Strategy Zoo / S1555
PriceMomentum_V1555
ELITEhybridcrossoverlogic of PriceMomentum_V1342 with risk overlay of PriceMomentum_V1554
Fitness
0.7609
Generation
72
Complexity
15
Created
2026-10-14
Lineage
Parents (2)
changed cumret_252d threshold -0.1997 -> -0.0062
changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (5)
Strategy Logic (pseudocode)
# PriceMomentum_V1555 [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 > -0.0062)) 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 *= 0.41
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.2% | 84.4% | 7.9% | 26.1% |
| Total Return | 254.1% | 526.6% | 33.2% | 2942.1% |
| Sharpe | 0.83 | 2.25 | 0.43 | 1.07 |
| Sortino | 0.78 | 2.91 | 0.38 | 1.07 |
| Calmar | 0.47 | 5.69 | 0.27 | 0.71 |
| Volatility | 22.1% | 29.1% | 24.5% | 24.3% |
| Max DD | -36.6% | -14.8% | -29.8% | -36.6% |
| Win Rate | 45.5% | 66.7% | 30.0% | 45.6% |
| Avg Win | 13.9% | 24.9% | 16.3% | 19.4% |
| Avg Loss | -4.2% | -4.4% | -4.0% | -4.1% |
| Payoff | 3.33 | 5.66 | 4.12 | 4.69 |
| Expectancy | 4.1% | 15.1% | 2.1% | 6.6% |
| Profit Factor | 2.78 | 10.00 | 1.76 | 3.93 |
| Trades | 33 | 15 | 20 | 68 |
| Avg Holding Days | 25.5 | 28.7 | 19.7 | 25.2 |
| Turnover | 8.9 | 8.1 | 9.5 | 8.8 |
| Exposure | 30.9% | 35.9% | 28.3% | 31.3% |
Growth of $100
PriceMomentum_V1555 vs TSLA Buy & Hold
PriceMomentum_V1555 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 | 4.6% | 0.46 | -9.0% | 2 |
| 2017 | -1.7% | 0.02 | -24.8% | 7 |
| 2018 | -13.2% | -1.04 | -17.6% | 6 |
| 2019 | 28.9% | 1.32 | -14.3% | 1 |
| 2020 | 232.6% | 3.43 | -14.8% | 6 |
| 2021 | 69.0% | 2.02 | -11.8% | 5 |
| 2022 | 8.6% | 0.53 | -9.7% | 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 | -4.2% | -0.26 | 15% |
| hidden test | EXPENSIVE | 83 | 51.9% | 1.56 | 45% |
| hidden test | EXTREME | 48 | 84.2% | 2.50 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 3.2% | 0.15 | 19% |
| hidden test | LOW VOLATILITY | 443 | 52.7% | 2.19 | 35% |
| hidden test | MEDIUM VOLATILITY | 251 | -56.0% | -2.06 | 26% |
| hidden test | NORMAL | 817 | 2.1% | 0.09 | 26% |
| hidden test | SIDEWAYS | 298 | -0.2% | -0.01 | 31% |
| hidden test | UPTREND | 371 | 30.5% | 0.99 | 36% |
| train | DOWNTREND | 518 | 3.3% | 0.32 | 8% |
| train | EXPENSIVE | 311 | 32.2% | 1.17 | 48% |
| train | EXTREME | 100 | 186.2% | 5.24 | 50% |
| train | HIGH VOLATILITY | 699 | 19.5% | 0.90 | 16% |
| train | LOW VOLATILITY | 745 | 39.9% | 1.69 | 51% |
| train | MEDIUM VOLATILITY | 568 | -11.6% | -0.57 | 23% |
| train | NORMAL | 1,601 | 5.1% | 0.26 | 26% |
| train | SIDEWAYS | 592 | -2.9% | -0.16 | 22% |
| train | UPTREND | 902 | 40.7% | 1.43 | 50% |
| validation | DOWNTREND | 125 | 35.8% | 2.14 | 7% |
| validation | EXPENSIVE | 138 | 58.2% | 1.80 | 39% |
| validation | EXTREME | 144 | 191.5% | 4.76 | 45% |
| validation | HIGH VOLATILITY | 258 | 46.8% | 1.57 | 21% |
| validation | LOW VOLATILITY | 183 | 54.4% | 2.16 | 59% |
| validation | MEDIUM VOLATILITY | 315 | 87.1% | 2.84 | 35% |
| validation | NORMAL | 474 | 29.2% | 1.26 | 32% |
| validation | SIDEWAYS | 206 | 8.0% | 0.40 | 31% |
| validation | UPTREND | 425 | 102.0% | 2.92 | 47% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -4.99% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -4.31% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.60% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.23% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 26.42% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 4.89% | 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 | 15.98% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.56% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -1.29% | 22 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 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 | -8.26% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 44.38% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 4.95% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 14.69% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 3.96% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -8.54% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 51.14% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -6.41% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.05% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 43.83% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.95% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -2.62% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.27% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 12.83% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 62.31% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 94.46% | 89 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 1.97% | 26 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.57% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -4.16% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -2.94% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.70% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.48% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.45% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.32% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.15% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 5.14% | 41 | |
| 2017-01-04 | 2017-02-28 | $15.13 | $16.67 | 14.96% | 38 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-03-07 | 2016-05-03 | $13.69 | $15.49 | 7.79% | 41 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -1.01% | 19 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.63% | 2 | |
| 2015-04-14 | 2015-07-27 | $13.83 | $16.87 | 29.30% | 73 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -5.29% | 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 | -2.14% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 17.24% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.45% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 24.55% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 74.36% | 65 | |
| 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 | -4.17% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 3.75% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 10.32% | 47 |