Strategy Zoo / S1694
PriceMomentum_V1694
ARCHIVEDhybridstructuralreplaced exit rule with: breakout_20 == 1
Fitness
0.4367
Generation
78
Complexity
14
Created
2026-10-16
Lineage
Parents (1)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1694 [hybrid]
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 > -0.1997)) or ret_20d > 0.184):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.3% | 53.1% | 15.6% | 19.6% |
| Total Return | 119.2% | 259.1% | 72.5% | 1297.9% |
| Sharpe | 0.46 | 1.13 | 0.57 | 0.66 |
| Sortino | 0.53 | 1.64 | 0.75 | 0.83 |
| Calmar | 0.24 | 1.41 | 0.37 | 0.46 |
| Volatility | 34.4% | 47.4% | 38.3% | 38.4% |
| Max DD | -42.3% | -37.6% | -41.7% | -42.3% |
| Win Rate | 81.7% | 84.2% | 87.1% | 83.5% |
| Avg Win | 2.2% | 3.6% | 2.5% | 2.6% |
| Avg Loss | -6.7% | -7.4% | -9.8% | -7.4% |
| Payoff | 0.33 | 0.49 | 0.26 | 0.36 |
| Expectancy | 0.6% | 1.9% | 1.0% | 1.0% |
| Profit Factor | 1.48 | 2.60 | 1.77 | 1.80 |
| Trades | 175 | 76 | 70 | 321 |
| Avg Holding Days | 8.9 | 8.9 | 10.5 | 9.3 |
| Turnover | 39.1 | 46.7 | 33.1 | 39.0 |
| Exposure | 55.0% | 63.1% | 58.5% | 57.6% |
Growth of $100
PriceMomentum_V1694 vs TSLA Buy & Hold
PriceMomentum_V1694 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 | -11.9% | -0.40 | -31.5% | 14 |
| 2017 | -2.5% | 0.07 | -24.6% | 29 |
| 2018 | -3.2% | 0.05 | -25.4% | 19 |
| 2019 | 37.0% | 1.40 | -9.5% | 15 |
| 2020 | 214.0% | 2.63 | -30.0% | 38 |
| 2021 | -4.1% | 0.16 | -36.5% | 23 |
| 2022 | 4.8% | 0.32 | -31.4% | 13 |
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 | 7.7% | 0.28 | 33% |
| hidden test | EXPENSIVE | 83 | 96.6% | 1.78 | 64% |
| hidden test | EXTREME | 48 | 81.3% | 2.74 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 18.3% | 0.49 | 30% |
| hidden test | LOW VOLATILITY | 445 | 29.2% | 0.89 | 68% |
| hidden test | MEDIUM VOLATILITY | 251 | 12.1% | 0.26 | 71% |
| hidden test | NORMAL | 819 | 10.7% | 0.29 | 59% |
| hidden test | SIDEWAYS | 300 | 0.9% | 0.02 | 72% |
| hidden test | UPTREND | 371 | 49.2% | 1.16 | 67% |
| train | DOWNTREND | 518 | -20.7% | -0.77 | 31% |
| train | EXPENSIVE | 311 | 23.8% | 0.59 | 62% |
| train | EXTREME | 100 | 198.7% | 5.48 | 43% |
| train | HIGH VOLATILITY | 699 | 23.2% | 0.62 | 31% |
| train | LOW VOLATILITY | 745 | 13.3% | 0.47 | 71% |
| train | MEDIUM VOLATILITY | 568 | 9.8% | 0.26 | 64% |
| train | NORMAL | 1,601 | 2.7% | 0.08 | 54% |
| train | SIDEWAYS | 592 | 12.5% | 0.36 | 57% |
| train | UPTREND | 902 | 38.7% | 1.02 | 67% |
| validation | DOWNTREND | 125 | 9.8% | 0.30 | 32% |
| validation | EXPENSIVE | 138 | 21.5% | 0.43 | 74% |
| validation | EXTREME | 144 | 199.1% | 4.46 | 44% |
| validation | HIGH VOLATILITY | 258 | 54.2% | 1.11 | 36% |
| validation | LOW VOLATILITY | 183 | 37.2% | 1.11 | 83% |
| validation | MEDIUM VOLATILITY | 315 | 63.0% | 1.19 | 74% |
| validation | NORMAL | 474 | 19.0% | 0.40 | 66% |
| validation | SIDEWAYS | 206 | 5.5% | 0.12 | 75% |
| validation | UPTREND | 425 | 90.0% | 1.75 | 66% |
Trades (full period)
latest 100 of 321
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-10-07 | $372.11 | $377.81 | 0.52% | 9 | |
| 2026-09-09 | 2026-09-23 | $367.81 | $380.12 | 2.71% | 11 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-08-24 | 2026-09-01 | $348.95 | $356.09 | 1.20% | 7 | |
| 2026-05-15 | 2026-07-02 | $422.24 | $393.45 | -4.26% | 33 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-17 | 2026-04-20 | $467.26 | $392.50 | -18.39% | 84 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-12-08 | $445.91 | $439.58 | -1.73% | 22 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-27 | 2025-09-12 | $349.60 | $395.94 | 4.66% | 12 | |
| 2025-08-13 | 2025-08-26 | $339.38 | $351.67 | 1.49% | 10 | |
| 2025-05-29 | 2025-08-12 | $358.43 | $340.84 | -6.76% | 52 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.20% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 1.94% | 2 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 0.86% | 9 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -32.88% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.10% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.11% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 2.15% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 2.98% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.59% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 2 | |
| 2024-10-01 | 2024-10-28 | $258.02 | $262.51 | 0.72% | 20 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-20 | 2024-09-24 | $238.25 | $254.27 | 3.73% | 3 | |
| 2024-09-11 | 2024-09-16 | $228.13 | $226.78 | 0.66% | 4 | |
| 2024-07-11 | 2024-09-06 | $241.03 | $210.73 | -3.79% | 41 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-04-30 | 2024-06-18 | $183.28 | $184.86 | 2.06% | 35 | |
| 2023-12-22 | 2023-12-28 | $252.54 | $253.18 | 2.52% | 4 | |
| 2023-12-18 | 2023-12-20 | $252.08 | $247.14 | 1.26% | 3 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-17 | 2023-11-29 | $234.30 | $244.14 | 5.41% | 8 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-13 | 2023-09-15 | $271.30 | $274.39 | 3.00% | 3 | |
| 2023-07-19 | 2023-09-12 | $291.26 | $267.48 | -6.92% | 39 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 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 | |
| 2023-05-24 | 2023-05-30 | $182.90 | $201.16 | 3.77% | 4 | |
| 2023-02-16 | 2023-04-03 | $202.04 | $194.77 | -1.42% | 32 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 2.51% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 1.15% | 2 | |
| 2023-02-07 | 2023-02-08 | $196.81 | $201.29 | 0.35% | 2 | |
| 2023-02-03 | 2023-02-06 | $189.98 | $194.76 | 0.29% | 2 | |
| 2023-01-31 | 2023-02-02 | $173.22 | $188.27 | 3.50% | 3 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 4.43% | 2 | |
| 2022-08-17 | 2022-09-20 | $304.00 | $308.73 | 0.62% | 24 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 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 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-14 | 2022-07-22 | $238.31 | $272.24 | 14.40% | 7 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -20.72% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -18.51% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -9.46% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 |