Strategy Zoo / S1553
PriceMomentum_V1553
ELITEhybridparameterchanged cumret_252d threshold -0.1997 -> 0.0852
Fitness
0.7782
Generation
71
Complexity
14
Created
2026-10-14
Lineage
Parents (1)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Children (6)
Strategy Logic (pseudocode)
# PriceMomentum_V1553 [hybrid]
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > 0.0852)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.6% | 113.9% | 3.6% | 27.7% |
| Total Return | 219.0% | 878.9% | 14.1% | 3569.3% |
| Sharpe | 0.71 | 2.25 | 0.27 | 1.00 |
| Sortino | 0.63 | 2.81 | 0.23 | 0.96 |
| Calmar | 0.40 | 5.75 | 0.11 | 0.70 |
| Volatility | 24.6% | 36.8% | 27.9% | 28.4% |
| Max DD | -39.4% | -19.8% | -33.0% | -39.4% |
| Win Rate | 46.9% | 71.4% | 30.0% | 47.0% |
| Avg Win | 13.5% | 32.2% | 15.1% | 21.4% |
| Avg Loss | -4.8% | -6.5% | -4.5% | -4.9% |
| Payoff | 2.81 | 4.96 | 3.35 | 4.38 |
| Expectancy | 3.8% | 21.1% | 1.4% | 7.5% |
| Profit Factor | 2.48 | 10.00 | 1.43 | 3.88 |
| Trades | 32 | 14 | 20 | 66 |
| Avg Holding Days | 25.2 | 30.3 | 19.6 | 25.3 |
| Turnover | 9.2 | 10.1 | 10.3 | 9.6 |
| Exposure | 33.4% | 44.0% | 32.2% | 35.3% |
Growth of $100
PriceMomentum_V1553 vs TSLA Buy & Hold
PriceMomentum_V1553 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 | 9.0% | 0.69 | -11.7% | 2 |
| 2017 | 0.7% | 0.15 | -29.0% | 7 |
| 2018 | -11.8% | -0.79 | -16.0% | 5 |
| 2019 | 29.1% | 1.32 | -14.3% | 1 |
| 2020 | 369.5% | 3.63 | -14.9% | 6 |
| 2021 | 70.6% | 1.67 | -18.2% | 5 |
| 2022 | 17.4% | 0.75 | -14.8% | 3 |
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 | -4.6% | -0.27 | 17% |
| hidden test | EXPENSIVE | 83 | 53.8% | 1.37 | 58% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -4.8% | -0.17 | 19% |
| hidden test | LOW VOLATILITY | 443 | 54.8% | 2.25 | 36% |
| hidden test | MEDIUM VOLATILITY | 251 | -63.8% | -1.93 | 39% |
| hidden test | NORMAL | 817 | -2.3% | -0.09 | 29% |
| hidden test | SIDEWAYS | 298 | -10.8% | -0.42 | 33% |
| hidden test | UPTREND | 371 | 31.2% | 0.89 | 42% |
| train | DOWNTREND | 518 | -0.9% | -0.11 | 7% |
| train | EXPENSIVE | 311 | 38.1% | 1.11 | 56% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 19.3% | 0.78 | 16% |
| train | LOW VOLATILITY | 745 | 35.6% | 1.52 | 50% |
| train | MEDIUM VOLATILITY | 568 | -8.2% | -0.32 | 33% |
| train | NORMAL | 1,601 | 2.2% | 0.11 | 28% |
| train | SIDEWAYS | 592 | -1.5% | -0.08 | 25% |
| train | UPTREND | 902 | 40.7% | 1.26 | 54% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 80.7% | 1.86 | 56% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 57.7% | 1.67 | 22% |
| validation | LOW VOLATILITY | 183 | 53.1% | 2.10 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 120.7% | 2.76 | 53% |
| validation | NORMAL | 474 | 32.3% | 1.10 | 38% |
| validation | SIDEWAYS | 206 | 11.9% | 0.46 | 37% |
| validation | UPTREND | 425 | 128.6% | 2.91 | 58% |
Trades (full period)
66 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 17.66% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | 0.04% | 22 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.15% | 7 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.47% | 34 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 41.88% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.31% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 20.42% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 109.31% | 89 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 2.15% | 26 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2017-01-04 | 2017-02-28 | $15.13 | $16.67 | 13.25% | 38 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 12.31% | 40 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.67% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-28 | 2015-07-27 | $15.37 | $16.87 | 14.39% | 63 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.74% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 25.41% | 80 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 67.77% | 64 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -5.11% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -4.74% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 4.63% | 47 |