Strategy Zoo / S1578
PriceMomentum_V1578
ARCHIVEDhybridcrossoverentry = PriceMomentum_V1003 AND PriceMomentum_V1442
Fitness
0.6879
Generation
73
Complexity
17
Created
2026-10-14
Lineage
Parents (2)
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
added entry filter: vol_chg < 1.2824; swapped indicator ret_20d -> cumret_252d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1578 [hybrid]
if flat and (ret_20d > 0.184 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 cumret_252d > 1.2892) and vol_chg < 1.2824)):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.7% | 101.8% | 5.6% | 29.2% |
| Total Return | 320.9% | 721.6% | 22.6% | 4264.4% |
| Sharpe | 0.82 | 1.73 | 0.34 | 0.97 |
| Sortino | 0.69 | 1.56 | 0.23 | 0.78 |
| Calmar | 0.48 | 3.02 | 0.20 | 0.71 |
| Volatility | 26.0% | 46.9% | 25.3% | 31.3% |
| Max DD | -41.1% | -33.7% | -27.7% | -41.1% |
| Win Rate | 50.0% | 70.0% | 44.4% | 54.3% |
| Avg Win | 31.6% | 43.2% | 15.9% | 34.7% |
| Avg Loss | -7.5% | -3.9% | -7.0% | -6.7% |
| Payoff | 4.20 | 10.00 | 2.27 | 5.20 |
| Expectancy | 12.0% | 29.1% | 3.2% | 15.8% |
| Profit Factor | 4.20 | 10.00 | 1.82 | 6.17 |
| Trades | 16 | 10 | 9 | 35 |
| Avg Holding Days | 32.8 | 29.3 | 22.9 | 30.2 |
| Turnover | 4.1 | 6.7 | 4.8 | 4.7 |
| Exposure | 26.9% | 37.4% | 20.8% | 27.5% |
Growth of $100
PriceMomentum_V1578 vs TSLA Buy & Hold
PriceMomentum_V1578 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 | 17.5% | 1.22 | -9.3% | 1 |
| 2017 | -4.5% | -0.12 | -22.8% | 3 |
| 2018 | -18.8% | -1.06 | -21.3% | 2 |
| 2019 | 19.4% | 1.42 | -8.5% | 0 |
| 2020 | 459.7% | 2.78 | -33.7% | 4 |
| 2021 | 40.2% | 1.22 | -17.6% | 4 |
| 2022 | 0.4% | 0.12 | -14.8% | 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 | 3.9% | 0.43 | 2% |
| hidden test | EXPENSIVE | 83 | 41.7% | 1.07 | 54% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 38.0% | 1.18 | 19% |
| hidden test | LOW VOLATILITY | 443 | 15.3% | 0.81 | 22% |
| hidden test | MEDIUM VOLATILITY | 251 | -32.9% | -1.22 | 20% |
| hidden test | NORMAL | 817 | -5.0% | -0.25 | 15% |
| hidden test | SIDEWAYS | 298 | 3.3% | 0.15 | 19% |
| hidden test | UPTREND | 371 | 16.5% | 0.48 | 36% |
| train | DOWNTREND | 518 | 2.4% | 0.43 | 2% |
| train | EXPENSIVE | 311 | 27.8% | 0.76 | 55% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 40.0% | 1.17 | 25% |
| train | LOW VOLATILITY | 745 | 23.5% | 1.23 | 33% |
| train | MEDIUM VOLATILITY | 568 | -4.7% | -0.21 | 20% |
| train | NORMAL | 1,601 | -1.6% | -0.11 | 17% |
| train | SIDEWAYS | 592 | -10.2% | -0.74 | 11% |
| train | UPTREND | 902 | 52.8% | 1.43 | 52% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 69.5% | 1.32 | 53% |
| validation | EXTREME | 144 | 319.7% | 3.89 | 91% |
| validation | HIGH VOLATILITY | 258 | 99.2% | 1.52 | 43% |
| validation | LOW VOLATILITY | 183 | 20.2% | 1.36 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 102.0% | 2.50 | 47% |
| validation | NORMAL | 474 | 12.2% | 0.51 | 17% |
| validation | SIDEWAYS | 206 | -0.7% | -0.03 | 20% |
| validation | UPTREND | 425 | 141.5% | 2.37 | 56% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-08 | 2025-06-12 | $284.82 | $319.11 | 17.94% | 25 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 32.69% | 43 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -14.51% | 14 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.60% | 7 | |
| 2023-11-29 | 2024-01-08 | $244.14 | $240.45 | -3.93% | 27 | |
| 2023-06-12 | 2023-07-24 | $249.83 | $269.06 | 6.18% | 29 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | 2.36% | 22 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 31.30% | 31 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -7.41% | 6 | |
| 2021-04-07 | 2021-04-12 | $223.66 | $233.99 | -2.31% | 4 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-11-13 | 2020-03-04 | $23.07 | $49.97 | 112.62% | 76 | |
| 2018-11-02 | 2018-12-19 | $23.09 | $22.20 | -2.30% | 32 | |
| 2018-06-19 | 2018-07-06 | $23.50 | $20.59 | -16.80% | 13 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -13.17% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 17.55% | 40 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.67% | 6 | |
| 2015-04-29 | 2015-07-27 | $15.50 | $16.87 | 14.93% | 62 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-15 | 2013-06-26 | $2.89 | $7.05 | 133.59% | 52 | |
| 2012-11-29 | 2012-12-31 | $2.25 | $2.26 | -0.23% | 22 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -10.45% | 4 | |
| 2012-02-14 | 2012-04-10 | $2.21 | $2.16 | 5.07% | 39 |