Strategy Zoo / S1588
PriceMomentum_V1588
ARCHIVEDhybridstructuralreplaced exit rule with: sma_20 < close
Fitness
0.2110
Generation
73
Complexity
14
Created
2026-10-14
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1588 [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 > -0.1997)) or ret_20d > 0.184):
position = 1.0
if long and sma_20 < close:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.6% | 16.3% | 5.5% | 4.4% |
| Total Return | -4.5% | 57.3% | 22.4% | 88.8% |
| Sharpe | 0.08 | 0.62 | 0.33 | 0.30 |
| Sortino | 0.08 | 0.69 | 0.34 | 0.29 |
| Calmar | -0.01 | 0.48 | 0.24 | 0.09 |
| Volatility | 22.1% | 33.2% | 27.7% | 26.2% |
| Max DD | -48.4% | -34.3% | -23.2% | -48.4% |
| Win Rate | 52.5% | 57.8% | 55.2% | 54.5% |
| Avg Win | 1.7% | 2.3% | 2.2% | 2.0% |
| Avg Loss | -1.8% | -2.4% | -2.3% | -2.1% |
| Payoff | 0.93 | 0.96 | 0.95 | 0.96 |
| Expectancy | 0.0% | 0.3% | 0.2% | 0.1% |
| Profit Factor | 1.03 | 1.31 | 1.17 | 1.15 |
| Trades | 362 | 180 | 154 | 697 |
| Avg Holding Days | 2.7 | 2.8 | 2.8 | 2.8 |
| Turnover | 72.5 | 98.8 | 67.4 | 76.7 |
| Exposure | 24.6% | 33.2% | 23.9% | 26.2% |
Growth of $100
PriceMomentum_V1588 vs TSLA Buy & Hold
PriceMomentum_V1588 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 | -13.3% | -0.68 | -27.5% | 27 |
| 2017 | 3.4% | 0.26 | -16.6% | 59 |
| 2018 | 0.9% | 0.15 | -16.2% | 36 |
| 2019 | 6.1% | 0.46 | -10.6% | 28 |
| 2020 | 120.4% | 2.27 | -27.1% | 89 |
| 2021 | -5.0% | -0.03 | -32.2% | 64 |
| 2022 | -25.1% | -0.76 | -28.9% | 26 |
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 | -0.6% | -0.05 | 8% |
| hidden test | EXPENSIVE | 83 | 140.8% | 2.88 | 29% |
| hidden test | EXTREME | 48 | 32.8% | 1.04 | 23% |
| hidden test | HIGH VOLATILITY | 254 | 22.7% | 0.70 | 16% |
| hidden test | LOW VOLATILITY | 443 | 6.5% | 0.29 | 28% |
| hidden test | MEDIUM VOLATILITY | 251 | 0.1% | 0.00 | 25% |
| hidden test | NORMAL | 817 | -5.6% | -0.23 | 24% |
| hidden test | SIDEWAYS | 298 | -9.4% | -0.35 | 27% |
| hidden test | UPTREND | 371 | 31.4% | 0.88 | 33% |
| train | DOWNTREND | 518 | 1.9% | 0.19 | 7% |
| train | EXPENSIVE | 311 | 15.1% | 0.56 | 34% |
| train | EXTREME | 100 | 113.9% | 3.38 | 29% |
| train | HIGH VOLATILITY | 699 | 13.8% | 0.59 | 14% |
| train | LOW VOLATILITY | 745 | -1.3% | -0.07 | 32% |
| train | MEDIUM VOLATILITY | 568 | -8.6% | -0.35 | 28% |
| train | NORMAL | 1,601 | -7.7% | -0.39 | 22% |
| train | SIDEWAYS | 592 | -15.4% | -0.83 | 21% |
| train | UPTREND | 902 | 13.2% | 0.47 | 38% |
| validation | DOWNTREND | 125 | 5.0% | 0.32 | 12% |
| validation | EXPENSIVE | 138 | 33.0% | 0.87 | 41% |
| validation | EXTREME | 144 | 119.7% | 3.35 | 30% |
| validation | HIGH VOLATILITY | 258 | 12.1% | 0.33 | 21% |
| validation | LOW VOLATILITY | 183 | 30.5% | 1.30 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 21.9% | 0.63 | 39% |
| validation | NORMAL | 474 | -13.1% | -0.43 | 32% |
| validation | SIDEWAYS | 206 | -49.8% | -1.37 | 41% |
| validation | UPTREND | 425 | 59.4% | 1.69 | 35% |
Trades (full period)
latest 100 of 697
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.74% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-06-01 | 2026-06-30 | $415.88 | $420.60 | -5.69% | 21 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-30 | 2026-01-23 | $454.43 | $449.06 | -2.43% | 17 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-28 | $433.72 | $460.55 | 0.56% | 3 | |
| 2025-10-10 | 2025-10-14 | $413.49 | $429.24 | -0.12% | 3 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-06-04 | 2025-06-24 | $332.05 | $340.47 | -10.15% | 14 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 0.77% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 1.59% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 1.19% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -0.80% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -1.47% | 2 | |
| 2025-04-10 | 2025-04-25 | $252.40 | $284.95 | -1.81% | 11 | |
| 2024-12-31 | 2025-01-16 | $403.84 | $413.82 | 1.21% | 11 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -2.11% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 2.93% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.10% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.11% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -0.73% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.71% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.37% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 0.80% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 1.17% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.14% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.59% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 2 | |
| 2024-10-10 | 2024-10-25 | $238.77 | $269.19 | 7.84% | 12 | |
| 2024-10-07 | 2024-10-09 | $240.83 | $241.05 | -2.43% | 3 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -1.03% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.00% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.27% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-25 | 2024-08-19 | $220.25 | $222.72 | 0.26% | 18 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.92% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -1.73% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -1.37% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 0.65% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-28 | $173.74 | $176.75 | -0.25% | 3 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 2.65% | 2 |