Strategy Zoo / S1659
PriceMomentum_V1659
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.4569
Generation
76
Complexity
15
Created
2026-10-15
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1659 [hybrid]
require regime.bubble in ['EXTREME', 'NORMAL']
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 > -0.0674 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.2% | 48.4% | 1.3% | 12.9% |
| Total Return | 73.6% | 227.0% | 4.8% | 495.0% |
| Sharpe | 0.43 | 1.39 | 0.18 | 0.61 |
| Sortino | 0.33 | 1.46 | 0.14 | 0.50 |
| Calmar | 0.21 | 1.30 | 0.03 | 0.33 |
| Volatility | 20.9% | 32.0% | 25.7% | 24.8% |
| Max DD | -33.8% | -37.3% | -39.0% | -39.0% |
| Win Rate | 51.2% | 58.8% | 37.5% | 48.8% |
| Avg Win | 8.0% | 17.6% | 9.8% | 10.8% |
| Avg Loss | -4.8% | -5.1% | -4.7% | -4.8% |
| Payoff | 1.67 | 3.43 | 2.08 | 2.24 |
| Expectancy | 1.8% | 8.3% | 0.7% | 2.8% |
| Profit Factor | 1.76 | 4.89 | 1.25 | 2.14 |
| Trades | 41 | 17 | 24 | 82 |
| Avg Holding Days | 15.7 | 20.3 | 14.2 | 16.2 |
| Turnover | 9.1 | 10.5 | 10.9 | 9.8 |
| Exposure | 24.8% | 33.8% | 27.0% | 27.2% |
Growth of $100
PriceMomentum_V1659 vs TSLA Buy & Hold
PriceMomentum_V1659 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 | 10.9% | 0.82 | -11.1% | 2 |
| 2017 | 6.7% | 0.62 | -11.1% | 5 |
| 2018 | -16.4% | -1.04 | -20.3% | 6 |
| 2019 | 18.8% | 0.97 | -13.8% | 2 |
| 2020 | 108.8% | 2.16 | -23.0% | 7 |
| 2021 | 31.9% | 1.03 | -18.6% | 5 |
| 2022 | 18.5% | 0.78 | -15.2% | 5 |
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 | -4.7% | -0.27 | 18% |
| hidden test | EXPENSIVE | 83 | 34.7% | 1.86 | 5% |
| hidden test | EXTREME | 48 | 26.9% | 0.77 | 33% |
| hidden test | HIGH VOLATILITY | 254 | -21.0% | -0.80 | 18% |
| hidden test | LOW VOLATILITY | 445 | 44.1% | 1.87 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -39.6% | -1.41 | 27% |
| hidden test | NORMAL | 818 | 0.2% | 0.01 | 29% |
| hidden test | SIDEWAYS | 300 | -9.5% | -0.37 | 32% |
| hidden test | UPTREND | 371 | 22.9% | 0.75 | 30% |
| train | DOWNTREND | 518 | 1.6% | 0.18 | 8% |
| train | EXPENSIVE | 311 | -6.8% | -0.46 | 3% |
| train | EXTREME | 100 | 149.2% | 3.98 | 53% |
| train | HIGH VOLATILITY | 699 | 2.8% | 0.13 | 11% |
| train | LOW VOLATILITY | 745 | 26.8% | 1.31 | 40% |
| train | MEDIUM VOLATILITY | 568 | -6.3% | -0.30 | 22% |
| train | NORMAL | 1,601 | 3.4% | 0.17 | 27% |
| train | SIDEWAYS | 592 | -0.0% | -0.00 | 22% |
| train | UPTREND | 902 | 19.4% | 0.75 | 36% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | -62.2% | -3.12 | 3% |
| validation | EXTREME | 144 | 187.0% | 4.10 | 49% |
| validation | HIGH VOLATILITY | 258 | 45.3% | 1.34 | 21% |
| validation | LOW VOLATILITY | 183 | 45.0% | 1.95 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 43.8% | 1.25 | 33% |
| validation | NORMAL | 474 | 32.4% | 1.11 | 38% |
| validation | SIDEWAYS | 206 | 10.9% | 0.42 | 36% |
| validation | UPTREND | 425 | 60.4% | 1.62 | 40% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 16.22% | 15 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-06-02 | 2025-06-12 | $342.69 | $319.11 | -13.19% | 9 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-06 | 2025-05-15 | $275.35 | $342.82 | 13.41% | 8 | |
| 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 | |
| 2025-01-06 | 2025-01-13 | $411.05 | $403.31 | -1.65% | 5 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 5.54% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.71% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.03% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -2.39% | 3 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | 0.04% | 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 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 41.88% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -2.70% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 0.52% | 4 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -3.74% | 8 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 12.96% | 18 | |
| 2020-06-30 | 2020-08-10 | $71.99 | $94.57 | 29.82% | 29 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-04-14 | 2020-05-29 | $47.33 | $55.67 | 8.66% | 33 | |
| 2020-01-22 | 2020-03-04 | $37.97 | $49.97 | 26.45% | 30 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 15.18% | 37 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 3.15% | 24 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 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 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 0.43% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2017-01-04 | 2017-01-25 | $15.13 | $16.96 | 17.11% | 15 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-03-07 | 2016-05-03 | $13.69 | $15.49 | 13.29% | 41 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-12-02 | 2015-12-07 | $15.47 | $15.41 | -1.96% | 4 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-14 | 2015-07-09 | $13.83 | $17.19 | 21.29% | 61 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 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 | -3.44% | 5 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 0.65% | 2 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 2.47% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -3.92% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 4.88% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -0.50% | 2 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.38% | 12 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 40.09% | 47 | |
| 2013-03-26 | 2013-04-11 | $2.52 | $2.91 | 14.65% | 12 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -8.31% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -4.06% | 8 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | 3.09% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 8.58% | 36 |