Strategy Zoo / S0365
PriceMomentum_V0365
ARCHIVEDhybridllm1) Tightened and simplified entry: require 20d momentum >4%, plus either price above sma_100 with rising sma_200 or a 20-day breakout; added cumulative 252d sanity check and capped vol_pctile to avoid extreme volatility. 2) More robust exit: keep short-term and medium-term loss stops (1d -7%, 20d -3%) and add technical exit when momentum (macd_hist) and sma_50 slope turn negative. 3) Regime gating made stricter: only enter in UPTREND and non-high volatility environments and avoid bubble regimes. 4) Reduced base position to 0.8 to lower exposure and drawdown risk.
Fitness
0.1070
Generation
17
Complexity
19
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0028 AND LongTermTrend_V0140
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0365 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and (((close > sma_100 and sma_200_slope > 0.0) or breakout_20 == 1) and cumret_252d > -0.2 and vol_pctile < 0.8)):
position = 0.8
if long and (ret_1d < -0.07 or ret_20d < -0.03 or (macd_hist < 0.0 and sma_50_slope < 0.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | -4.2% | 0.3% | -0.9% |
| Total Return | -0.8% | -12.1% | 1.2% | -11.8% |
| Sharpe | 0.05 | -0.20 | 0.10 | 0.00 |
| Sortino | 0.03 | -0.09 | 0.04 | 0.00 |
| Calmar | -0.00 | -0.10 | 0.01 | -0.02 |
| Volatility | 11.5% | 15.3% | 15.1% | 13.3% |
| Max DD | -23.9% | -41.6% | -27.3% | -41.6% |
| Win Rate | 40.0% | 22.2% | 50.0% | 39.5% |
| Avg Win | 5.5% | 19.0% | 7.4% | 7.9% |
| Avg Loss | -3.5% | -6.2% | -6.5% | -5.0% |
| Payoff | 1.57 | 3.08 | 1.14 | 1.57 |
| Expectancy | 0.1% | -0.6% | 0.5% | 0.1% |
| Profit Factor | 1.04 | 0.88 | 1.14 | 1.02 |
| Trades | 20 | 9 | 14 | 43 |
| Avg Holding Days | 14.2 | 11.8 | 7.0 | 11.3 |
| Turnover | 4.0 | 4.8 | 6.1 | 4.7 |
| Exposure | 10.5% | 10.3% | 7.2% | 9.6% |
Growth of $100
PriceMomentum_V0365 vs TSLA Buy & Hold
PriceMomentum_V0365 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 | -6.5% | -0.72 | -11.7% | 3 |
| 2017 | 9.5% | 2.08 | -0.7% | 1 |
| 2018 | -7.0% | -0.93 | -8.6% | 2 |
| 2019 | 5.9% | 0.73 | -5.9% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 22.4% | 1.05 | -18.7% | 4 |
| 2022 | -28.3% | -2.05 | -30.3% | 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 | 267 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.2% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 429 | 10.5% | 0.82 | 10% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.0% | 0.40 | 8% |
| hidden test | NORMAL | 800 | -1.8% | -0.12 | 8% |
| hidden test | SIDEWAYS | 293 | -13.5% | -1.23 | 1% |
| hidden test | UPTREND | 371 | 14.4% | 0.66 | 17% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.5% | 1.29 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 8.8% | 0.62 | 23% |
| train | MEDIUM VOLATILITY | 568 | -11.9% | -1.13 | 6% |
| train | NORMAL | 1,601 | -0.6% | -0.04 | 13% |
| train | SIDEWAYS | 592 | -3.8% | -1.11 | 1% |
| train | UPTREND | 902 | 3.7% | 0.22 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 13.2% | 1.01 | 26% |
| validation | MEDIUM VOLATILITY | 315 | -9.8% | -0.50 | 9% |
| validation | NORMAL | 474 | -5.0% | -0.26 | 16% |
| validation | SIDEWAYS | 206 | -23.9% | -1.85 | 2% |
| validation | UPTREND | 425 | 6.0% | 0.33 | 17% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -4.62% | 16 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -10.54% | 6 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.19% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -4.50% | 6 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 21.01% | 34 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 34.93% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.57% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -2.18% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.61% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.86% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 4.49% | 54 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -4.44% | 18 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-18 | 2013-01-11 | $2.31 | $2.19 | -2.15% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-04-09 | 2012-04-10 | $2.21 | $2.16 | -3.24% | 2 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 1.86% | 31 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |