Strategy Zoo / S0436
PriceMomentum_V0436
ARCHIVEDhybridllmStronger, regime-aware entry: require moderate 20d momentum + either SMA50 breakout with positive slope or 20d breakout; avoid high-volatility (vol_pctile<0.8) and extreme long-term drawdown (cumret_252d>-0.3). Improved exits: add 5d quick stop and a trend-confirmed exit (below SMA50 + negative 1d return) alongside existing 20d stop. Restrict to UPTREND & non-bubble regimes and reduce base position to 0.6 to lower drawdown risk.
Fitness
0.0776
Generation
20
Complexity
18
Created
2026-09-19
Lineage
Parents (1)
entry = PriceMomentum_V0028 AND LongTermTrend_V0140
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0436 [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_50 and sma_50_slope > 0.0) or breakout_20 > 0.0) and vol_pctile < 0.8 and cumret_252d > -0.3):
position = 0.6
if long and (ret_5d < -0.02 or ret_20d < -0.03 or (dist_sma_50 < 0.0 and ret_1d < 0.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.2% | -2.6% | 0.3% | -1.7% |
| Total Return | -16.6% | -7.6% | 1.1% | -22.0% |
| Sharpe | -0.25 | -0.20 | 0.08 | -0.14 |
| Sortino | -0.12 | -0.09 | 0.03 | -0.06 |
| Calmar | -0.09 | -0.08 | 0.02 | -0.05 |
| Volatility | 7.7% | 10.4% | 10.5% | 9.1% |
| Max DD | -23.7% | -31.5% | -18.6% | -32.9% |
| Win Rate | 34.1% | 14.3% | 45.5% | 33.8% |
| Avg Win | 2.8% | 18.0% | 3.2% | 4.0% |
| Avg Loss | -2.0% | -3.2% | -2.4% | -2.3% |
| Payoff | 1.40 | 5.69 | 1.31 | 1.73 |
| Expectancy | -0.4% | -0.1% | 0.1% | -0.2% |
| Profit Factor | 0.73 | 0.95 | 1.10 | 0.88 |
| Trades | 44 | 14 | 22 | 80 |
| Avg Holding Days | 5.8 | 7.4 | 4.2 | 5.7 |
| Turnover | 6.6 | 5.6 | 7.1 | 6.5 |
| Exposure | 6.4% | 7.1% | 4.5% | 6.1% |
Growth of $100
PriceMomentum_V0436 vs TSLA Buy & Hold
PriceMomentum_V0436 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 | -3.4% | -0.58 | -8.4% | 5 |
| 2017 | 6.6% | 1.90 | -0.7% | 2 |
| 2018 | -4.2% | -0.78 | -5.4% | 3 |
| 2019 | 4.3% | 0.71 | -4.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 24.7% | 1.64 | -7.6% | 5 |
| 2022 | -26.0% | -2.65 | -25.9% | 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 | 12.9% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.5% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 429 | 5.5% | 0.61 | 6% |
| hidden test | MEDIUM VOLATILITY | 248 | 8.5% | 0.76 | 5% |
| hidden test | NORMAL | 800 | -0.3% | -0.03 | 5% |
| hidden test | SIDEWAYS | 293 | -8.3% | -1.03 | 1% |
| hidden test | UPTREND | 371 | 8.7% | 0.58 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.8% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.5% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 0.8% | 0.08 | 14% |
| train | MEDIUM VOLATILITY | 568 | -9.8% | -1.32 | 4% |
| train | NORMAL | 1,601 | -3.4% | -0.40 | 8% |
| train | SIDEWAYS | 592 | -3.2% | -1.23 | 1% |
| train | UPTREND | 902 | -2.3% | -0.20 | 14% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 6.3% | 0.64 | 19% |
| validation | MEDIUM VOLATILITY | 315 | -8.6% | -0.60 | 6% |
| validation | NORMAL | 474 | -3.3% | -0.25 | 11% |
| validation | SIDEWAYS | 206 | -21.7% | -2.17 | 1% |
| validation | UPTREND | 425 | 6.8% | 0.57 | 12% |
Trades (full period)
80 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.50% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.73% | 3 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 0.90% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 8.84% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -1.99% | 7 | |
| 2023-07-03 | 2023-07-12 | $279.82 | $271.99 | 1.77% | 7 | |
| 2023-06-28 | 2023-06-30 | $256.24 | $261.77 | 1.62% | 3 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 9.52% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -2.59% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.72% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.38% | 3 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-24 | 2021-11-09 | $236.16 | $341.17 | 35.35% | 55 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.18% | 9 | |
| 2019-12-02 | 2019-12-17 | $22.32 | $25.27 | 9.05% | 12 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.31% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.05% | 13 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.48% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 7.04% | 14 | |
| 2016-07-26 | 2016-08-08 | $15.30 | $15.08 | -0.10% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-18 | 2016-05-02 | $16.93 | $16.12 | -3.36% | 11 | |
| 2016-04-14 | 2016-04-15 | $16.79 | $16.97 | -0.75% | 2 | |
| 2016-04-05 | 2016-04-13 | $17.03 | $16.97 | 0.14% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-14 | 2015-07-27 | $17.71 | $16.87 | 0.69% | 10 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.28% | 15 | |
| 2015-06-08 | 2015-06-16 | $17.09 | $16.87 | 0.19% | 7 | |
| 2015-05-11 | 2015-06-05 | $15.97 | $16.61 | 2.24% | 19 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.27% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -5.56% | 2 | |
| 2014-08-25 | 2014-09-12 | $17.50 | $18.61 | 5.35% | 14 | |
| 2014-08-05 | 2014-08-22 | $15.90 | $17.12 | 3.86% | 14 | |
| 2014-07-15 | 2014-07-17 | $14.64 | $14.36 | -2.65% | 3 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.48% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 0.97% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -1.84% | 2 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.11% | 9 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -6.45% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.05% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -1.53% | 7 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-11-23 | 2012-11-28 | $2.14 | $2.22 | -0.71% | 4 | |
| 2012-04-09 | 2012-04-10 | $2.21 | $2.16 | -2.43% | 2 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -4.87% | 2 | |
| 2012-03-27 | 2012-04-03 | $2.53 | $2.53 | -1.43% | 6 | |
| 2012-03-12 | 2012-03-20 | $2.40 | $2.33 | 0.32% | 7 | |
| 2012-03-08 | 2012-03-09 | $2.20 | $2.32 | -0.21% | 2 | |
| 2012-03-02 | 2012-03-07 | $2.27 | $2.21 | -2.40% | 4 | |
| 2012-02-29 | 2012-03-01 | $2.23 | $2.29 | -0.83% | 2 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.17% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |