Strategy Zoo / S0391
PriceMomentum_V0391
ARCHIVEDhybridllmSimplified and broadened momentum entry (lowered ret_20d threshold and added robust alternative signals: sma_50 cross+slope, 20d breakout, and 60d momentum with moderate vol); added volatility regime gate to avoid high-volatility periods and restricted bubble to NORMAL; multi-level position sizing by volatility to reduce exposure in turbulent markets; more flexible exit: combined modest stop (ret_20d < -8%), trend failure (dist_sma_50 < 0), and overbought (rsi_14 > 78) to improve risk control and reduce overfitting.
Fitness
0.1228
Generation
18
Complexity
20
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0391 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and ((close > sma_50 and sma_50_slope > 0.0) or breakout_20 > 0.5 or (ret_60d > 0.08 and vol_pctile < 0.6))):
position = 0.9
if long and (ret_20d < -0.08 or dist_sma_50 < 0.0 or rsi_14 > 78.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.9% | -2.9% | -5.6% | -1.6% |
| Total Return | 7.0% | -8.4% | -19.3% | -20.9% |
| Sharpe | 0.13 | -0.11 | -0.21 | -0.01 |
| Sortino | 0.09 | -0.07 | -0.14 | -0.01 |
| Calmar | 0.02 | -0.09 | -0.22 | -0.03 |
| Volatility | 16.0% | 15.6% | 18.9% | 16.7% |
| Max DD | -38.8% | -30.9% | -25.1% | -47.4% |
| Win Rate | 44.1% | 33.3% | 40.0% | 40.5% |
| Avg Win | 7.2% | 8.0% | 6.2% | 7.0% |
| Avg Loss | -4.9% | -4.3% | -4.9% | -4.8% |
| Payoff | 1.49 | 1.83 | 1.27 | 1.46 |
| Expectancy | 0.5% | -0.2% | -0.5% | -0.0% |
| Profit Factor | 1.18 | 0.92 | 0.85 | 1.00 |
| Trades | 34 | 15 | 30 | 79 |
| Avg Holding Days | 12.9 | 12.2 | 7.3 | 10.6 |
| Turnover | 7.4 | 7.2 | 13.2 | 8.8 |
| Exposure | 16.8% | 17.6% | 16.5% | 16.9% |
Growth of $100
PriceMomentum_V0391 vs TSLA Buy & Hold
PriceMomentum_V0391 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 | -5.2% | -0.49 | -15.9% | 6 |
| 2017 | 11.2% | 1.47 | -4.8% | 5 |
| 2018 | -15.7% | -1.37 | -17.0% | 3 |
| 2019 | 0.2% | 0.12 | -20.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.4% | 0.54 | -17.4% | 12 |
| 2022 | -16.4% | -0.92 | -27.1% | 3 |
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 | -3.0% | -1.56 | 1% |
| hidden test | EXPENSIVE | 83 | 38.4% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -11.1% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 429 | 12.9% | 0.66 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -25.9% | -1.16 | 15% |
| hidden test | NORMAL | 800 | -8.7% | -0.44 | 19% |
| hidden test | SIDEWAYS | 293 | -26.4% | -1.27 | 27% |
| hidden test | UPTREND | 371 | 12.9% | 0.55 | 19% |
| train | DOWNTREND | 518 | -1.5% | -1.12 | 0% |
| train | EXPENSIVE | 311 | 6.2% | 1.15 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.3% | 0.02 | 1% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.06 | 36% |
| train | MEDIUM VOLATILITY | 568 | -17.9% | -1.39 | 11% |
| train | NORMAL | 1,601 | 1.4% | 0.08 | 21% |
| train | SIDEWAYS | 592 | -17.5% | -1.17 | 14% |
| train | UPTREND | 902 | 17.0% | 0.83 | 28% |
| 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 | -7.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 16.2% | 0.77 | 51% |
| validation | MEDIUM VOLATILITY | 315 | -7.4% | -0.44 | 13% |
| validation | NORMAL | 474 | -2.7% | -0.14 | 28% |
| validation | SIDEWAYS | 206 | -18.9% | -0.92 | 27% |
| validation | UPTREND | 425 | 6.2% | 0.41 | 18% |
Trades (full period)
79 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.65% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.40% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.24% | 14 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 14.55% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -4.19% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.34% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -11.48% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.00% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.12% | 2 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -11.74% | 15 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.62% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.44% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.51% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.44% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.21% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.18% | 2 | |
| 2024-06-14 | 2024-07-03 | $178.01 | $246.39 | 23.65% | 13 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.42% | 29 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.26% | 9 | |
| 2023-06-21 | 2023-08-03 | $259.46 | $259.32 | -5.64% | 31 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.45% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.85% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.82% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.94% | 2 | |
| 2023-05-31 | 2023-06-07 | $203.93 | $224.57 | 8.79% | 6 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.23% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.45% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.51% | 4 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -10.89% | 9 | |
| 2022-09-12 | 2022-09-26 | $304.42 | $276.01 | -7.47% | 11 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -7.08% | 23 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.67% | 26 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -6.20% | 4 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.02% | 8 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -7.68% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.53% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 2.12% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 5.22% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.25% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.52% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.40% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 2021-06-24 | 2021-10-19 | $226.61 | $288.09 | 28.78% | 82 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -7.23% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 6.59% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 14.95% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -8.76% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -10.36% | 5 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -5.03% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.58% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.91% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.86% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.15% | 4 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.36% | 2 | |
| 2017-01-18 | 2017-01-20 | $15.89 | $16.32 | 2.94% | 3 | |
| 2016-12-28 | 2017-01-17 | $14.65 | $15.71 | 7.24% | 13 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.14% | 2 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -4.09% | 25 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.33% | 3 | |
| 2016-04-08 | 2016-05-04 | $16.67 | $14.84 | -7.76% | 19 | |
| 2016-03-28 | 2016-04-07 | $15.35 | $17.15 | 11.15% | 9 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.38% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.83% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.72% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 11.51% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.11% | 6 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.18% | 9 | |
| 2014-09-08 | 2014-09-23 | $18.81 | $16.69 | -7.99% | 12 | |
| 2014-09-04 | 2014-09-05 | $19.07 | $18.49 | 1.37% | 2 | |
| 2014-06-17 | 2014-09-03 | $15.44 | $18.75 | 23.46% | 55 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -7.46% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.90% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.31% | 4 | |
| 2012-07-16 | 2012-07-24 | $2.40 | $1.99 | -6.73% | 7 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.77% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 3.71% | 38 |