Strategy Zoo / S0372
PriceMomentum_V0372
ARCHIVEDhybridllmReduced ret_20d threshold to 3% and removed duplicate checks to increase signal frequency; added momentum confirmation (macd_hist>0) and price confirmation (close>sma_50 or breakout_20); avoid very high volatility via vol_pctile<0.85; strengthened exits by adding sma_50 breakdown and a max drawdown exit (-15%); limited deployments to UP trends and non-HIGH volatility / non-EXTREME bubble regimes; lowered base position to 60% to reduce risk.
Fitness
0.3225
Generation
17
Complexity
14
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0028 AND LongTermTrend_V0140
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0372 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.03 and vol_pctile < 0.85 and (close > sma_50 or breakout_20 > 0.0) and macd_hist > 0.0):
position = 0.6
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.0% | 18.7% | 1.1% | 5.7% |
| Total Return | 26.7% | 67.4% | 4.2% | 124.9% |
| Sharpe | 0.34 | 1.32 | 0.16 | 0.55 |
| Sortino | 0.21 | 0.90 | 0.08 | 0.34 |
| Calmar | 0.18 | 0.91 | 0.10 | 0.25 |
| Volatility | 10.4% | 13.7% | 10.1% | 11.1% |
| Max DD | -16.5% | -20.5% | -11.1% | -22.6% |
| Win Rate | 44.7% | 42.1% | 53.8% | 47.0% |
| Avg Win | 3.2% | 9.8% | 2.1% | 4.4% |
| Avg Loss | -1.6% | -1.8% | -2.0% | -1.8% |
| Payoff | 2.01 | 5.51 | 1.03 | 2.49 |
| Expectancy | 0.5% | 3.1% | 0.2% | 1.1% |
| Profit Factor | 1.63 | 4.01 | 1.21 | 2.21 |
| Trades | 38 | 19 | 26 | 83 |
| Avg Holding Days | 9.1 | 7.3 | 4.1 | 7.3 |
| Turnover | 5.8 | 7.6 | 8.4 | 6.8 |
| Exposure | 9.5% | 9.5% | 5.2% | 8.4% |
Growth of $100
PriceMomentum_V0372 vs TSLA Buy & Hold
PriceMomentum_V0372 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 | -2.7% | -0.47 | -6.8% | 7 |
| 2017 | 5.7% | 0.52 | -7.7% | 14 |
| 2018 | -8.3% | -1.79 | -8.3% | 2 |
| 2019 | 4.7% | 1.07 | -2.3% | 1 |
| 2020 | 43.9% | 2.52 | -4.7% | 3 |
| 2021 | 28.3% | 1.52 | -10.3% | 11 |
| 2022 | -11.4% | -2.02 | -11.4% | 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 | 42.1% | 1.79 | 32% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.3% | -1.43 | 0% |
| hidden test | LOW VOLATILITY | 429 | 7.5% | 0.96 | 5% |
| hidden test | MEDIUM VOLATILITY | 248 | 3.7% | 0.25 | 10% |
| hidden test | NORMAL | 800 | -2.5% | -0.32 | 3% |
| hidden test | SIDEWAYS | 293 | -0.9% | -1.04 | 0% |
| hidden test | UPTREND | 371 | 4.8% | 0.30 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 27.2% | 1.59 | 22% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.1% | 0.95 | 1% |
| train | LOW VOLATILITY | 745 | 11.9% | 1.06 | 19% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -1.17 | 8% |
| train | NORMAL | 1,601 | -1.3% | -0.15 | 8% |
| train | SIDEWAYS | 592 | -2.5% | -1.06 | 1% |
| train | UPTREND | 902 | 9.5% | 0.61 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 69.4% | 3.09 | 28% |
| validation | EXTREME | 144 | 23.1% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 11.6% | 1.27 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 42.5% | 2.24 | 15% |
| validation | NORMAL | 474 | 1.7% | 0.15 | 7% |
| validation | SIDEWAYS | 206 | -5.1% | -1.14 | 0% |
| validation | UPTREND | 425 | 34.7% | 1.93 | 17% |
Trades (full period)
83 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.20% | 15 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -0.76% | 44 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.48% | 5 | |
| 2021-09-28 | 2021-11-10 | $259.19 | $355.98 | 17.24% | 32 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.15% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.12% | 5 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.38% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 25.60% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 18.20% | 13 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -4.12% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 24.41% | 24 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -4.75% | 7 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -5.68% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.18% | 8 | |
| 2017-05-15 | 2017-05-19 | $21.06 | $20.72 | -2.28% | 5 | |
| 2017-05-02 | 2017-05-10 | $21.26 | $21.68 | -0.33% | 7 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.10% | 6 | |
| 2017-01-20 | 2017-02-28 | $16.32 | $16.67 | 0.64% | 27 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.59% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.01% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.16% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.27% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.49% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -1.34% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.44% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-05 | 2016-05-02 | $17.03 | $16.12 | -1.54% | 20 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 2.13% | 53 | |
| 2015-05-11 | 2015-05-12 | $15.97 | $16.32 | 0.61% | 2 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.39% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.93% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -3.30% | 18 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.66% | 9 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.22% | 32 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 9.49% | 4 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.32% | 21 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-11-27 | 2012-11-28 | $2.14 | $2.22 | -0.34% | 2 | |
| 2012-11-23 | 2012-11-26 | $2.14 | $2.15 | -0.75% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -1.69% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |