Strategy Zoo / S1716
PriceMomentum_V1716
ARCHIVEDhybridstructuraladded exit filter: vol_pctile < 0.1012
Fitness
0.6546
Generation
79
Complexity
16
Created
2026-10-16
Lineage
Parents (1)
entry from PriceMomentum_V1405, exit from PriceMomentum_V1021
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1716 [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 > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and (ret_20d < -0.0017 or vol_pctile < 0.1012):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.0% | 91.5% | -1.7% | 17.5% |
| Total Return | 59.6% | 602.3% | -6.2% | 982.1% |
| Sharpe | 0.37 | 2.02 | 0.07 | 0.73 |
| Sortino | 0.31 | 2.42 | 0.06 | 0.67 |
| Calmar | 0.15 | 4.60 | -0.04 | 0.43 |
| Volatility | 23.5% | 35.3% | 26.9% | 27.2% |
| Max DD | -40.5% | -19.9% | -37.7% | -40.5% |
| Win Rate | 41.1% | 54.3% | 32.4% | 42.8% |
| Avg Win | 6.8% | 11.6% | 8.4% | 8.7% |
| Avg Loss | -3.2% | -1.9% | -3.8% | -3.1% |
| Payoff | 2.13 | 6.01 | 2.23 | 2.83 |
| Expectancy | 0.9% | 5.4% | 0.2% | 2.0% |
| Profit Factor | 1.49 | 7.15 | 1.07 | 2.12 |
| Trades | 90 | 46 | 37 | 173 |
| Avg Holding Days | 9.0 | 9.0 | 10.3 | 9.3 |
| Turnover | 23.3 | 30.3 | 19.3 | 23.6 |
| Exposure | 28.2% | 38.6% | 29.1% | 30.6% |
Growth of $100
PriceMomentum_V1716 vs TSLA Buy & Hold
PriceMomentum_V1716 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 | 12.8% | 0.99 | -9.4% | 2 |
| 2017 | -2.9% | -0.00 | -26.5% | 15 |
| 2018 | -16.4% | -1.04 | -20.3% | 6 |
| 2019 | 5.3% | 0.37 | -14.4% | 5 |
| 2020 | 376.5% | 3.70 | -14.9% | 7 |
| 2021 | 19.5% | 0.73 | -18.2% | 34 |
| 2022 | 18.5% | 0.78 | -15.2% | 5 |
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 | -4.6% | -0.27 | 18% |
| hidden test | EXPENSIVE | 83 | 53.5% | 1.37 | 58% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -4.8% | -0.17 | 20% |
| hidden test | LOW VOLATILITY | 445 | 42.9% | 1.95 | 29% |
| hidden test | MEDIUM VOLATILITY | 251 | -63.8% | -1.93 | 39% |
| hidden test | NORMAL | 819 | -8.6% | -0.35 | 26% |
| hidden test | SIDEWAYS | 300 | -20.5% | -0.83 | 28% |
| hidden test | UPTREND | 371 | 25.1% | 0.74 | 39% |
| train | DOWNTREND | 518 | 1.4% | 0.15 | 7% |
| train | EXPENSIVE | 311 | 25.5% | 0.76 | 51% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 17.7% | 0.71 | 17% |
| train | LOW VOLATILITY | 745 | 14.4% | 0.73 | 36% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.40 | 33% |
| train | NORMAL | 1,601 | -6.6% | -0.34 | 22% |
| train | SIDEWAYS | 592 | -8.9% | -0.46 | 24% |
| train | UPTREND | 902 | 24.3% | 0.79 | 43% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 83.0% | 1.96 | 53% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 57.4% | 1.66 | 22% |
| validation | LOW VOLATILITY | 183 | 19.8% | 1.00 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 112.4% | 2.66 | 53% |
| validation | NORMAL | 474 | 13.1% | 0.50 | 30% |
| validation | SIDEWAYS | 206 | 6.2% | 0.25 | 32% |
| validation | UPTREND | 425 | 110.0% | 2.60 | 50% |
Trades (full period)
latest 100 of 173
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-15 | 2026-06-08 | $422.24 | $408.95 | -11.98% | 16 | |
| 2026-05-05 | 2026-05-14 | $389.37 | $443.30 | 13.21% | 8 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-17 | 2025-12-24 | $467.26 | $485.40 | -1.08% | 6 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 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 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-11-17 | 2023-12-11 | $234.30 | $239.74 | 4.18% | 16 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-06-21 | 2023-07-24 | $259.46 | $269.06 | -5.45% | 23 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-05-25 | 2023-06-13 | $184.47 | $258.71 | 36.32% | 13 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -2.70% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 3.67% | 26 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 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 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.28% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 1.06% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-19 | 2021-08-31 | $224.49 | $245.24 | 5.87% | 9 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.51% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.37% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-14 | 2021-07-15 | $217.79 | $216.87 | -2.47% | 2 | |
| 2021-07-12 | 2021-07-13 | $228.57 | $222.85 | 4.17% | 2 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 1.06% | 2 | |
| 2021-07-06 | 2021-07-07 | $219.86 | $214.88 | -3.04% | 2 | |
| 2021-06-24 | 2021-07-02 | $226.61 | $226.30 | 3.05% | 7 | |
| 2021-06-14 | 2021-06-23 | $205.90 | $218.86 | 2.06% | 8 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 0.52% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 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 | |
| 2020-01-08 | 2020-03-04 | $32.81 | $49.97 | 47.51% | 39 | |
| 2019-12-30 | 2020-01-07 | $27.65 | $31.27 | 4.70% | 6 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-17 | 2019-12-24 | $25.27 | $28.35 | 9.67% | 6 | |
| 2019-10-25 | 2019-12-06 | $21.88 | $22.39 | -0.25% | 30 | |
| 2019-07-25 | 2019-08-02 | $15.25 | $15.62 | -13.00% | 7 | |
| 2019-07-01 | 2019-07-17 | $15.14 | $16.99 | 12.72% | 12 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.50% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 |