Strategy Zoo / S1676
PriceMomentum_V1676
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)); added exit filter: dist_sma_200 < 0.1009
Fitness
0.6454
Generation
77
Complexity
5
Created
2026-10-16
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1676 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and (ret_20d < -0.0017 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.9% | 83.7% | -1.0% | 16.6% |
| Total Return | 57.6% | 519.4% | -3.8% | 867.5% |
| Sharpe | 0.41 | 2.01 | 0.05 | 0.79 |
| Sortino | 0.24 | 2.03 | 0.03 | 0.57 |
| Calmar | 0.16 | 4.60 | -0.02 | 0.40 |
| Volatility | 18.1% | 33.0% | 20.5% | 22.6% |
| Max DD | -36.4% | -18.2% | -42.0% | -42.0% |
| Win Rate | 40.4% | 62.5% | 51.6% | 47.9% |
| Avg Win | 5.7% | 25.1% | 4.3% | 10.6% |
| Avg Loss | -2.6% | -2.8% | -4.3% | -3.2% |
| Payoff | 2.21 | 8.82 | 0.98 | 3.35 |
| Expectancy | 0.8% | 14.6% | 0.1% | 3.4% |
| Profit Factor | 1.50 | 10.00 | 1.05 | 3.08 |
| Trades | 47 | 16 | 31 | 94 |
| Avg Holding Days | 9.1 | 17.7 | 7.1 | 10.4 |
| Turnover | 10.6 | 11.1 | 12.1 | 11.0 |
| Exposure | 15.4% | 26.4% | 16.0% | 17.8% |
Growth of $100
PriceMomentum_V1676 vs TSLA Buy & Hold
PriceMomentum_V1676 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 | 4.1% | 0.53 | -7.2% | 13 |
| 2017 | -9.1% | -0.39 | -23.3% | 8 |
| 2018 | -3.1% | -0.64 | -5.9% | 9 |
| 2019 | 9.5% | 0.57 | -15.2% | 3 |
| 2020 | 347.3% | 3.60 | -14.9% | 4 |
| 2021 | 31.8% | 1.05 | -18.2% | 4 |
| 2022 | 0.9% | 0.14 | -14.8% | 8 |
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 | 279 | 8.1% | 1.54 | 2% |
| hidden test | EXPENSIVE | 83 | 41.6% | 1.31 | 45% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -6.2% | -0.33 | 11% |
| hidden test | LOW VOLATILITY | 445 | 24.3% | 1.49 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -32.6% | -1.18 | 24% |
| hidden test | NORMAL | 819 | -8.4% | -0.48 | 12% |
| hidden test | SIDEWAYS | 300 | -12.7% | -1.24 | 8% |
| hidden test | UPTREND | 371 | 7.0% | 0.22 | 33% |
| train | DOWNTREND | 518 | 0.5% | 0.28 | 1% |
| train | EXPENSIVE | 311 | 23.8% | 0.74 | 42% |
| train | EXTREME | 100 | 163.7% | 4.48 | 54% |
| train | HIGH VOLATILITY | 699 | 11.8% | 0.57 | 12% |
| train | LOW VOLATILITY | 745 | 8.3% | 0.52 | 21% |
| train | MEDIUM VOLATILITY | 568 | 0.6% | 0.03 | 12% |
| train | NORMAL | 1,601 | -5.6% | -0.50 | 8% |
| train | SIDEWAYS | 592 | -13.3% | -1.09 | 5% |
| train | UPTREND | 902 | 24.9% | 0.99 | 30% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 82.7% | 1.99 | 49% |
| validation | EXTREME | 144 | 239.8% | 4.93 | 52% |
| validation | HIGH VOLATILITY | 258 | 54.8% | 1.63 | 19% |
| validation | LOW VOLATILITY | 183 | 27.4% | 2.00 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 98.1% | 2.47 | 43% |
| validation | NORMAL | 474 | 8.7% | 0.40 | 12% |
| validation | SIDEWAYS | 206 | -3.5% | -0.23 | 10% |
| validation | UPTREND | 425 | 116.1% | 2.75 | 42% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-13 | 2025-06-05 | $334.07 | $284.70 | -1.51% | 17 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 1.19% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 17.66% | 44 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -14.51% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -0.26% | 16 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -1.51% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -0.66% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-06-06 | 2023-07-24 | $221.31 | $269.06 | 19.25% | 33 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 2.16% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.16% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -2.23% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -2.42% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 2.99% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -2.14% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 0.85% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 0.95% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 1.47% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 1.53% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 4.43% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -1.04% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 22.11% | 31 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -7.41% | 6 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -1.31% | 2 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 12.97% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 109.31% | 89 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 1.46% | 2 | |
| 2018-11-14 | 2018-11-23 | $22.93 | $21.72 | -0.13% | 7 | |
| 2018-11-07 | 2018-11-13 | $23.21 | $22.58 | -1.22% | 5 | |
| 2018-11-02 | 2018-11-06 | $23.09 | $22.74 | -0.42% | 3 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.41% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -0.90% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.22% | 2 | |
| 2018-06-25 | 2018-06-26 | $22.20 | $22.80 | -0.16% | 2 | |
| 2018-06-21 | 2018-06-22 | $23.17 | $22.24 | -1.75% | 2 | |
| 2018-06-14 | 2018-06-20 | $23.85 | $24.15 | 0.90% | 5 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -13.17% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 0.87% | 36 | |
| 2017-01-20 | 2017-02-28 | $16.32 | $16.67 | 0.81% | 27 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -1.11% | 2 | |
| 2017-01-12 | 2017-01-13 | $15.31 | $15.85 | -0.26% | 2 | |
| 2017-01-10 | 2017-01-11 | $15.32 | $15.32 | -0.81% | 2 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.80% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 4.40% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -1.04% | 2 | |
| 2016-04-06 | 2016-04-11 | $17.69 | $16.66 | -2.31% | 4 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.75% | 2 | |
| 2016-03-31 | 2016-04-01 | $15.32 | $15.84 | 1.07% | 2 | |
| 2016-03-29 | 2016-03-30 | $15.34 | $15.13 | -0.26% | 2 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-22 | 2016-03-23 | $15.62 | $14.84 | -1.91% | 2 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 2.61% | 2 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 0.59% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 1.43% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -0.78% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -0.62% | 2 | |
| 2015-09-23 | 2015-09-29 | $17.40 | $16.44 | -4.98% | 5 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.24% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 21.07% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -7.85% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 14.89% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 44.76% | 61 | |
| 2012-12-04 | 2012-12-05 | $2.26 | $2.25 | -2.28% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 1.18% | 2 | |
| 2012-11-21 | 2012-11-23 | $2.16 | $2.14 | -1.80% | 2 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-14 | 2012-03-23 | $2.21 | $2.27 | 5.77% | 28 |