Strategy Zoo / S1551

PriceMomentum_V1551

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.184 -> 0.3; changed ret_20d threshold 0.3 -> 0.3

Fitness

0.6202

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

PriceMomentum_V1003S1003 · gen 46ARCHIVEDparameter

entry from PriceMomentum_V0640, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1551  [hybrid]
if flat and ret_20d > 0.3:
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.5%	76.6%	13.9%	28.1%
Total Return	315.8%	450.5%	63.2%	3745.8%
Sharpe	0.89	1.48	0.62	0.98
Sortino	0.61	1.25	0.37	0.66
Calmar	0.65	2.27	0.46	0.83
Volatility	22.9%	45.3%	26.6%	29.7%
Max DD	-29.9%	-33.7%	-30.0%	-33.7%
Win Rate	71.4%	57.1%	66.7%	65.0%
Avg Win	37.3%	61.1%	15.9%	42.2%
Avg Loss	-9.9%	-3.6%	-4.4%	-5.6%
Payoff	3.78	10.00	3.58	7.49
Expectancy	23.8%	33.4%	9.1%	25.4%
Profit Factor	9.45	10.00	7.16	10.00
Trades	7	7	6	20
Avg Holding Days	38.9	37.9	28.5	37.7
Turnover	1.9	4.7	3.2	2.7
Exposure	15.4%	34.1%	17.4%	19.8%

Growth of $100

PriceMomentum_V1551 vs TSLA Buy & Hold

PriceMomentum_V1551 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	19.1%	1.33	-9.3%	1
2017	0.0%	0.00	0.0%	0
2018	-19.3%	-1.10	-21.8%	2
2019	27.4%	1.74	-8.5%	0
2020	322.7%	2.41	-33.7%	3
2021	32.5%	1.16	-17.6%	2
2022	-5.6%	-0.20	-18.8%	2

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	21.5%	1.51	3%
hidden test	EXPENSIVE	83	4.9%	0.14	48%
hidden test	EXTREME	48	183.4%	3.26	67%
hidden test	HIGH VOLATILITY	254	19.0%	0.47	30%
hidden test	LOW VOLATILITY	443	29.1%	2.17	8%
hidden test	MEDIUM VOLATILITY	251	-7.8%	-0.29	21%
hidden test	NORMAL	817	8.0%	0.35	11%
hidden test	SIDEWAYS	298	-11.3%	-0.54	8%
hidden test	UPTREND	371	35.4%	0.98	35%
train	DOWNTREND	518	3.0%	0.56	2%
train	EXPENSIVE	311	12.0%	0.41	27%
train	EXTREME	100	335.9%	4.69	75%
train	HIGH VOLATILITY	699	38.8%	1.21	20%
train	LOW VOLATILITY	745	16.0%	1.18	12%
train	MEDIUM VOLATILITY	568	3.5%	0.19	13%
train	NORMAL	1,601	2.3%	0.19	9%
train	SIDEWAYS	592	0.7%	0.08	5%
train	UPTREND	902	43.3%	1.31	30%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	44.1%	0.85	49%
validation	EXTREME	144	293.2%	3.60	89%
validation	HIGH VOLATILITY	258	79.8%	1.24	41%
validation	LOW VOLATILITY	183	14.1%	0.99	10%
validation	MEDIUM VOLATILITY	315	87.6%	2.32	42%
validation	NORMAL	474	5.2%	0.25	13%
validation	SIDEWAYS	206	10.3%	0.45	16%
validation	UPTREND	425	114.5%	1.97	53%

Trades (full period)

20 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-22	2025-10-23	$434.21	$448.98	2.82%	24
2025-05-14	2025-06-12	$347.68	$319.11	-2.48%	21
2024-11-11	2025-01-13	$350.00	$403.31	22.65%	42
2024-07-03	2024-08-02	$246.39	$207.67	-6.41%	22
2023-06-05	2023-07-24	$217.61	$269.06	21.28%	34
2023-01-27	2023-03-08	$177.90	$182.00	16.90%	28
2022-08-01	2022-08-29	$297.28	$284.82	-3.24%	21
2022-03-24	2022-04-21	$337.97	$336.26	-2.39%	20
2021-10-27	2021-12-01	$345.95	$365.00	12.18%	25
2020-11-25	2021-02-09	$191.33	$283.15	55.16%	51
2020-08-21	2020-09-24	$136.67	$129.26	-5.18%	24
2020-04-15	2020-08-10	$48.66	$94.57	104.24%	82
2019-10-28	2020-03-04	$21.85	$49.97	126.75%	88
2018-11-05	2018-12-19	$22.76	$22.20	-2.90%	31
2018-06-19	2018-07-06	$23.50	$20.59	-16.80%	13
2016-03-09	2016-05-03	$13.91	$15.49	19.11%	39
2014-02-11	2014-03-26	$13.11	$14.20	11.92%	31
2013-07-15	2013-10-22	$8.48	$11.44	32.60%	71
2013-04-19	2013-06-26	$3.19	$7.05	117.58%	48
2012-02-14	2012-04-10	$2.21	$2.16	5.07%	39