Strategy Zoo / S1715
PriceMomentum_V1715
ARCHIVEDhybridparameterchanged ret_20d threshold 0.073 -> -0.0732
Fitness
0.4671
Generation
79
Complexity
2
Created
2026-10-16
Lineage
Parents (1)
changed ret_20d threshold 0.184 -> 0.073
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1715 [hybrid]
if flat and ret_20d > -0.0732:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 92.8% | -6.3% | 16.8% |
| Total Return | 71.4% | 616.3% | -21.9% | 887.0% |
| Sharpe | 0.37 | 1.47 | 0.06 | 0.57 |
| Sortino | 0.47 | 1.83 | 0.07 | 0.73 |
| Calmar | 0.08 | 2.05 | -0.10 | 0.20 |
| Volatility | 39.5% | 55.0% | 42.6% | 43.9% |
| Max DD | -82.7% | -45.1% | -65.9% | -82.7% |
| Win Rate | 33.7% | 33.3% | 33.6% | 33.6% |
| Avg Win | 6.7% | 21.6% | 7.2% | 9.8% |
| Avg Loss | -2.7% | -3.3% | -3.3% | -2.9% |
| Payoff | 2.52 | 6.51 | 2.15 | 3.36 |
| Expectancy | 0.5% | 5.0% | 0.2% | 1.4% |
| Profit Factor | 1.28 | 3.26 | 1.09 | 1.70 |
| Trades | 270 | 66 | 116 | 452 |
| Avg Holding Days | 5.8 | 8.4 | 6.1 | 6.4 |
| Turnover | 67.8 | 44.0 | 61.8 | 61.3 |
| Exposure | 66.7% | 64.8% | 62.8% | 65.4% |
Growth of $100
PriceMomentum_V1715 vs TSLA Buy & Hold
PriceMomentum_V1715 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 | -11.7% | -0.33 | -37.0% | 37 |
| 2017 | 1.5% | 0.20 | -32.8% | 34 |
| 2018 | -48.8% | -1.37 | -53.6% | 42 |
| 2019 | -0.9% | 0.19 | -47.8% | 34 |
| 2020 | 568.2% | 2.90 | -35.8% | 16 |
| 2021 | 51.1% | 1.23 | -25.0% | 23 |
| 2022 | -40.2% | -1.17 | -41.9% | 27 |
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 | 0.7% | 0.02 | 47% |
| hidden test | EXPENSIVE | 83 | 86.3% | 1.59 | 82% |
| hidden test | EXTREME | 48 | 124.2% | 2.09 | 81% |
| hidden test | HIGH VOLATILITY | 254 | 0.3% | 0.01 | 61% |
| hidden test | LOW VOLATILITY | 445 | 49.4% | 1.57 | 63% |
| hidden test | MEDIUM VOLATILITY | 251 | -78.4% | -1.82 | 65% |
| hidden test | NORMAL | 819 | -13.1% | -0.33 | 60% |
| hidden test | SIDEWAYS | 300 | -44.7% | -1.15 | 67% |
| hidden test | UPTREND | 371 | 42.0% | 0.86 | 71% |
| train | DOWNTREND | 518 | -39.3% | -1.35 | 48% |
| train | EXPENSIVE | 311 | 59.5% | 1.38 | 81% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 20.4% | 0.40 | 61% |
| train | LOW VOLATILITY | 745 | 39.9% | 1.36 | 74% |
| train | MEDIUM VOLATILITY | 568 | -26.2% | -0.75 | 64% |
| train | NORMAL | 1,601 | -18.8% | -0.54 | 62% |
| train | SIDEWAYS | 592 | -21.4% | -0.61 | 64% |
| train | UPTREND | 902 | 68.9% | 1.48 | 79% |
| validation | DOWNTREND | 125 | 9.4% | 0.35 | 22% |
| validation | EXPENSIVE | 138 | 42.9% | 0.74 | 70% |
| validation | EXTREME | 144 | 373.1% | 4.39 | 95% |
| validation | HIGH VOLATILITY | 258 | 106.3% | 1.49 | 56% |
| validation | LOW VOLATILITY | 183 | 43.1% | 1.51 | 74% |
| validation | MEDIUM VOLATILITY | 315 | 81.6% | 1.60 | 66% |
| validation | NORMAL | 474 | 2.9% | 0.08 | 54% |
| validation | SIDEWAYS | 206 | -35.5% | -0.86 | 57% |
| validation | UPTREND | 425 | 158.1% | 2.42 | 81% |
Trades (full period)
latest 100 of 453
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-05 | — | $378.73 | — | -1.02% | 9 | OPEN |
| 2026-10-01 | 2026-10-02 | $354.11 | $370.59 | -0.40% | 2 | |
| 2026-08-20 | 2026-09-30 | $345.13 | $354.81 | 0.29% | 29 | |
| 2026-07-22 | 2026-07-23 | $374.01 | $319.69 | -1.50% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -3.09% | 3 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-18 | 2026-06-22 | $400.49 | $405.05 | 0.84% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-04-27 | 2026-06-08 | $378.67 | $408.95 | 3.70% | 30 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.17% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.11% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.52% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.29% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-04 | 2025-08-20 | $309.26 | $323.90 | 8.60% | 13 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-07 | 2025-07-10 | $293.94 | $309.87 | -6.37% | 4 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.17% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-08-30 | 2024-10-14 | $214.11 | $219.16 | 5.38% | 31 | |
| 2024-08-28 | 2024-08-29 | $205.75 | $206.28 | -1.85% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-13 | 2024-06-21 | $182.47 | $183.01 | 2.21% | 6 | |
| 2024-06-07 | 2024-06-12 | $177.48 | $177.29 | -4.28% | 4 | |
| 2024-06-05 | 2024-06-06 | $175.00 | $177.94 | -0.07% | 2 | |
| 2024-06-03 | 2024-06-04 | $176.29 | $174.77 | -1.20% | 2 | |
| 2024-05-30 | 2024-05-31 | $178.79 | $178.08 | 1.27% | 2 | |
| 2024-05-13 | 2024-05-29 | $171.89 | $176.19 | 4.71% | 12 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-26 | 2024-04-29 | $168.29 | $194.05 | -1.31% | 2 | |
| 2024-04-11 | 2024-04-16 | $174.60 | $157.11 | -6.17% | 4 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-04-04 | 2024-04-05 | $171.11 | $164.90 | 1.42% | 2 | |
| 2024-03-13 | 2024-03-14 | $169.48 | $162.50 | -4.74% | 2 | |
| 2024-03-07 | 2024-03-08 | $178.65 | $175.34 | 0.99% | 2 | |
| 2024-02-23 | 2024-03-06 | $191.97 | $176.54 | -8.63% | 9 | |
| 2024-02-21 | 2024-02-22 | $194.77 | $197.41 | 0.32% | 2 | |
| 2024-02-16 | 2024-02-20 | $199.95 | $193.76 | -0.45% | 2 | |
| 2024-01-12 | 2024-01-16 | $218.89 | $219.91 | -3.86% | 2 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.63% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2023-11-15 | 2024-01-05 | $242.84 | $237.49 | 0.02% | 35 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 |