Strategy Zoo / S1612
PriceMomentum_V1612
ARCHIVEDhybridstructuralremoved entry condition: ((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 > -0.0774) 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))
Fitness
0.4521
Generation
74
Complexity
2
Created
2026-10-15
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1612 [hybrid]
if flat and close > ema_20:
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.6% | 62.7% | 7.2% | 19.5% |
| Total Return | 139.7% | 331.1% | 30.0% | 1283.1% |
| Sharpe | 0.48 | 1.20 | 0.37 | 0.64 |
| Sortino | 0.58 | 1.52 | 0.47 | 0.79 |
| Calmar | 0.18 | 1.46 | 0.15 | 0.31 |
| Volatility | 36.9% | 51.4% | 39.5% | 40.9% |
| Max DD | -63.4% | -43.1% | -48.7% | -63.4% |
| Win Rate | 41.8% | 48.2% | 32.2% | 41.0% |
| Avg Win | 6.7% | 9.6% | 10.6% | 8.4% |
| Avg Loss | -3.4% | -4.2% | -3.8% | -3.6% |
| Payoff | 2.00 | 2.28 | 2.81 | 2.32 |
| Expectancy | 0.9% | 2.5% | 0.8% | 1.3% |
| Profit Factor | 1.43 | 2.12 | 1.33 | 1.61 |
| Trades | 201 | 85 | 87 | 373 |
| Avg Holding Days | 6.7 | 6.1 | 6.9 | 6.6 |
| Turnover | 50.5 | 56.7 | 46.5 | 50.6 |
| Exposure | 57.1% | 57.0% | 54.9% | 56.5% |
Growth of $100
PriceMomentum_V1612 vs TSLA Buy & Hold
PriceMomentum_V1612 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 | 22.1% | 0.97 | -23.6% | 15 |
| 2017 | 0.7% | 0.15 | -29.1% | 30 |
| 2018 | -27.3% | -0.58 | -38.4% | 20 |
| 2019 | 7.3% | 0.38 | -33.6% | 19 |
| 2020 | 393.7% | 2.69 | -33.2% | 37 |
| 2021 | 23.9% | 0.74 | -27.8% | 31 |
| 2022 | -38.4% | -1.02 | -40.4% | 16 |
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 | 12.8% | 0.30 | 55% |
| hidden test | EXPENSIVE | 83 | 44.3% | 0.92 | 64% |
| hidden test | EXTREME | 48 | 124.4% | 2.59 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 37.1% | 0.69 | 61% |
| hidden test | LOW VOLATILITY | 445 | 39.1% | 1.33 | 53% |
| hidden test | MEDIUM VOLATILITY | 250 | -51.5% | -1.35 | 53% |
| hidden test | NORMAL | 818 | 5.2% | 0.14 | 54% |
| hidden test | SIDEWAYS | 300 | -11.0% | -0.33 | 55% |
| hidden test | UPTREND | 371 | 36.9% | 0.89 | 54% |
| train | DOWNTREND | 518 | -20.6% | -0.65 | 47% |
| train | EXPENSIVE | 311 | 45.7% | 1.25 | 66% |
| train | EXTREME | 100 | 351.8% | 4.92 | 84% |
| train | HIGH VOLATILITY | 699 | 44.8% | 0.92 | 59% |
| train | LOW VOLATILITY | 745 | 20.6% | 0.79 | 61% |
| train | MEDIUM VOLATILITY | 568 | -19.7% | -0.62 | 50% |
| train | NORMAL | 1,601 | -8.7% | -0.26 | 54% |
| train | SIDEWAYS | 592 | 6.8% | 0.20 | 60% |
| train | UPTREND | 902 | 46.7% | 1.13 | 61% |
| validation | DOWNTREND | 125 | -25.3% | -0.60 | 43% |
| validation | EXPENSIVE | 138 | 32.5% | 0.70 | 54% |
| validation | EXTREME | 144 | 303.2% | 3.76 | 78% |
| validation | HIGH VOLATILITY | 258 | 50.3% | 0.73 | 55% |
| validation | LOW VOLATILITY | 183 | 19.6% | 0.72 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 95.7% | 2.10 | 57% |
| validation | NORMAL | 474 | -3.0% | -0.08 | 51% |
| validation | SIDEWAYS | 206 | -4.9% | -0.13 | 51% |
| validation | UPTREND | 425 | 119.7% | 2.03 | 64% |
Trades (full period)
latest 100 of 374
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -3.65% | 6 | OPEN |
| 2026-10-05 | 2026-10-06 | $378.73 | $380.68 | 1.99% | 2 | |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-08-14 | 2026-09-17 | $342.27 | $366.20 | 5.12% | 24 | |
| 2026-06-30 | 2026-07-15 | $420.60 | $394.46 | -3.99% | 11 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2026-03-12 | 2026-03-16 | $395.01 | $395.56 | -4.27% | 3 | |
| 2026-02-12 | 2026-02-24 | $417.07 | $409.38 | -6.83% | 8 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 7.54% | 22 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-07-17 | 2025-08-01 | $319.41 | $302.63 | -4.36% | 12 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.10% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-25 | 2025-06-03 | $284.95 | $344.27 | 31.80% | 27 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-03-25 | 2025-04-09 | $288.14 | $272.20 | -20.46% | 12 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-03 | 2024-10-04 | $210.60 | $250.08 | 12.17% | 24 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-01 | 2024-08-02 | $216.86 | $207.67 | -6.75% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.72% | 2 | |
| 2024-06-07 | 2024-06-10 | $177.48 | $173.79 | -0.46% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -1.06% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-04-25 | 2024-05-30 | $170.18 | $178.79 | 8.46% | 25 | |
| 2024-03-28 | 2024-04-17 | $175.79 | $155.45 | -12.81% | 14 | |
| 2024-02-16 | 2024-03-07 | $199.95 | $178.65 | -12.10% | 14 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-14 | 2023-12-14 | $237.41 | $251.05 | 6.76% | 22 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.58% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-08 | 2023-06-27 | $171.79 | $250.21 | 41.46% | 35 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-01-18 | 2023-02-23 | $128.78 | $202.07 | 52.45% | 26 | |
| 2022-12-01 | 2022-12-14 | $194.70 | $156.80 | -17.50% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-09-09 | 2022-09-12 | $299.68 | $304.42 | 3.40% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-06-03 | 2022-08-12 | $234.52 | $300.03 | 10.72% | 49 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -8.52% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 |