Strategy Zoo / S0477
PriceMomentum_V0477
ARCHIVEDhybridllmSimplified and de-duplicated entry momentum checks; added MA regime (50/200) with slope confirmation; introduced volatility and RSI filters to avoid overbought/high-vol regimes; replaced single hard exit with multi-condition exit (20d loss, drawdown cap, RSI overbought); restricted regimes to avoid downtrend/high-volatility/bubble-extreme; added volatility-based position scaling (lower size in higher vol).
Fitness
0.2899
Generation
22
Complexity
21
Created
2026-09-19
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0477 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.04 and ((close > sma_50 and sma_50_slope > 0.0) or (close > sma_200 and sma_200_slope > 0.0)) and rsi_14 < 80.0 and vol_pctile < 0.9):
position = 0.9
if long and (ret_20d < -0.08 or drawdown > 0.12 or rsi_14 > 85.0):
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 *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.8% | 16.0% | -1.6% | 6.6% |
| Total Return | 69.3% | 56.0% | -5.9% | 155.1% |
| Sharpe | 0.43 | 0.76 | 0.03 | 0.41 |
| Sortino | 0.36 | 0.70 | 0.02 | 0.35 |
| Calmar | 0.16 | 0.44 | -0.07 | 0.13 |
| Volatility | 20.2% | 23.0% | 21.3% | 21.1% |
| Max DD | -42.1% | -36.4% | -23.0% | -49.1% |
| Win Rate | 45.7% | 43.8% | 29.4% | 41.2% |
| Avg Win | 9.7% | 20.3% | 14.9% | 13.4% |
| Avg Loss | -4.7% | -8.2% | -5.9% | -5.8% |
| Payoff | 2.06 | 2.49 | 2.54 | 2.30 |
| Expectancy | 1.9% | 4.3% | 0.2% | 2.1% |
| Profit Factor | 1.74 | 1.93 | 1.06 | 1.61 |
| Trades | 35 | 16 | 17 | 68 |
| Avg Holding Days | 19.1 | 18.4 | 17.2 | 18.5 |
| Turnover | 8.0 | 8.0 | 8.7 | 8.1 |
| Exposure | 25.5% | 28.1% | 23.9% | 25.6% |
Growth of $100
PriceMomentum_V0477 vs TSLA Buy & Hold
PriceMomentum_V0477 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 | -13.3% | -1.25 | -22.1% | 2 |
| 2017 | 19.5% | 1.02 | -9.5% | 12 |
| 2018 | -15.7% | -1.37 | -17.0% | 3 |
| 2019 | 18.5% | 0.81 | -19.9% | 4 |
| 2020 | 70.5% | 2.84 | -8.6% | 5 |
| 2021 | 13.7% | 0.59 | -27.1% | 7 |
| 2022 | -21.5% | -1.11 | -33.2% | 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 | -2.7% | -1.41 | 1% |
| hidden test | EXPENSIVE | 83 | 57.0% | 1.86 | 41% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.7% | -0.47 | 1% |
| hidden test | LOW VOLATILITY | 429 | 29.7% | 1.35 | 37% |
| hidden test | MEDIUM VOLATILITY | 248 | -43.1% | -1.62 | 25% |
| hidden test | NORMAL | 800 | -5.2% | -0.25 | 24% |
| hidden test | SIDEWAYS | 293 | -23.5% | -1.00 | 38% |
| hidden test | UPTREND | 371 | 22.1% | 0.83 | 30% |
| train | DOWNTREND | 518 | -1.8% | -0.41 | 1% |
| train | EXPENSIVE | 311 | 54.3% | 2.01 | 36% |
| train | EXTREME | 100 | 7.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.7% | 0.44 | 2% |
| train | LOW VOLATILITY | 745 | 25.8% | 1.19 | 50% |
| train | MEDIUM VOLATILITY | 568 | -14.1% | -0.77 | 23% |
| train | NORMAL | 1,601 | -0.2% | -0.01 | 25% |
| train | SIDEWAYS | 592 | -10.4% | -0.52 | 21% |
| train | UPTREND | 902 | 27.1% | 1.08 | 42% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 92.3% | 3.24 | 40% |
| validation | EXTREME | 144 | 29.8% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.2% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 35.1% | 1.39 | 65% |
| validation | MEDIUM VOLATILITY | 315 | 25.8% | 0.88 | 29% |
| validation | NORMAL | 474 | -8.1% | -0.34 | 33% |
| validation | SIDEWAYS | 206 | -26.0% | -1.06 | 35% |
| validation | UPTREND | 425 | 43.7% | 1.72 | 33% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -3.75% | 23 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.40% | 2 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.13% | 23 | |
| 2025-08-25 | 2025-11-18 | $346.60 | $401.25 | 17.23% | 61 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.74% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -11.31% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.12% | 2 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -10.76% | 12 | |
| 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 | |
| 2024-06-14 | 2024-07-08 | $178.01 | $252.94 | 30.44% | 15 | |
| 2023-11-17 | 2024-01-16 | $234.30 | $219.91 | -5.78% | 39 | |
| 2023-09-12 | 2023-10-16 | $267.48 | $253.92 | -4.23% | 25 | |
| 2023-06-22 | 2023-08-03 | $264.61 | $259.32 | -0.76% | 30 | |
| 2023-05-31 | 2023-06-12 | $203.93 | $249.83 | 18.97% | 9 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -10.19% | 13 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -10.89% | 9 | |
| 2022-09-12 | 2022-10-04 | $304.42 | $249.44 | -15.11% | 17 | |
| 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 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.35% | 2 | |
| 2021-12-09 | 2021-12-17 | $334.60 | $310.86 | -8.60% | 7 | |
| 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 | |
| 2021-06-14 | 2021-10-26 | $205.90 | $339.48 | 59.60% | 95 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -11.34% | 20 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -11.86% | 29 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 27.00% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 26.83% | 14 | |
| 2020-10-13 | 2020-10-30 | $148.88 | $129.35 | -5.27% | 14 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.07% | 4 | |
| 2020-01-10 | 2020-01-22 | $31.88 | $37.97 | 10.91% | 8 | |
| 2019-12-31 | 2020-01-09 | $27.89 | $32.09 | 16.48% | 7 | |
| 2019-11-22 | 2019-12-27 | $22.20 | $28.69 | 18.97% | 24 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 14.69% | 8 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -3.81% | 12 | |
| 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 | |
| 2017-08-25 | 2017-10-17 | $23.20 | $23.72 | -0.64% | 37 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.18% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.66% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -6.03% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.24% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.06% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 0.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.75% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.11% | 6 | |
| 2017-02-17 | 2017-02-28 | $18.15 | $16.67 | -6.79% | 7 | |
| 2016-12-28 | 2017-02-14 | $14.65 | $18.73 | 24.52% | 33 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -11.65% | 29 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.65% | 28 | |
| 2015-09-22 | 2015-10-09 | $17.40 | $14.71 | -12.33% | 14 | |
| 2015-04-29 | 2015-08-07 | $15.50 | $16.17 | 10.20% | 71 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.11% | 6 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.58% | 15 | |
| 2014-05-28 | 2014-09-30 | $14.02 | $16.18 | 16.88% | 88 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.26% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.65% | 9 | |
| 2014-01-06 | 2014-01-15 | $9.80 | $10.94 | 6.94% | 8 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -1.51% | 34 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2012-11-06 | 2013-02-27 | $2.08 | $2.34 | 8.96% | 77 | |
| 2012-06-28 | 2012-07-24 | $2.09 | $1.99 | -1.60% | 18 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.77% | 5 | |
| 2012-02-15 | 2012-04-11 | $2.24 | $2.21 | 2.35% | 39 |