Strategy Zoo / S0440
PriceMomentum_V0440
ARCHIVEDhybridllmSimplified and de-duplicated entry momentum rule; added volatility percentile gate to avoid high-volatility entries; allowed either long-term (above 200 SMA with positive slope) or shorter-term (above 50 SMA) regime to enter; strengthened exits by adding price-based (close < sma_50) and rsi overbought exit to limit drawdowns; reduced base position from 1.0 to 0.7 to lower risk; limited operation to UPTREND and non-HIGH volatility regimes to improve robustness.
Fitness
0.2371
Generation
20
Complexity
15
Created
2026-09-19
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0440 [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 > 0.04 and vol_pctile < 0.8 and ((close > sma_200 and sma_200_slope > 0.0) or close > sma_50)):
position = 0.7
if long and (ret_20d < -0.03 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.8% | 9.7% | 0.0% | 3.6% |
| Total Return | 24.9% | 31.9% | 0.2% | 68.3% |
| Sharpe | 0.28 | 0.61 | 0.08 | 0.31 |
| Sortino | 0.19 | 0.42 | 0.04 | 0.20 |
| Calmar | 0.12 | 0.25 | 0.00 | 0.09 |
| Volatility | 13.1% | 17.8% | 15.2% | 14.7% |
| Max DD | -23.9% | -39.3% | -23.0% | -41.7% |
| Win Rate | 43.6% | 51.9% | 57.1% | 49.4% |
| Avg Win | 5.9% | 6.8% | 3.8% | 5.6% |
| Avg Loss | -3.2% | -4.5% | -4.7% | -3.9% |
| Payoff | 1.86 | 1.51 | 0.80 | 1.44 |
| Expectancy | 0.8% | 1.4% | 0.1% | 0.8% |
| Profit Factor | 1.44 | 1.63 | 1.07 | 1.41 |
| Trades | 39 | 27 | 21 | 87 |
| Avg Holding Days | 11.0 | 7.1 | 7.2 | 8.9 |
| Turnover | 6.9 | 12.6 | 8.0 | 8.3 |
| Exposure | 13.6% | 15.4% | 9.8% | 13.0% |
Growth of $100
PriceMomentum_V0440 vs TSLA Buy & Hold
PriceMomentum_V0440 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 | -5.6% | -0.72 | -10.2% | 3 |
| 2017 | 6.6% | 0.50 | -13.5% | 15 |
| 2018 | -6.2% | -0.93 | -7.5% | 2 |
| 2019 | 9.3% | 1.06 | -6.2% | 4 |
| 2020 | 52.7% | 2.44 | -7.5% | 8 |
| 2021 | 14.4% | 0.76 | -17.5% | 13 |
| 2022 | -26.6% | -2.13 | -28.4% | 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 | 58.3% | 2.11 | 38% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -16.9% | -1.21 | 1% |
| hidden test | LOW VOLATILITY | 429 | 15.3% | 1.36 | 11% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.7% | -0.22 | 17% |
| hidden test | NORMAL | 800 | -4.6% | -0.34 | 7% |
| hidden test | SIDEWAYS | 293 | -9.7% | -1.03 | 1% |
| hidden test | UPTREND | 371 | 10.7% | 0.47 | 24% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 29.0% | 1.37 | 27% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.4% | 0.48 | 1% |
| train | LOW VOLATILITY | 745 | 16.0% | 1.12 | 26% |
| train | MEDIUM VOLATILITY | 568 | -14.6% | -1.07 | 12% |
| train | NORMAL | 1,601 | -1.6% | -0.14 | 12% |
| train | SIDEWAYS | 592 | -3.8% | -1.23 | 1% |
| train | UPTREND | 902 | 10.6% | 0.55 | 30% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 75.0% | 2.82 | 36% |
| validation | EXTREME | 144 | 23.4% | 2.24 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 4.7% | 0.33 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 27.9% | 1.15 | 21% |
| validation | NORMAL | 474 | -11.7% | -0.72 | 14% |
| validation | SIDEWAYS | 206 | -24.4% | -2.08 | 2% |
| validation | UPTREND | 425 | 31.0% | 1.39 | 26% |
Trades (full period)
87 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.26% | 14 | |
| 2025-09-19 | 2025-11-14 | $426.07 | $404.35 | -2.19% | 41 | |
| 2025-09-12 | 2025-09-18 | $395.94 | $416.85 | 10.52% | 5 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -10.52% | 11 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -8.95% | 8 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.53% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.05% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.46% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.32% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 6.99% | 2 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -3.94% | 6 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.61% | 29 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.59% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.38% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.70% | 2 | |
| 2023-06-02 | 2023-06-08 | $213.97 | $234.86 | 5.56% | 5 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.89% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.93% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.82% | 6 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -11.62% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.79% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.26% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.26% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.19% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 8.72% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.26% | 3 | |
| 2021-08-24 | 2021-10-19 | $236.16 | $288.09 | 15.67% | 40 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.11% | 13 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.50% | 22 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 23.54% | 20 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.88% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.13% | 5 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 6.19% | 3 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.30% | 2 | |
| 2019-12-30 | 2020-01-07 | $27.65 | $31.27 | 3.31% | 6 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 0.80% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 2.21% | 2 | |
| 2019-11-22 | 2019-12-20 | $22.20 | $27.04 | 9.51% | 20 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.88% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -6.61% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -6.70% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.51% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.13% | 6 | |
| 2017-02-17 | 2017-02-28 | $18.15 | $16.67 | -6.05% | 7 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.44% | 2 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 2.81% | 2 | |
| 2017-01-27 | 2017-02-10 | $16.86 | $17.95 | 4.46% | 11 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.18% | 2 | |
| 2017-01-05 | 2017-01-24 | $15.12 | $16.97 | 6.55% | 13 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.28% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.23% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 4.88% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-09-04 | 2014-09-16 | $19.07 | $17.38 | -6.93% | 9 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 12.97% | 21 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -3.87% | 18 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.73% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 18.38% | 9 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.49% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.59% | 21 | |
| 2012-12-18 | 2013-01-11 | $2.31 | $2.19 | -1.87% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.06% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |