Strategy Zoo / S1590
PriceMomentum_V1590
ARCHIVEDhybridstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.7393
Generation
73
Complexity
15
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V1590 [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 > -0.1083 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 *= 0.57Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.2% | 80.5% | 8.5% | 25.7% |
| Total Return | 255.9% | 488.5% | 35.8% | 2827.2% |
| Sharpe | 0.84 | 2.23 | 0.46 | 1.08 |
| Sortino | 0.79 | 2.89 | 0.40 | 1.07 |
| Calmar | 0.48 | 5.44 | 0.29 | 0.72 |
| Volatility | 21.8% | 28.2% | 24.2% | 23.9% |
| Max DD | -35.9% | -14.8% | -29.4% | -35.9% |
| Win Rate | 45.5% | 66.7% | 30.0% | 45.6% |
| Avg Win | 13.9% | 23.9% | 16.6% | 19.1% |
| Avg Loss | -4.1% | -4.3% | -3.9% | -4.1% |
| Payoff | 3.39 | 5.59 | 4.22 | 4.71 |
| Expectancy | 4.1% | 14.5% | 2.2% | 6.5% |
| Profit Factor | 2.83 | 10.00 | 1.81 | 3.94 |
| Trades | 33 | 15 | 20 | 68 |
| Avg Holding Days | 25.5 | 28.7 | 19.7 | 25.2 |
| Turnover | 8.8 | 7.8 | 9.4 | 8.7 |
| Exposure | 30.4% | 34.7% | 27.8% | 30.6% |
Growth of $100
PriceMomentum_V1590 vs TSLA Buy & Hold
PriceMomentum_V1590 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 | 3.9% | 0.41 | -8.7% | 2 |
| 2017 | -2.1% | -0.00 | -24.3% | 7 |
| 2018 | -12.8% | -1.03 | -17.3% | 6 |
| 2019 | 28.9% | 1.32 | -14.3% | 1 |
| 2020 | 217.5% | 3.38 | -14.8% | 6 |
| 2021 | 68.6% | 2.07 | -11.8% | 5 |
| 2022 | 7.3% | 0.48 | -9.0% | 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 | 51.7% | 1.59 | 44% |
| hidden test | EXTREME | 48 | 83.1% | 2.49 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 4.3% | 0.20 | 19% |
| hidden test | LOW VOLATILITY | 443 | 52.4% | 2.18 | 35% |
| hidden test | MEDIUM VOLATILITY | 251 | -55.0% | -2.07 | 25% |
| hidden test | NORMAL | 817 | 2.7% | 0.12 | 26% |
| hidden test | SIDEWAYS | 298 | 1.2% | 0.05 | 30% |
| hidden test | UPTREND | 371 | 30.4% | 1.00 | 35% |
| train | DOWNTREND | 518 | 3.5% | 0.33 | 8% |
| train | EXPENSIVE | 311 | 31.5% | 1.17 | 47% |
| train | EXTREME | 100 | 184.5% | 5.25 | 49% |
| train | HIGH VOLATILITY | 699 | 19.8% | 0.93 | 16% |
| train | LOW VOLATILITY | 745 | 39.8% | 1.69 | 51% |
| train | MEDIUM VOLATILITY | 568 | -11.9% | -0.61 | 22% |
| train | NORMAL | 1,601 | 5.3% | 0.28 | 26% |
| train | SIDEWAYS | 592 | -3.0% | -0.17 | 21% |
| train | UPTREND | 902 | 40.7% | 1.45 | 49% |
| validation | DOWNTREND | 125 | 34.4% | 2.10 | 7% |
| validation | EXPENSIVE | 138 | 55.2% | 1.78 | 36% |
| validation | EXTREME | 144 | 183.6% | 4.67 | 44% |
| validation | HIGH VOLATILITY | 258 | 45.4% | 1.55 | 21% |
| validation | LOW VOLATILITY | 183 | 54.5% | 2.17 | 59% |
| validation | MEDIUM VOLATILITY | 315 | 82.5% | 2.83 | 32% |
| validation | NORMAL | 474 | 28.7% | 1.28 | 31% |
| validation | SIDEWAYS | 206 | 7.4% | 0.38 | 30% |
| validation | UPTREND | 425 | 98.5% | 2.91 | 45% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -5.26% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -3.97% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.57% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.05% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 26.08% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 5.82% | 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 | 15.75% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.62% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -1.48% | 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 | -7.61% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 44.71% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 5.49% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 13.82% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 3.68% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -8.71% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 51.27% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -5.89% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.01% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 39.83% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.93% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -2.41% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.23% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 11.85% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 60.41% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 92.55% | 89 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 1.94% | 26 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.54% | 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 | -3.88% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -2.70% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.23% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.74% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.23% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.49% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.27% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.17% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 4.34% | 41 | |
| 2017-01-04 | 2017-02-28 | $15.13 | $16.67 | 15.19% | 38 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-03-07 | 2016-05-03 | $13.69 | $15.49 | 7.08% | 41 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -0.80% | 19 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.69% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.18% | 2 | |
| 2015-04-14 | 2015-07-27 | $13.83 | $16.87 | 29.70% | 73 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -5.41% | 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 | -1.97% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 16.13% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.43% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 24.38% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 75.04% | 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 | -4.10% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 3.55% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 11.08% | 47 |