Strategy Zoo / S1703

PriceMomentum_V1703

ARCHIVEDhybrid

crossoverlogic of PriceMomentum_V1608 with risk overlay of LongTermTrend_V1083

Fitness

0.7210

Generation

Complexity

Created

2026-10-16

Lineage

Parents (2)

LongTermTrend_V1083S1083 · gen 49ELITEcrossover

swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934

PriceMomentum_V1608S1608 · gen 74ELITEcrossover

changed ret_20d threshold 0.05 -> 0.1231

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1703  [hybrid]
if flat and ((ret_20d > 0.1231 and (((close > sma_200 and sma_200_slope > 0.0) or ret_1d > -0.0578) and ret_20d > -0.1275 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

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	26.0%	106.9%	16.5%	36.8%
Total Return	531.2%	785.3%	77.6%	10119.5%
Sharpe	0.92	1.73	0.63	1.07
Sortino	0.87	1.75	0.54	0.98
Calmar	0.71	3.17	0.48	1.01
Volatility	29.8%	48.8%	32.8%	35.2%
Max DD	-36.4%	-33.7%	-34.1%	-36.4%
Win Rate	60.9%	58.3%	46.7%	56.0%
Avg Win	20.5%	50.2%	17.6%	29.9%
Avg Loss	-7.4%	-7.6%	-6.0%	-7.0%
Payoff	2.75	6.63	2.92	4.29
Expectancy	9.5%	26.2%	5.0%	13.7%
Profit Factor	4.28	9.29	2.56	5.47
Trades	23	12	15	50
Avg Holding Days	31.2	30.3	22.5	29.3
Turnover	5.9	8.0	8.0	6.8
Exposure	36.8%	46.6%	33.9%	38.1%

Growth of $100

PriceMomentum_V1703 vs TSLA Buy & Hold

PriceMomentum_V1703 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	16.5%	1.10	-11.7%	2
2017	7.4%	0.42	-17.2%	4
2018	-20.7%	-0.81	-28.5%	3
2019	42.2%	1.57	-13.9%	1
2020	500.0%	2.87	-33.7%	4
2021	53.7%	1.43	-18.8%	5
2022	-8.0%	-0.17	-23.0%	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	279	15.6%	0.66	19%
hidden test	EXPENSIVE	83	61.3%	1.54	57%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	37.1%	0.81	40%
hidden test	LOW VOLATILITY	445	43.8%	1.95	29%
hidden test	MEDIUM VOLATILITY	251	-37.0%	-1.14	35%
hidden test	NORMAL	819	7.0%	0.23	30%
hidden test	SIDEWAYS	300	-1.6%	-0.06	29%
hidden test	UPTREND	371	42.5%	1.04	49%
train	DOWNTREND	518	7.0%	0.80	5%
train	EXPENSIVE	311	43.5%	1.15	65%
train	EXTREME	100	380.3%	5.23	96%
train	HIGH VOLATILITY	699	43.8%	1.14	35%
train	LOW VOLATILITY	745	36.5%	1.57	46%
train	MEDIUM VOLATILITY	568	-4.6%	-0.18	26%
train	NORMAL	1,601	2.3%	0.10	28%
train	SIDEWAYS	592	-3.0%	-0.13	22%
train	UPTREND	902	59.2%	1.48	65%
validation	DOWNTREND	125	44.2%	2.27	7%
validation	EXPENSIVE	138	82.8%	1.54	55%
validation	EXTREME	144	319.7%	3.89	91%
validation	HIGH VOLATILITY	258	81.1%	1.22	48%
validation	LOW VOLATILITY	183	34.9%	1.79	34%
validation	MEDIUM VOLATILITY	315	116.5%	2.69	53%
validation	NORMAL	474	13.8%	0.48	31%
validation	SIDEWAYS	206	-16.8%	-0.60	33%
validation	UPTREND	425	145.7%	2.39	65%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	2026-09-30	$348.95	$354.81	-2.96%	27
2026-05-06	2026-06-08	$398.73	$408.95	0.22%	23
2025-12-15	2026-01-05	$475.31	$451.67	-4.74%	14
2025-09-15	2025-10-23	$410.04	$448.98	10.65%	29
2025-05-06	2025-06-12	$275.35	$319.11	16.24%	27
2025-04-30	2025-05-02	$282.16	$287.21	-4.14%	3
2025-04-16	2025-04-22	$241.55	$237.97	-10.66%	4
2024-11-07	2025-01-13	$296.91	$403.31	36.54%	44
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-07-03	2024-08-02	$246.39	$207.67	-6.41%	22
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2023-11-27	2024-01-08	$236.08	$240.45	0.67%	29
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	16.90%	28
2022-07-19	2022-08-29	$245.53	$284.82	19.53%	30
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2022-01-04	2022-01-24	$383.20	$310.00	-21.49%	14
2021-09-16	2021-12-01	$252.33	$365.00	51.15%	54
2021-07-01	2021-07-23	$225.97	$214.46	-4.67%	16
2021-04-19	2021-05-04	$238.21	$224.53	-7.61%	12
2021-04-06	2021-04-12	$230.54	$233.99	-2.23%	5
2020-11-19	2021-02-09	$166.42	$283.15	77.07%	55
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-19	2020-09-24	$125.24	$129.26	0.58%	26
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-10-25	2020-03-04	$21.88	$49.97	148.29%	89
2019-07-01	2019-08-06	$15.14	$15.38	1.97%	26
2018-10-29	2018-12-19	$22.32	$22.20	1.65%	36
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-14	2018-07-06	$23.85	$20.59	-10.51%	16
2017-08-04	2017-08-22	$23.79	$22.76	-2.85%	13
2017-06-05	2017-07-06	$23.15	$20.59	-3.94%	23
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2017-01-04	2017-02-28	$15.13	$16.67	13.25%	38
2016-07-26	2016-08-17	$15.30	$14.88	-2.98%	17
2016-03-07	2016-05-03	$13.69	$15.49	20.04%	41
2015-09-22	2015-09-30	$17.40	$16.56	-6.83%	7
2015-04-24	2015-07-27	$14.56	$16.87	21.17%	65
2014-11-17	2014-12-02	$16.93	$15.43	-10.63%	11
2014-08-08	2014-09-16	$16.54	$17.38	0.38%	27
2014-06-09	2014-07-16	$13.69	$14.48	5.27%	27
2014-01-21	2014-03-26	$11.78	$14.20	29.41%	46
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2013-01-29	2013-02-22	$2.53	$2.41	-7.73%	18
2012-11-14	2012-12-31	$2.09	$2.26	4.88%	32
2012-06-19	2012-07-20	$2.14	$2.12	1.15%	23
2012-02-06	2012-04-10	$2.12	$2.16	6.21%	45