Strategy Zoo / S1698

PriceMomentum_V1698

ARCHIVEDhybrid

structuraladded entry filter: vol_chg < 1.2824; swapped indicator macd_hist -> momentum_60

Fitness
0.4604
Generation
78
Complexity
32
Created
2026-10-16

Lineage

Parents (1)
PriceMomentum_V1439S1439 · gen 66ELITEstructural

changed dist_sma_50 threshold -0.2357 -> -0.0777

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1698  [hybrid]
if flat and (((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 > -0.0777) 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)) and vol_chg < 1.2824):
    position = 1.0
if long and momentum_60 < -0.1266:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR20.1%73.8%2.6%24.6%
Total Return331.6%424.7%10.0%2463.8%
Sharpe0.641.190.280.70
Sortino0.791.470.370.86
Calmar0.361.220.050.41
Volatility42.2%63.2%45.5%48.0%
Max DD-56.0%-60.6%-47.4%-60.6%
Win Rate34.0%44.4%40.9%37.9%
Avg Win29.9%76.3%13.2%53.8%
Avg Loss-5.1%-6.8%-6.8%-5.8%
Payoff5.8510.001.969.24
Expectancy6.8%30.1%1.4%16.8%
Profit Factor3.028.941.355.65
Trades47182287
Avg Holding Days29.631.831.832.0
Turnover11.912.011.911.9
Exposure72.9%73.4%72.0%72.8%

Growth of $100

PriceMomentum_V1698 vs TSLA Buy & Hold
PriceMomentum_V1698 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
YearCAGRSharpeMax DDTrades
2016-23.9%-0.86-34.9%5
201730.3%0.95-26.6%1
2018-21.7%-0.33-39.0%4
201971.7%1.54-22.4%5
2020712.5%2.80-60.6%0
20215.0%0.33-47.7%12
2022-48.3%-1.45-48.2%6

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND279-7.4%-0.2826%
hidden testEXPENSIVE8366.4%1.1496%
hidden testEXTREME48185.0%2.93100%
hidden testHIGH VOLATILITY25423.4%0.4266%
hidden testLOW VOLATILITY44538.5%1.1667%
hidden testMEDIUM VOLATILITY251-43.1%-0.8387%
hidden testNORMAL819-2.6%-0.0668%
hidden testSIDEWAYS300-56.6%-1.2483%
hidden testUPTREND37184.4%1.5398%
trainDOWNTREND518-24.0%-0.9027%
trainEXPENSIVE31161.9%1.3294%
trainEXTREME100416.1%5.63100%
trainHIGH VOLATILITY69930.6%0.5765%
trainLOW VOLATILITY74547.3%1.6475%
trainMEDIUM VOLATILITY568-3.4%-0.0880%
trainNORMAL1,601-3.9%-0.1067%
trainSIDEWAYS592-18.8%-0.4871%
trainUPTREND90286.7%1.72100%
validationDOWNTREND125-1.4%-0.0511%
validationEXPENSIVE13890.1%1.1998%
validationEXTREME144384.0%4.30100%
validationHIGH VOLATILITY258108.9%1.2766%
validationLOW VOLATILITY18333.5%1.0183%
validationMEDIUM VOLATILITY31572.0%1.3274%
validationNORMAL474-22.9%-0.4958%
validationSIDEWAYS206-71.1%-1.4959%
validationUPTREND425168.7%2.2399%

Trades (full period)

88 trades
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-3.65%7OPEN
2026-09-042026-09-30$354.08$354.81-6.45%18
2026-09-012026-09-03$356.09$376.37-3.17%3
2026-05-042026-07-24$392.51$313.03-18.36%57
2026-04-162026-04-22$388.90$387.51-1.61%5
2025-05-122026-03-13$318.38$391.2032.18%211
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-10-292025-02-27$259.52$281.9510.55%82
2024-06-172024-10-16$187.44$221.3323.11%85
2024-05-282024-05-29$176.75$176.19-1.59%2
2024-05-152024-05-24$173.99$179.24-2.34%8
2024-04-302024-05-14$183.28$177.55-11.60%11
2023-12-072024-01-16$242.64$219.91-8.74%26
2023-11-162023-12-06$233.59$239.37-1.90%14
2023-10-062023-10-20$260.53$211.99-15.53%11
2023-05-222023-09-28$188.87$246.3833.25%90
2023-02-022023-05-02$188.27$160.31-10.97%62
2023-01-312023-02-01$173.22$181.413.73%2
2023-01-272023-01-30$177.90$166.6610.79%2
2022-07-252022-10-17$268.43$219.35-24.86%60
2022-07-212022-07-22$271.71$272.249.57%2
2022-07-192022-07-20$245.53$247.501.87%2
2022-07-112022-07-12$234.34$233.07-6.74%2
2022-03-212022-05-10$307.05$266.68-13.24%36
2021-07-302022-01-26$229.07$312.4735.32%125
2021-07-122021-07-19$228.57$215.41-2.13%6
2021-06-152021-07-09$199.79$218.985.47%18
2021-06-112021-06-14$203.30$205.90-0.24%2
2021-05-282021-06-04$208.41$199.68-9.38%5
2021-04-262021-04-29$246.07$225.67-4.99%4
2021-04-222021-04-23$239.90$243.13-3.48%2
2021-04-202021-04-21$239.66$248.040.41%2
2021-04-142021-04-19$244.08$238.21-3.15%4
2021-04-122021-04-13$233.99$254.113.48%2
2021-04-082021-04-09$227.93$225.671.71%2
2021-04-062021-04-07$230.54$223.66-0.12%2
2019-07-102021-03-09$15.93$224.531121.19%420
2019-07-082019-07-09$15.36$15.34-1.38%2
2019-07-032019-07-05$15.66$15.544.40%2
2019-07-012019-07-02$15.14$14.971.46%2
2019-03-012019-03-04$19.65$19.02-8.04%2
2018-10-242019-02-11$19.23$20.863.75%74
2018-06-042018-09-06$19.78$18.73-3.99%67
2018-05-312018-06-01$18.98$19.45-2.59%2
2018-05-102018-05-16$20.33$19.10-7.57%5
2017-12-122018-03-29$22.74$17.74-21.78%74
2016-12-142017-11-03$13.25$20.4150.73%225
2016-07-252016-09-02$15.33$13.19-9.85%30
2016-07-122016-07-22$14.98$14.82-2.10%9
2016-03-082016-06-23$13.51$13.09-4.40%76
2016-03-042016-03-07$13.40$13.692.51%2
2015-12-182016-02-03$15.36$11.57-21.84%31
2015-11-272015-12-11$15.44$14.47-1.32%11
2015-09-162015-10-08$17.48$15.11-8.70%17
2015-04-072015-08-25$13.55$14.677.55%99
2015-02-232015-02-24$13.82$13.61-4.70%2
2015-02-112015-02-12$14.19$13.53-1.81%2
2015-02-042015-02-10$14.57$14.42-0.60%5
2014-11-282014-12-01$16.30$15.44-1.78%2
2014-06-162014-11-26$14.97$16.5619.96%116
2014-06-102014-06-13$13.49$13.76-1.07%4
2014-06-062014-06-09$13.88$13.690.41%2
2014-06-042014-06-05$13.60$13.79-0.66%2
2014-05-302014-06-02$13.85$13.65-1.37%2
2014-05-282014-05-29$14.02$14.02-0.82%2
2014-05-232014-05-27$13.82$14.100.98%2
2014-01-172014-05-22$11.33$13.6616.42%87
2014-01-092014-01-10$9.84$9.71-2.68%2
2014-01-072014-01-08$9.96$10.091.40%2
2014-01-032014-01-06$9.97$9.80-0.56%2
2013-12-302014-01-02$10.16$10.01-0.65%3
2013-12-262013-12-27$10.37$10.072.50%2
2013-12-232013-12-24$9.57$10.090.02%2
2013-12-192013-12-20$9.38$9.55-5.10%2
2013-12-172013-12-18$10.16$9.872.85%2
2013-12-132013-12-16$9.84$9.86-0.08%2
2012-11-022013-11-18$1.93$8.11362.15%263
2012-08-142012-10-09$1.96$1.89-6.35%40
2012-07-022012-07-27$2.03$1.97-10.28%19
2012-06-282012-06-29$2.09$2.09-1.92%2
2012-06-262012-06-27$2.11$2.13-4.73%2
2012-06-192012-06-22$2.14$2.250.90%4
2012-01-312012-05-16$1.94$1.95-0.67%75
2012-01-042012-01-17$1.85$1.77-19.00%9