Strategy Zoo / S1599
PriceMomentum_V1599
ARCHIVEDhybridcrossoverentry from PriceMomentum_V1439, exit from LongTermTrend_V1159
Fitness
0.5951
Generation
74
Complexity
30
Created
2026-10-15
Lineage
Parents (2)
restricted to bubble regimes ['EXPENSIVE', 'EXTREME']
changed dist_sma_50 threshold -0.2357 -> -0.0777
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1599 [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 > -0.0777) 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)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.1% | 117.1% | 9.9% | 30.3% |
| Total Return | 229.0% | 923.4% | 42.8% | 4849.3% |
| Sharpe | 0.57 | 1.68 | 0.44 | 0.82 |
| Sortino | 0.69 | 2.05 | 0.51 | 0.98 |
| Calmar | 0.23 | 3.16 | 0.24 | 0.44 |
| Volatility | 39.2% | 55.2% | 42.2% | 43.7% |
| Max DD | -68.5% | -37.1% | -42.1% | -68.5% |
| Win Rate | 30.3% | 45.5% | 46.7% | 37.3% |
| Avg Win | 52.6% | 89.7% | 20.6% | 57.4% |
| Avg Loss | -10.2% | -8.8% | -10.0% | -9.9% |
| Payoff | 5.16 | 10.00 | 2.07 | 5.79 |
| Expectancy | 8.8% | 36.0% | 4.3% | 15.2% |
| Profit Factor | 2.24 | 8.54 | 1.81 | 3.44 |
| Trades | 33 | 11 | 15 | 59 |
| Avg Holding Days | 38.7 | 46.9 | 37.6 | 41.3 |
| Turnover | 8.4 | 7.3 | 8.2 | 8.1 |
| Exposure | 65.7% | 66.8% | 61.1% | 64.8% |
Growth of $100
PriceMomentum_V1599 vs TSLA Buy & Hold
PriceMomentum_V1599 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 | -15.8% | -0.60 | -37.2% | 4 |
| 2017 | 7.4% | 0.38 | -39.2% | 4 |
| 2018 | -2.4% | 0.13 | -27.1% | 3 |
| 2019 | 21.0% | 0.69 | -35.8% | 4 |
| 2020 | 809.9% | 3.28 | -33.7% | 2 |
| 2021 | 45.5% | 1.12 | -31.0% | 5 |
| 2022 | -35.0% | -1.04 | -34.9% | 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 | 278 | 11.4% | 0.40 | 31% |
| hidden test | EXPENSIVE | 83 | 118.7% | 2.18 | 83% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 24.0% | 0.43 | 61% |
| hidden test | LOW VOLATILITY | 445 | 59.8% | 1.94 | 60% |
| hidden test | MEDIUM VOLATILITY | 250 | -61.1% | -1.39 | 64% |
| hidden test | NORMAL | 818 | -3.1% | -0.08 | 58% |
| hidden test | SIDEWAYS | 300 | -33.2% | -0.79 | 72% |
| hidden test | UPTREND | 371 | 65.3% | 1.31 | 75% |
| train | DOWNTREND | 518 | -12.4% | -0.54 | 32% |
| train | EXPENSIVE | 311 | 68.2% | 1.50 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 50.2% | 1.01 | 56% |
| train | LOW VOLATILITY | 745 | 32.8% | 1.17 | 72% |
| train | MEDIUM VOLATILITY | 568 | -25.1% | -0.68 | 68% |
| train | NORMAL | 1,601 | -10.9% | -0.32 | 60% |
| train | SIDEWAYS | 592 | -10.1% | -0.28 | 60% |
| train | UPTREND | 902 | 64.0% | 1.35 | 89% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 82.6% | 1.34 | 85% |
| validation | EXTREME | 144 | 386.6% | 4.56 | 96% |
| validation | HIGH VOLATILITY | 258 | 127.1% | 1.79 | 55% |
| validation | LOW VOLATILITY | 183 | 38.3% | 1.18 | 85% |
| validation | MEDIUM VOLATILITY | 315 | 96.3% | 1.90 | 66% |
| validation | NORMAL | 474 | 6.5% | 0.17 | 53% |
| validation | SIDEWAYS | 206 | -27.9% | -0.67 | 59% |
| validation | UPTREND | 425 | 167.8% | 2.53 | 87% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | — | $356.09 | — | -0.32% | 31 | OPEN |
| 2026-07-01 | 2026-07-24 | $425.30 | $313.03 | -24.14% | 17 | |
| 2026-04-16 | 2026-06-10 | $388.90 | $381.59 | 1.00% | 39 | |
| 2025-12-04 | 2026-01-16 | $454.53 | $437.50 | -2.02% | 30 | |
| 2025-07-21 | 2025-11-21 | $328.49 | $391.09 | 19.65% | 89 | |
| 2025-04-28 | 2025-07-02 | $285.88 | $315.65 | 5.32% | 46 | |
| 2024-10-25 | 2025-01-17 | $269.19 | $426.50 | 58.56% | 57 | |
| 2024-09-06 | 2024-10-22 | $210.73 | $217.97 | -5.12% | 33 | |
| 2024-08-22 | 2024-08-29 | $210.66 | $206.28 | -8.04% | 6 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2023-11-16 | 2024-01-17 | $233.59 | $215.55 | -9.63% | 41 | |
| 2023-08-30 | 2023-10-20 | $256.90 | $211.99 | -14.59% | 37 | |
| 2023-05-22 | 2023-08-03 | $188.87 | $259.32 | 40.79% | 51 | |
| 2023-03-24 | 2023-04-21 | $190.41 | $165.08 | -15.38% | 20 | |
| 2023-01-27 | 2023-03-10 | $177.90 | $173.44 | 7.69% | 30 | |
| 2022-09-13 | 2022-10-04 | $292.13 | $249.44 | -20.54% | 16 | |
| 2022-07-11 | 2022-09-01 | $234.34 | $277.16 | 9.68% | 39 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-12-28 | 2022-01-25 | $362.82 | $306.13 | -15.16% | 20 | |
| 2021-06-11 | 2021-12-03 | $203.30 | $338.32 | 77.41% | 123 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -3.21% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -1.09% | 2 | |
| 2021-04-06 | 2021-05-11 | $230.54 | $205.73 | -9.16% | 26 | |
| 2020-10-01 | 2021-02-23 | $149.39 | $232.95 | 66.22% | 99 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-11 | 2020-03-05 | $16.47 | $48.30 | 217.58% | 122 | |
| 2019-07-01 | 2019-08-15 | $15.14 | $14.38 | -1.91% | 33 | |
| 2019-03-01 | 2019-03-06 | $19.65 | $18.42 | -13.73% | 4 | |
| 2019-01-16 | 2019-01-24 | $23.07 | $19.43 | -16.67% | 6 | |
| 2019-01-11 | 2019-01-15 | $23.15 | $22.96 | -3.26% | 3 | |
| 2018-10-24 | 2019-01-03 | $19.23 | $20.02 | 5.22% | 48 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-05-10 | 2018-07-16 | $20.33 | $20.67 | 3.71% | 46 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2017-07-27 | 2017-08-01 | $22.30 | $21.30 | -6.12% | 4 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2016-12-14 | 2017-07-07 | $13.25 | $20.88 | 55.55% | 141 | |
| 2016-07-12 | 2016-09-02 | $14.98 | $13.19 | -10.86% | 39 | |
| 2016-06-08 | 2016-06-24 | $15.70 | $12.88 | -15.64% | 13 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-27 | 2016-01-19 | $15.44 | $13.65 | -10.91% | 35 | |
| 2015-09-16 | 2015-10-12 | $17.48 | $14.37 | -13.14% | 19 | |
| 2015-04-07 | 2015-08-12 | $13.55 | $15.88 | 16.64% | 90 | |
| 2015-02-04 | 2015-03-09 | $14.57 | $12.73 | -11.39% | 23 | |
| 2014-11-12 | 2014-12-09 | $16.61 | $14.46 | -14.80% | 19 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-05-22 | 2014-10-01 | $13.66 | $16.02 | 21.43% | 92 | |
| 2014-04-23 | 2014-05-09 | $13.87 | $12.15 | -18.49% | 13 | |
| 2014-04-03 | 2014-04-04 | $15.03 | $14.15 | -2.32% | 2 | |
| 2013-12-13 | 2014-03-26 | $9.84 | $14.20 | 49.18% | 70 | |
| 2013-11-05 | 2013-11-07 | $11.79 | $9.32 | -13.89% | 3 | |
| 2013-03-27 | 2013-10-24 | $2.54 | $11.54 | 333.63% | 148 | |
| 2012-11-02 | 2013-03-20 | $1.93 | $2.40 | 19.69% | 94 | |
| 2012-09-17 | 2012-10-16 | $2.17 | $1.87 | -10.24% | 22 | |
| 2012-08-24 | 2012-09-12 | $1.97 | $1.89 | -9.72% | 13 | |
| 2012-08-14 | 2012-08-15 | $1.96 | $1.96 | -5.81% | 2 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-01-31 | 2012-04-25 | $1.94 | $2.19 | 7.39% | 60 |