Strategy Zoo / S1609
PriceMomentum_V1609
ARCHIVEDhybridstructuralremoved entry condition: (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)); replaced exit rule with: vol_chg > 1.5735
Fitness
0.3548
Generation
74
Complexity
3
Created
2026-10-15
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1609 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and vol_chg > 1.5735:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.7% | 37.0% | -0.5% | 9.6% |
| Total Return | 56.1% | 157.0% | -1.9% | 285.0% |
| Sharpe | 0.37 | 0.91 | 0.20 | 0.44 |
| Sortino | 0.26 | 1.20 | 0.27 | 0.45 |
| Calmar | 0.14 | 0.51 | -0.01 | 0.13 |
| Volatility | 21.1% | 46.0% | 43.1% | 33.9% |
| Max DD | -39.8% | -72.0% | -52.6% | -74.8% |
| Win Rate | 69.4% | 76.9% | 50.0% | 67.3% |
| Avg Win | 7.1% | 24.4% | 18.7% | 12.0% |
| Avg Loss | -10.3% | -10.6% | -15.4% | -13.0% |
| Payoff | 0.69 | 2.32 | 1.22 | 0.92 |
| Expectancy | 1.8% | 16.4% | 1.7% | 3.8% |
| Profit Factor | 1.58 | 7.72 | 1.22 | 1.90 |
| Trades | 36 | 13 | 6 | 55 |
| Avg Holding Days | 16.0 | 36.8 | 127.7 | 35.2 |
| Turnover | 7.8 | 12.3 | 5.4 | 8.0 |
| Exposure | 21.8% | 62.3% | 70.1% | 42.4% |
Growth of $100
PriceMomentum_V1609 vs TSLA Buy & Hold
PriceMomentum_V1609 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 | -11.0% | -0.67 | -24.8% | 4 |
| 2017 | -7.6% | -0.36 | -25.4% | 4 |
| 2018 | 6.6% | 0.72 | -5.7% | 3 |
| 2019 | 2.2% | 0.22 | -14.4% | 5 |
| 2020 | 402.7% | 3.35 | -30.5% | 8 |
| 2021 | 28.0% | 0.79 | -34.5% | 4 |
| 2022 | -61.8% | -2.15 | -68.3% | 1 |
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 | 11.3% | 0.31 | 53% |
| hidden test | EXPENSIVE | 83 | 61.5% | 1.05 | 79% |
| hidden test | EXTREME | 48 | 76.4% | 1.90 | 55% |
| hidden test | HIGH VOLATILITY | 254 | 31.4% | 0.74 | 29% |
| hidden test | LOW VOLATILITY | 445 | 11.4% | 0.29 | 87% |
| hidden test | MEDIUM VOLATILITY | 250 | -18.8% | -0.37 | 83% |
| hidden test | NORMAL | 818 | -0.5% | -0.01 | 70% |
| hidden test | SIDEWAYS | 300 | -43.8% | -0.97 | 82% |
| hidden test | UPTREND | 371 | 49.4% | 1.08 | 73% |
| train | DOWNTREND | 518 | 3.2% | 0.35 | 5% |
| train | EXPENSIVE | 311 | 6.9% | 0.21 | 34% |
| train | EXTREME | 100 | 164.3% | 4.37 | 55% |
| train | HIGH VOLATILITY | 699 | 12.4% | 0.57 | 11% |
| train | LOW VOLATILITY | 745 | 13.5% | 0.72 | 35% |
| train | MEDIUM VOLATILITY | 568 | -5.3% | -0.23 | 18% |
| train | NORMAL | 1,601 | -1.8% | -0.11 | 17% |
| train | SIDEWAYS | 592 | -14.4% | -0.75 | 10% |
| train | UPTREND | 902 | 25.0% | 0.94 | 39% |
| validation | DOWNTREND | 125 | -122.5% | -2.90 | 41% |
| validation | EXPENSIVE | 138 | 92.7% | 1.78 | 79% |
| validation | EXTREME | 144 | 246.7% | 4.74 | 54% |
| validation | HIGH VOLATILITY | 258 | 59.2% | 1.31 | 30% |
| validation | LOW VOLATILITY | 183 | 57.4% | 1.59 | 98% |
| validation | MEDIUM VOLATILITY | 315 | 19.0% | 0.37 | 68% |
| validation | NORMAL | 474 | -34.9% | -0.85 | 60% |
| validation | SIDEWAYS | 206 | -21.5% | -0.53 | 64% |
| validation | UPTREND | 425 | 121.2% | 2.48 | 67% |
Trades (full period)
55 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-16 | 2026-07-24 | $421.62 | $313.03 | -22.99% | 215 | |
| 2025-05-08 | 2025-06-06 | $284.82 | $295.14 | -7.05% | 21 | |
| 2024-11-12 | 2025-02-26 | $328.49 | $290.80 | -16.04% | 71 | |
| 2024-11-07 | 2024-11-11 | $296.91 | $350.00 | 4.50% | 3 | |
| 2024-07-05 | 2024-10-25 | $251.52 | $269.19 | 11.74% | 80 | |
| 2022-07-29 | 2024-07-03 | $297.15 | $246.39 | -42.13% | 485 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2021-10-29 | 2021-12-06 | $371.33 | $336.34 | -12.53% | 26 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-04-07 | 2021-10-26 | $223.66 | $339.48 | 50.57% | 142 | |
| 2020-12-22 | 2021-02-24 | $213.45 | $247.34 | 7.32% | 43 | |
| 2020-11-24 | 2020-12-21 | $185.13 | $216.62 | 32.92% | 19 | |
| 2020-08-19 | 2020-11-19 | $125.24 | $166.42 | 32.31% | 66 | |
| 2020-07-02 | 2020-08-13 | $80.58 | $108.07 | 25.10% | 30 | |
| 2020-02-07 | 2020-07-01 | $49.87 | $74.64 | 41.99% | 101 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -7.12% | 2 | |
| 2020-01-15 | 2020-02-04 | $34.57 | $59.14 | 29.39% | 14 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 8.82% | 3 | |
| 2019-12-24 | 2020-01-09 | $28.35 | $32.09 | 17.16% | 11 | |
| 2019-11-11 | 2019-11-25 | $23.01 | $22.42 | -4.32% | 11 | |
| 2019-10-31 | 2019-11-08 | $20.99 | $22.48 | 2.56% | 7 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -1.52% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 3.81% | 2 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2018-11-02 | 2018-12-10 | $23.09 | $24.34 | 7.30% | 25 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.41% | 2 | |
| 2018-06-14 | 2018-07-03 | $23.85 | $20.72 | -1.11% | 14 | |
| 2017-06-14 | 2017-07-07 | $25.38 | $20.88 | -15.16% | 17 | |
| 2017-04-04 | 2017-05-05 | $20.25 | $20.56 | -3.20% | 23 | |
| 2017-02-15 | 2017-02-24 | $18.65 | $17.13 | -9.08% | 7 | |
| 2017-01-04 | 2017-02-10 | $15.13 | $17.95 | 23.82% | 27 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -12.89% | 29 | |
| 2016-04-08 | 2016-05-05 | $16.67 | $14.10 | -13.64% | 20 | |
| 2016-04-05 | 2016-04-07 | $17.03 | $17.15 | 7.25% | 3 | |
| 2016-03-08 | 2016-04-04 | $13.51 | $16.47 | 10.36% | 19 | |
| 2015-09-23 | 2015-10-21 | $17.40 | $14.01 | -18.52% | 21 | |
| 2015-04-28 | 2015-07-22 | $15.37 | $17.86 | 14.98% | 60 | |
| 2014-08-14 | 2014-09-05 | $17.43 | $18.49 | 9.67% | 16 | |
| 2014-02-27 | 2014-05-09 | $16.84 | $12.15 | -26.51% | 51 | |
| 2014-02-25 | 2014-02-26 | $16.53 | $16.87 | 13.73% | 2 | |
| 2014-01-22 | 2014-02-21 | $11.90 | $13.97 | 11.98% | 22 | |
| 2013-12-18 | 2014-01-15 | $9.87 | $10.94 | 6.65% | 19 | |
| 2013-08-28 | 2013-10-04 | $11.10 | $12.07 | 3.59% | 27 | |
| 2013-08-09 | 2013-08-27 | $10.20 | $11.13 | 2.85% | 13 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 4.88% | 14 | |
| 2013-05-31 | 2013-07-17 | $6.52 | $8.02 | 5.46% | 33 | |
| 2013-05-15 | 2013-05-30 | $5.66 | $7.00 | 10.19% | 11 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 5.81% | 2 | |
| 2013-04-15 | 2013-05-10 | $2.89 | $5.12 | 22.22% | 20 | |
| 2013-04-02 | 2013-04-03 | $2.96 | $2.74 | 0.30% | 2 | |
| 2012-12-04 | 2012-12-13 | $2.26 | $2.24 | 1.64% | 8 | |
| 2012-11-21 | 2012-12-03 | $2.16 | $2.31 | 2.28% | 8 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-17 | 2012-03-12 | $2.33 | $2.40 | 1.44% | 16 | |
| 2012-02-14 | 2012-02-16 | $2.21 | $2.28 | 3.31% | 3 |