |
| Total Return | 238.7% | 287.8% | 108.3% | 2715.6% |
| Sharpe | 0.69 | 1.47 | 0.83 | 0.92 |
| Sortino | 0.61 | 1.23 | 0.76 | 0.80 |
| Calmar | 0.44 | 3.32 | 0.77 | 0.68 |
| Volatility | 27.3% | 34.9% | 28.3% | 29.2% |
| Max DD | -37.2% | -17.2% | -27.8% | -37.2% |
| Win Rate | 49.1% | 50.0% | 34.8% | 46.0% |
| Avg Win | 10.8% | 18.8% | 19.5% | 14.9% |
| Avg Loss | -5.4% | -1.9% | -4.2% | -4.5% |
| Payoff | 1.99 | 9.72 | 4.63 | 3.34 |
| Expectancy | 2.5% | 8.4% | 4.0% | 4.4% |
| Profit Factor | 1.92 | 9.72 | 2.47 | 2.84 |
| Trades | 57 | 20 | 23 | 100 |
| Avg Holding Days | 10.9 | 11.8 | 13.7 | 11.8 |
| Turnover | 14.4 | 13.3 | 12.5 | 13.6 |
| Exposure | 28.7% | 28.4% | 31.2% | 29.3% |
Growth of $100
PriceMomentum_V1546 vs TSLA Buy & Hold
PriceMomentum_V1546 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 | 26.5% | 1.47 | -12.2% | 5 |
| 2017 | 13.6% | 1.19 | -7.7% | 3 |
| 2018 | -2.9% | 0.04 | -23.3% | 8 |
| 2019 | 19.8% | 0.69 | -28.9% | 6 |
| 2020 | 155.9% | 2.20 | -17.2% | 9 |
| 2021 | 26.6% | 1.00 | -16.8% | 7 |
| 2022 | 19.3% | 0.84 | -17.0% | 4 |
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 | 279 | 14.5% | 0.60 | 27% |
| hidden test | EXPENSIVE | 83 | 59.2% | 2.00 | 30% |
| hidden test | EXTREME | 48 | 57.3% | 1.75 | 23% |
| hidden test | HIGH VOLATILITY | 254 | 13.5% | 0.39 | 31% |
| hidden test | LOW VOLATILITY | 443 | 53.2% | 2.27 | 31% |
| hidden test | MEDIUM VOLATILITY | 251 | -18.8% | -0.65 | 31% |
| hidden test | NORMAL | 817 | 17.9% | 0.64 | 32% |
| hidden test | SIDEWAYS | 298 | 5.0% | 0.18 | 39% |
| hidden test | UPTREND | 371 | 45.1% | 1.47 | 28% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 53.4% | 2.25 | 26% |
| train | EXTREME | 100 | 139.6% | 2.28 | 28% |
| train | HIGH VOLATILITY | 699 | 35.3% | 0.96 | 26% |
| train | LOW VOLATILITY | 745 | 27.9% | 1.46 | 35% |
| train | MEDIUM VOLATILITY | 568 | -13.1% | -0.59 | 23% |
| train | NORMAL | 1,601 | 4.7% | 0.19 | 29% |
| train | SIDEWAYS | 592 | 13.6% | 0.50 | 38% |
| train | UPTREND | 902 | 38.0% | 1.21 | 29% |
| validation | DOWNTREND | 125 | 34.7% | 1.58 | 13% |
| validation | EXPENSIVE | 138 | 21.5% | 1.15 | 9% |
| validation | EXTREME | 144 | 164.4% | 2.71 | 47% |
| validation | HIGH VOLATILITY | 258 | 43.6% | 0.99 | 18% |
| validation | LOW VOLATILITY | 183 | 29.5% | 1.18 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 70.0% | 2.24 | 24% |
| validation | NORMAL | 474 | 25.4% | 0.95 | 28% |
| validation | SIDEWAYS | 206 | 17.2% | 0.61 | 31% |
| validation | UPTREND | 425 | 72.5% | 1.79 | 32% |
Trades (full period)
latest 100 of 101
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.80% | 5 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-05-28 | 2021-07-12 | $208.41 | $228.57 | 3.93% | 30 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -10.98% | 3 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 13.92% | 19 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 25.53% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 | |
| 2015-12-18 | 2016-01-06 | $15.36 | $14.60 | -4.46% | 12 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -5.68% | 12 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.81% | 13 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 8.14% | 28 | |
| 2014-03-19 | 2014-03-20 | $15.72 | $15.66 | -1.95% | 2 | |
| 2014-03-14 | 2014-03-17 | $15.40 | $15.60 | -3.07% | 2 | |
| 2014-03-12 | 2014-03-13 | $16.10 | $15.85 | 2.82% | 2 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-02-07 | 2014-02-10 | $12.44 | $13.10 | 4.36% | 2 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-30 | 2014-01-10 | $10.16 | $9.71 | -2.57% | 9 | |
| 2013-06-27 | 2013-06-28 | $7.28 | $7.16 | 3.14% | 2 | |
| 2013-06-25 | 2013-06-26 | $6.83 | $7.05 | 0.70% | 2 | |
| 2013-06-21 | 2013-06-24 | $6.64 | $6.77 | -1.29% | 2 | |
| 2013-06-19 | 2013-06-20 | $6.98 | $6.71 | 1.05% | 2 | |
| 2013-06-17 | 2013-06-18 | $6.81 | $6.89 | 1.69% | 2 | |
| 2013-06-13 | 2013-06-14 | $6.55 | $6.69 | 0.26% | 2 | |
| 2013-06-11 | 2013-06-12 | $6.30 | $6.52 | -5.77% | 2 | |
| 2013-06-07 | 2013-06-10 | $6.80 | $6.67 | 4.61% | 2 | |
| 2013-06-05 | 2013-06-06 | $6.36 | $6.49 | 0.36% | 2 | |
| 2013-05-07 | 2013-06-04 | $3.70 | $6.32 | 55.29% | 20 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-11-02 | 2012-12-14 | $1.93 | $2.25 | 14.68% | 30 | |
| 2012-09-17 | 2012-09-26 | $2.17 | $1.84 | -9.16% | 8 | |
| 2012-08-14 | 2012-08-29 | $1.96 | $1.89 | -8.15% | 12 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -2.97% | 7 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 |