Strategy Zoo / S1568

PriceMomentum_V1568

ARCHIVEDhybrid

structuraladded exit filter: vol_60 < 0.9813

Fitness
0.4200
Generation
72
Complexity
34
Created
2026-10-14

Lineage

Parents (1)
PriceMomentum_V1315S1315 · gen 60ELITEstructural

added entry filter: close > ema_20

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1568  [hybrid]
if flat and (((ret_20d > 0.184 and breakout_20 == 1) or (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) 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 close > ema_20):
    position = 1.0
if long and (macd_hist < 0.0 or vol_60 < 0.9813):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR6.6%50.2%0.3%12.5%
Total Return66.6%238.9%1.0%469.8%
Sharpe0.381.290.130.57
Sortino0.381.480.120.58
Calmar0.171.840.010.31
Volatility24.2%36.7%24.5%27.3%
Max DD-39.3%-27.2%-40.8%-40.8%
Win Rate50.6%54.9%50.0%51.5%
Avg Win2.4%3.7%2.8%2.8%
Avg Loss-2.0%-2.7%-2.7%-2.3%
Payoff1.151.371.051.19
Expectancy0.2%0.8%0.1%0.3%
Profit Factor1.181.671.051.26
Trades411175172759
Avg Holding Days2.02.12.02.0
Turnover103.1116.791.7103.0
Exposure20.5%26.6%18.2%21.2%

Growth of $100

PriceMomentum_V1568 vs TSLA Buy & Hold
PriceMomentum_V1568 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
YearCAGRSharpeMax DDTrades
201618.9%1.59-4.1%31
2017-3.0%-0.14-10.9%57
20187.5%0.44-15.7%41
201912.5%0.64-20.2%39
2020170.7%2.07-18.9%82
202126.3%1.14-13.2%65
2022-4.3%-0.12-20.8%27

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2797.2%0.3713%
hidden testEXPENSIVE83103.7%2.5425%
hidden testEXTREME4889.2%3.0325%
hidden testHIGH VOLATILITY2542.1%0.0620%
hidden testLOW VOLATILITY44311.1%0.6218%
hidden testMEDIUM VOLATILITY251-9.4%-0.4316%
hidden testNORMAL817-12.0%-0.5517%
hidden testSIDEWAYS298-28.4%-1.3220%
hidden testUPTREND37125.7%0.8621%
trainDOWNTREND518-11.3%-0.749%
trainEXPENSIVE31112.4%0.4732%
trainEXTREME100199.0%3.3948%
trainHIGH VOLATILITY69915.6%0.4720%
trainLOW VOLATILITY7456.5%0.4123%
trainMEDIUM VOLATILITY5685.0%0.2517%
trainNORMAL1,601-3.2%-0.1616%
trainSIDEWAYS59213.9%0.7920%
trainUPTREND90218.0%0.5827%
validationDOWNTREND12529.7%1.435%
validationEXPENSIVE13826.8%0.7332%
validationEXTREME144208.3%3.1553%
validationHIGH VOLATILITY25844.9%0.9327%
validationLOW VOLATILITY1837.4%0.4226%
validationMEDIUM VOLATILITY31572.5%2.1627%
validationNORMAL4744.4%0.2217%
validationSIDEWAYS206-1.3%-0.0620%
validationUPTREND42576.1%1.6836%

Trades (full period)

latest 100 of 760
EntryExitEntry PxExit PxReturnDays
2026-10-13———-0.10%1OPEN
2026-10-092026-10-12$382.70$378.031.85%2
2026-10-072026-10-08$377.81$375.00-0.95%2
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-042026-09-08$354.08$368.16-6.12%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-042025-11-05$444.26$462.07-5.34%2
2025-10-022025-10-03$436.00$429.83-5.30%2
2025-09-302025-10-01$444.72$459.460.14%2
2025-09-262025-09-29$440.40$443.213.81%2
2025-09-242025-09-25$442.79$423.393.77%2
2025-09-222025-09-23$434.21$425.851.71%2
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-05-142025-05-15$347.68$342.823.87%2
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2
2024-11-082024-11-11$321.22$350.007.98%2
2024-11-062024-11-07$288.53$296.9114.54%2
2024-11-042024-11-05$242.84$251.44-2.66%2
2024-10-312024-11-01$249.85$248.98-3.19%2
2024-10-292024-10-30$259.52$257.55-1.34%2
2024-10-252024-10-28$269.19$262.513.14%2
2024-10-032024-10-04$240.66$250.08-3.55%2
2024-10-012024-10-02$258.02$249.02-1.58%2
2024-09-272024-09-30$260.46$261.632.25%2
2024-09-252024-09-26$257.02$254.220.88%2
2024-09-232024-09-24$250.00$254.274.73%2
2024-09-192024-09-20$243.92$238.257.15%2
2024-09-172024-09-18$227.87$227.200.28%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.67%2
2024-09-062024-09-09$210.73$216.27-8.64%2
2024-08-262024-08-27$213.21$209.21-3.42%2