Strategy Zoo / S1709

PriceMomentum_V1709

ARCHIVEDhybrid

structuralswapped indicator ret_20d -> ret_60d

Fitness

0.6770

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

PriceMomentum_V1534S1534 · gen 70ELITEstructural

changed ret_20d threshold -0.0674 -> -0.1275

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1709  [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_60d > 0.4265 and cumret_252d > -0.1997)) or ret_20d > 0.184):
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	14.0%	80.6%	2.9%	22.2%
Total Return	185.3%	488.7%	11.2%	1823.0%
Sharpe	0.73	1.91	0.24	0.92
Sortino	0.53	2.05	0.17	0.74
Calmar	0.58	3.77	0.08	0.65
Volatility	21.1%	34.0%	25.1%	25.3%
Max DD	-24.1%	-21.4%	-34.2%	-34.2%
Win Rate	61.1%	58.3%	38.5%	53.5%
Avg Win	12.7%	35.9%	13.5%	22.0%
Avg Loss	-5.9%	-4.2%	-5.7%	-5.4%
Payoff	2.14	8.46	2.35	4.06
Expectancy	5.4%	19.2%	1.6%	9.3%
Profit Factor	3.37	10.00	1.47	4.67
Trades	18	12	13	43
Avg Holding Days	33.1	26.3	22.8	29.2
Turnover	5.1	8.8	7.5	6.4
Exposure	24.6%	30.1%	24.1%	25.6%

Growth of $100

PriceMomentum_V1709 vs TSLA Buy & Hold

PriceMomentum_V1709 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	9.0%	0.69	-11.7%	2
2017	5.7%	0.37	-18.3%	3
2018	-1.7%	-0.07	-10.6%	2
2019	29.1%	1.32	-14.3%	1
2020	357.1%	3.62	-14.9%	5
2021	32.8%	1.07	-18.2%	4
2022	-6.9%	-0.23	-14.8%	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	15.3%	1.87	3%
hidden test	EXPENSIVE	83	41.6%	1.31	45%
hidden test	EXTREME	48	92.9%	2.52	37%
hidden test	HIGH VOLATILITY	254	9.5%	0.36	16%
hidden test	LOW VOLATILITY	445	28.0%	1.37	25%
hidden test	MEDIUM VOLATILITY	251	-36.6%	-1.21	30%
hidden test	NORMAL	819	-2.7%	-0.11	21%
hidden test	SIDEWAYS	300	-19.0%	-0.78	25%
hidden test	UPTREND	371	19.2%	0.58	40%
train	DOWNTREND	518	6.3%	0.92	3%
train	EXPENSIVE	311	25.2%	0.78	43%
train	EXTREME	100	198.9%	5.05	56%
train	HIGH VOLATILITY	699	12.7%	0.60	13%
train	LOW VOLATILITY	745	30.2%	1.50	38%
train	MEDIUM VOLATILITY	568	-0.8%	-0.03	20%
train	NORMAL	1,601	2.0%	0.13	19%
train	SIDEWAYS	592	-11.0%	-0.80	9%
train	UPTREND	902	37.9%	1.31	47%
validation	DOWNTREND	125	11.5%	1.42	1%
validation	EXPENSIVE	138	75.2%	1.79	53%
validation	EXTREME	144	251.2%	5.14	53%
validation	HIGH VOLATILITY	258	55.9%	1.62	21%
validation	LOW VOLATILITY	183	13.6%	0.86	15%
validation	MEDIUM VOLATILITY	315	102.0%	2.50	46%
validation	NORMAL	474	5.2%	0.22	17%
validation	SIDEWAYS	206	-5.8%	-0.30	18%
validation	UPTREND	425	114.8%	2.68	45%

Trades (full period)

43 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-08	$428.35	$408.95	-5.23%	21
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
2025-05-08	2025-06-12	$284.82	$319.11	-1.61%	25
2024-11-07	2025-01-13	$296.91	$403.31	17.66%	44
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
2024-05-20	2024-05-29	$174.95	$176.19	-0.15%	7
2023-11-29	2024-01-08	$244.14	$240.45	-3.93%	27
2023-09-15	2023-09-28	$274.39	$246.38	-13.05%	10
2023-07-26	2023-08-02	$264.35	$254.11	-1.78%	6
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
2022-07-29	2022-08-29	$297.15	$284.82	2.36%	22
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2022-01-04	2022-01-24	$383.20	$310.00	-7.28%	14
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	2021-04-12	$223.66	$233.99	-0.53%	4
2020-11-24	2021-02-09	$185.13	$283.15	65.13%	52
2020-10-22	2020-10-29	$141.93	$136.94	-4.12%	6
2020-10-07	2020-10-14	$141.77	$153.77	3.57%	6
2020-08-14	2020-09-24	$110.05	$129.26	20.42%	29
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
2019-07-01	2019-08-06	$15.14	$15.38	2.15%	26
2018-10-29	2018-12-19	$22.32	$22.20	2.69%	36
2018-06-14	2018-07-06	$23.85	$20.59	-4.26%	16
2017-06-07	2017-07-06	$23.98	$20.59	-7.48%	21
2017-04-04	2017-05-24	$20.25	$20.68	0.87%	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
2016-03-08	2016-05-03	$13.51	$15.49	12.31%	40
2015-09-23	2015-09-30	$17.40	$16.56	-5.67%	6
2015-04-28	2015-07-27	$15.37	$16.87	14.39%	63
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
2013-07-01	2013-10-22	$7.81	$11.44	25.41%	80
2013-04-02	2013-06-26	$2.96	$7.05	44.76%	61
2012-11-21	2012-12-31	$2.16	$2.26	0.46%	27
2012-07-17	2012-07-20	$2.22	$2.12	-10.45%	4
2012-02-14	2012-04-10	$2.21	$2.16	1.92%	39