Strategy Zoo / S0463
PriceMomentum_V0463
ARCHIVEDmomentumllm1) Tightened entry to require short-term momentum + trend confirmation: ret_20d>4%, sma_20>sma_50, macd_hist>0. 2) Avoid high-volatility entries: vol_pctile<0.7 and regime gates restrict to UPTREND and non-extreme volatility/bubble. 3) Improved exits: combined modest 20d stop (-12%), MACD momentum flip, and SMA cross to cut losers earlier. 4) Position sizing scaled by volatility (1.0/0.75/0.35) and reduced base position to 0.9 to lower drawdown risk.
Fitness
0.1465
Generation
21
Complexity
15
Created
2026-09-19
Lineage
Parents (1)
entry from PriceMomentum_V0054, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0463 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and sma_20 > sma_50 and macd_hist > 0.0 and vol_pctile < 0.7):
position = 0.9
if long and (ret_20d < -0.12 or macd_hist < 0.0 or sma_20 < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | -1.5% | 7.9% | 2.5% |
| Total Return | 12.6% | -4.5% | 32.7% | 42.7% |
| Sharpe | 0.21 | -0.07 | 0.78 | 0.29 |
| Sortino | 0.10 | -0.03 | 0.30 | 0.13 |
| Calmar | 0.13 | -0.05 | 0.64 | 0.09 |
| Volatility | 8.7% | 11.7% | 10.4% | 9.8% |
| Max DD | -11.7% | -27.7% | -12.5% | -27.7% |
| Win Rate | 33.3% | 11.1% | 50.0% | 32.5% |
| Avg Win | 6.2% | 24.4% | 7.6% | 8.1% |
| Avg Loss | -2.1% | -3.2% | -1.6% | -2.3% |
| Payoff | 2.98 | 7.58 | 4.80 | 3.50 |
| Expectancy | 0.7% | -0.1% | 3.0% | 1.1% |
| Profit Factor | 1.49 | 0.95 | 4.80 | 1.69 |
| Trades | 21 | 9 | 10 | 40 |
| Avg Holding Days | 7.0 | 7.3 | 5.0 | 6.5 |
| Turnover | 4.6 | 5.0 | 4.4 | 4.6 |
| Exposure | 5.4% | 6.2% | 3.5% | 5.1% |
Growth of $100
PriceMomentum_V0463 vs TSLA Buy & Hold
PriceMomentum_V0463 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 | 0.3% | 0.07 | -4.5% | 2 |
| 2017 | 10.0% | 1.90 | -1.1% | 2 |
| 2018 | -5.7% | -1.17 | -5.7% | 2 |
| 2019 | -1.0% | -1.07 | -1.0% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 16.9% | 0.93 | -11.5% | 5 |
| 2022 | -18.3% | -2.52 | -18.3% | 4 |
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 | 38.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.7% | -1.01 | 0% |
| hidden test | LOW VOLATILITY | 429 | 8.4% | 0.76 | 5% |
| hidden test | MEDIUM VOLATILITY | 248 | 22.0% | 1.72 | 4% |
| hidden test | NORMAL | 800 | 5.6% | 0.55 | 4% |
| hidden test | SIDEWAYS | 293 | -2.0% | -1.35 | 1% |
| hidden test | UPTREND | 371 | 22.1% | 1.34 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 2.6% | 1.18 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.1% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 3.2% | 0.32 | 13% |
| train | MEDIUM VOLATILITY | 568 | -4.0% | -0.59 | 2% |
| train | NORMAL | 1,601 | 1.8% | 0.19 | 7% |
| train | SIDEWAYS | 592 | -4.0% | -1.18 | 1% |
| train | UPTREND | 902 | 6.7% | 0.53 | 12% |
| 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 | -8.0% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -2.1% | -0.17 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 5.7% | 0.41 | 4% |
| validation | NORMAL | 474 | -1.3% | -0.09 | 10% |
| validation | SIDEWAYS | 206 | -10.3% | -1.60 | 1% |
| validation | UPTREND | 425 | 3.5% | 0.23 | 11% |
Trades (full period)
40 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-18 | 2025-12-30 | $483.37 | $454.43 | -1.63% | 8 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.43% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.87% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.07% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.40% | 2 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.01% | 4 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 12.25% | 8 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.55% | 2 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 11.21% | 16 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.14% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.54% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.61% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.27% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 24.36% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.10% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.16% | 8 | |
| 2021-09-07 | 2021-09-21 | $250.97 | $246.46 | -0.58% | 11 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.30% | 9 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.04% | 2 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -2.94% | 5 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.86% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.68% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 10.70% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.68% | 11 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.97% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.84% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.73% | 13 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 3.24% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.90% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.37% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 6.69% | 15 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.29% | 10 | |
| 2013-04-01 | 2013-04-02 | $2.93 | $2.96 | 14.15% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.99% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -5.35% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.90% | 3 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.25% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.39% | 2 |