Strategy Zoo / S1613
PriceMomentum_V1613
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1766; changed sma_200_slope threshold 0.0 -> 0.0023
Fitness
0.5826
Generation
74
Complexity
15
Created
2026-10-15
Lineage
Parents (1)
reduce exposure to 56% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1613 [hybrid]
if flat and ((ret_20d > 0.1766 and (((close > sma_200 and sma_200_slope > 0.0023) 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 | 11.2% | 52.1% | 5.9% | 17.3% |
| Total Return | 133.0% | 252.0% | 24.3% | 950.0% |
| Sharpe | 0.67 | 1.77 | 0.38 | 0.87 |
| Sortino | 0.51 | 2.01 | 0.28 | 0.72 |
| Calmar | 0.36 | 3.52 | 0.20 | 0.55 |
| Volatility | 18.4% | 25.5% | 21.8% | 20.9% |
| Max DD | -31.2% | -14.8% | -29.8% | -31.2% |
| Win Rate | 50.0% | 58.3% | 38.5% | 48.9% |
| Avg Win | 13.1% | 25.0% | 16.2% | 19.6% |
| Avg Loss | -5.4% | -3.8% | -5.9% | -5.2% |
| Payoff | 2.43 | 6.58 | 2.73 | 3.75 |
| Expectancy | 3.9% | 13.0% | 2.6% | 6.9% |
| Profit Factor | 2.43 | 9.21 | 1.70 | 3.58 |
| Trades | 20 | 12 | 13 | 45 |
| Avg Holding Days | 31.3 | 26.9 | 23.9 | 29.0 |
| Turnover | 5.3 | 6.2 | 7.1 | 5.9 |
| Exposure | 23.1% | 22.9% | 21.6% | 22.7% |
Growth of $100
PriceMomentum_V1613 vs TSLA Buy & Hold
PriceMomentum_V1613 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 | 3.0% | 0.33 | -8.7% | 2 |
| 2017 | 2.1% | 0.21 | -21.1% | 3 |
| 2018 | -10.2% | -1.00 | -15.4% | 3 |
| 2019 | 28.9% | 1.32 | -14.3% | 1 |
| 2020 | 205.2% | 3.34 | -14.8% | 4 |
| 2021 | 23.7% | 1.07 | -11.0% | 5 |
| 2022 | -9.0% | -0.63 | -9.5% | 3 |
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 | 7.6% | 0.67 | 7% |
| hidden test | EXPENSIVE | 83 | 48.2% | 1.78 | 36% |
| hidden test | EXTREME | 48 | 83.1% | 2.49 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 18.7% | 0.92 | 15% |
| hidden test | LOW VOLATILITY | 445 | 30.5% | 1.52 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.3% | -1.65 | 22% |
| hidden test | NORMAL | 818 | -0.3% | -0.01 | 19% |
| hidden test | SIDEWAYS | 300 | -7.1% | -0.37 | 21% |
| hidden test | UPTREND | 371 | 20.9% | 0.73 | 33% |
| train | DOWNTREND | 518 | 5.8% | 0.88 | 3% |
| train | EXPENSIVE | 311 | 20.8% | 0.83 | 36% |
| train | EXTREME | 100 | 164.5% | 4.79 | 48% |
| train | HIGH VOLATILITY | 699 | 11.4% | 0.64 | 14% |
| train | LOW VOLATILITY | 745 | 27.2% | 1.32 | 40% |
| train | MEDIUM VOLATILITY | 568 | -6.2% | -0.40 | 13% |
| train | NORMAL | 1,601 | 1.1% | 0.08 | 19% |
| train | SIDEWAYS | 592 | -13.4% | -1.03 | 9% |
| train | UPTREND | 902 | 32.9% | 1.33 | 44% |
| validation | DOWNTREND | 125 | 9.1% | 1.83 | 1% |
| validation | EXPENSIVE | 138 | 59.2% | 1.99 | 31% |
| validation | EXTREME | 144 | 172.3% | 4.42 | 43% |
| validation | HIGH VOLATILITY | 258 | 37.7% | 1.31 | 20% |
| validation | LOW VOLATILITY | 183 | 15.6% | 0.91 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 68.6% | 2.55 | 27% |
| validation | NORMAL | 474 | 2.5% | 0.15 | 14% |
| validation | SIDEWAYS | 206 | -12.8% | -0.82 | 19% |
| validation | UPTREND | 425 | 83.9% | 2.63 | 31% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-30 | $354.08 | $354.81 | -8.66% | 18 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 8.27% | 29 | |
| 2025-05-07 | 2025-06-12 | $276.22 | $319.11 | 6.59% | 26 | |
| 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 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.15% | 7 | |
| 2023-11-29 | 2024-01-08 | $244.14 | $240.45 | -3.93% | 27 | |
| 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 | |
| 2022-07-28 | 2022-08-29 | $280.90 | $284.82 | 0.52% | 23 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -0.79% | 21 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -8.71% | 14 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 23.38% | 31 | |
| 2021-07-02 | 2021-07-23 | $226.30 | $214.46 | -4.42% | 15 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -4.22% | 6 | |
| 2021-04-07 | 2021-04-12 | $223.66 | $233.99 | -0.83% | 4 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 34.29% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.23% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 4.93% | 26 | |
| 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 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -8.45% | 9 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -9.11% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -2.48% | 36 | |
| 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 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 6.16% | 40 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.03% | 6 | |
| 2015-04-28 | 2015-07-27 | $15.37 | $16.87 | 17.51% | 63 | |
| 2014-08-13 | 2014-09-16 | $17.35 | $17.38 | -2.54% | 24 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 11.82% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -7.71% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 18.21% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 49.71% | 61 | |
| 2012-11-21 | 2012-12-31 | $2.16 | $2.26 | 0.46% | 27 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -6.01% | 4 | |
| 2012-02-07 | 2012-04-10 | $2.11 | $2.16 | 7.81% | 44 |