Strategy Zoo / S0389
PriceMomentum_V0389
ARCHIVEDmomentumllmRequire momentum + trend alignment and MACD confirmation; relax entry threshold to 3% and require price above 50-day SMA to reduce false signals. Add exits: milder time-loss stop (-12% 20d), volatility spike exit (vol_pctile>0.85), and local drawdown guard (-8%). Restrict to UPTREND regime and avoid high-volatility or bubble states. Add position scaling by volatility (full size in low vol, reduced size in high vol) and lower base position to reduce drawdown and overfitting.
Fitness
0.1441
Generation
18
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0389 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and dist_sma_50 > 0.0 and macd_hist > 0.0):
position = 0.6
if long and (ret_20d < -0.12 or vol_pctile > 0.85 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 1.1% | 1.7% | 0.6% |
| Total Return | -0.9% | 3.5% | 6.5% | 9.2% |
| Sharpe | 0.02 | 0.18 | 0.27 | 0.12 |
| Sortino | 0.01 | 0.07 | 0.10 | 0.05 |
| Calmar | -0.01 | 0.07 | 0.16 | 0.03 |
| Volatility | 6.7% | 8.4% | 7.5% | 7.3% |
| Max DD | -16.7% | -17.0% | -11.1% | -19.2% |
| Win Rate | 46.7% | 39.1% | 58.3% | 47.8% |
| Avg Win | 1.4% | 2.1% | 2.1% | 1.8% |
| Avg Loss | -1.2% | -1.0% | -2.3% | -1.4% |
| Payoff | 1.15 | 2.06 | 0.94 | 1.29 |
| Expectancy | 0.0% | 0.2% | 0.3% | 0.1% |
| Profit Factor | 1.00 | 1.32 | 1.32 | 1.18 |
| Trades | 45 | 23 | 24 | 92 |
| Avg Holding Days | 3.8 | 2.7 | 2.5 | 3.2 |
| Turnover | 6.8 | 9.2 | 7.8 | 7.5 |
| Exposure | 3.8% | 3.2% | 2.3% | 3.3% |
Growth of $100
PriceMomentum_V0389 vs TSLA Buy & Hold
PriceMomentum_V0389 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 | 0.0% | 0.03 | -2.2% | 10 |
| 2017 | 4.4% | 1.65 | -0.2% | 8 |
| 2018 | -3.8% | -0.99 | -4.6% | 2 |
| 2019 | -0.9% | -1.07 | -0.9% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.9% | 0.89 | -10.3% | 17 |
| 2022 | -7.6% | -1.53 | -7.5% | 6 |
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 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.3% | -1.43 | 0% |
| hidden test | LOW VOLATILITY | 429 | 3.1% | 0.45 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | 12.7% | 1.43 | 3% |
| hidden test | NORMAL | 800 | -0.3% | -0.04 | 3% |
| hidden test | SIDEWAYS | 293 | -0.9% | -1.04 | 0% |
| hidden test | UPTREND | 371 | 5.7% | 0.48 | 6% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.7% | 1.22 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 1.2% | 0.15 | 9% |
| train | MEDIUM VOLATILITY | 568 | -5.5% | -0.96 | 2% |
| train | NORMAL | 1,601 | -0.2% | -0.03 | 5% |
| train | SIDEWAYS | 592 | -1.7% | -0.83 | 0% |
| train | UPTREND | 902 | 1.4% | 0.14 | 8% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 4.5% | 0.78 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 6.8% | 0.64 | 3% |
| validation | NORMAL | 474 | 2.4% | 0.22 | 5% |
| validation | SIDEWAYS | 206 | -5.1% | -1.14 | 0% |
| validation | UPTREND | 425 | 5.1% | 0.47 | 6% |
Trades (full period)
92 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 | 2026-01-02 | $458.96 | $438.07 | 0.36% | 14 | |
| 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 | |
| 2025-05-27 | 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 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 14.89% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.28% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.05% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.37% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.57% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.17% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.43% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 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 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -0.98% | 2 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.19% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.25% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.12% | 2 | |
| 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 | |
| 2016-04-13 | 2016-04-14 | $16.97 | $16.79 | 1.50% | 2 | |
| 2016-04-11 | 2016-04-12 | $16.66 | $16.52 | -0.16% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -1.98% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.94% | 2 | |
| 2015-07-21 | 2015-07-28 | $17.78 | $17.65 | -6.41% | 6 | |
| 2015-07-01 | 2015-07-09 | $17.94 | $17.19 | -3.05% | 6 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.38% | 5 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.74% | 2 | |
| 2015-05-21 | 2015-05-22 | $16.37 | $16.52 | 0.19% | 2 | |
| 2015-05-19 | 2015-05-20 | $16.48 | $16.29 | -0.51% | 2 | |
| 2015-05-15 | 2015-05-18 | $16.59 | $16.58 | 1.04% | 2 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.50% | 2 | |
| 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 | |
| 2014-06-26 | 2014-07-03 | $15.71 | $15.28 | -1.99% | 6 | |
| 2014-06-23 | 2014-06-25 | $15.81 | $15.79 | 0.66% | 3 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 9.49% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-12-11 | 2012-12-14 | $2.35 | $2.25 | -1.76% | 4 | |
| 2012-12-07 | 2012-12-10 | $2.28 | $2.30 | 0.36% | 2 | |
| 2012-12-05 | 2012-12-06 | $2.25 | $2.26 | -0.46% | 2 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.30% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.71% | 2 | |
| 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 | 2012-04-09 | $2.30 | $2.21 | 0.64% | 32 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |