Strategy Zoo / S0422
PriceMomentum_V0422
ARCHIVEDhybridllmSimplified and diversified entry signals (add MACD histogram and breakout confirmation; relax ret_20d threshold), added volatility-aware regime gates (avoid HIGH_VOLATILITY) and bubble gate (NORMAL only), introduced position scaling rules to reduce size in high volatility and downtrends, tightened exit logic to include short-term stop (ret_5d) and a SMA50-based exit to cut losers earlier, and reduced base_position to 0.8 to allow scaling. Aim: improve robustness, reduce drawdowns and overfitting.
Fitness
0.1004
Generation
19
Complexity
17
Created
2026-09-18
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0422 [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_200 and sma_200_slope > 0.0) or macd_hist > 0.0 or breakout_20 > 0.0) and cumret_252d > -0.25 and rel_volume < 2.5):
position = 0.8
if long and (ret_20d < -0.03 or ret_5d < -0.025 or dist_sma_50 < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | -2.0% | -1.1% | -1.6% |
| Total Return | -12.2% | -5.9% | -3.9% | -20.6% |
| Sharpe | -0.11 | -0.08 | -0.01 | -0.07 |
| Sortino | -0.05 | -0.04 | -0.00 | -0.03 |
| Calmar | -0.07 | -0.05 | -0.04 | -0.04 |
| Volatility | 10.4% | 13.8% | 13.8% | 12.1% |
| Max DD | -22.3% | -36.7% | -26.3% | -41.7% |
| Win Rate | 37.1% | 21.4% | 42.9% | 35.7% |
| Avg Win | 4.0% | 17.7% | 5.0% | 6.0% |
| Avg Loss | -2.8% | -4.4% | -3.8% | -3.5% |
| Payoff | 1.44 | 4.02 | 1.32 | 1.74 |
| Expectancy | -0.3% | 0.3% | -0.0% | -0.1% |
| Profit Factor | 0.85 | 1.10 | 0.99 | 0.97 |
| Trades | 35 | 14 | 21 | 70 |
| Avg Holding Days | 7.2 | 7.4 | 4.1 | 6.3 |
| Turnover | 7.0 | 7.5 | 9.1 | 7.6 |
| Exposure | 8.6% | 9.4% | 5.6% | 8.0% |
Growth of $100
PriceMomentum_V0422 vs TSLA Buy & Hold
PriceMomentum_V0422 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 | -1.6% | -0.20 | -7.0% | 3 |
| 2017 | 9.7% | 2.04 | -0.9% | 2 |
| 2018 | -5.6% | -0.78 | -7.1% | 3 |
| 2019 | 5.6% | 0.71 | -6.2% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 33.6% | 1.64 | -10.1% | 5 |
| 2022 | -29.7% | -2.31 | -31.7% | 9 |
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 | 17.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.3% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 429 | 5.3% | 0.46 | 7% |
| hidden test | MEDIUM VOLATILITY | 248 | 10.1% | 0.68 | 8% |
| hidden test | NORMAL | 800 | -1.9% | -0.13 | 6% |
| hidden test | SIDEWAYS | 293 | -13.6% | -1.23 | 1% |
| hidden test | UPTREND | 371 | 10.4% | 0.53 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 2.5% | 0.21 | 20% |
| train | MEDIUM VOLATILITY | 568 | -9.5% | -0.98 | 4% |
| train | NORMAL | 1,601 | -2.7% | -0.24 | 11% |
| train | SIDEWAYS | 592 | -4.3% | -1.23 | 1% |
| train | UPTREND | 902 | 0.4% | 0.03 | 19% |
| 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 | 2.8% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 11.3% | 0.91 | 25% |
| validation | MEDIUM VOLATILITY | 315 | -11.5% | -0.60 | 8% |
| validation | NORMAL | 474 | -1.7% | -0.10 | 15% |
| validation | SIDEWAYS | 206 | -25.0% | -1.94 | 2% |
| validation | UPTREND | 425 | 10.2% | 0.63 | 16% |
Trades (full period)
70 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 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 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.66% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.97% | 3 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 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 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.71% | 4 | |
| 2023-07-05 | 2023-07-12 | $282.48 | $271.99 | -3.03% | 6 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 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 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -10.31% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 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 | 2021-11-09 | $236.16 | $341.17 | 49.25% | 55 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-12-02 | 2019-12-17 | $22.32 | $25.27 | 12.19% | 12 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.42% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.02% | 13 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.64% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 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 | 2016-04-13 | $17.03 | $16.97 | 0.15% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-20 | 2015-07-27 | $18.82 | $16.87 | -2.83% | 6 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 6.09% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-08-25 | 2014-09-16 | $17.50 | $17.38 | -0.95% | 16 | |
| 2014-08-05 | 2014-08-22 | $15.90 | $17.12 | 5.14% | 14 | |
| 2014-07-15 | 2014-07-17 | $14.64 | $14.36 | -3.53% | 3 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.64% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.30% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -2.46% | 2 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.18% | 9 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -8.57% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -2.04% | 7 | |
| 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 | |
| 2012-03-29 | 2012-04-05 | $2.49 | $2.30 | -6.15% | 6 | |
| 2012-03-12 | 2012-03-20 | $2.40 | $2.33 | 0.41% | 7 | |
| 2012-02-29 | 2012-03-09 | $2.23 | $2.32 | -1.90% | 8 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.56% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |