Strategy Zoo / S0478
PriceMomentum_V0478
ARCHIVEDhybridllmRestrict entries to clear momentum or trend-confirmation setups (added breakout_20 + rel_volume path and a close>sma_50 with positive slope path), tighten regime gating to only UPTREND and avoid HIGH_VOLATILITY/EXTREME bubble, add multi-trigger exit (short-term 1d stop and MACD+5d weakness in addition to existing 20d stop) to reduce drawdowns, and add volatility-based position scaling (reduce size when vol_pctile>0.8 or >0.4) to lower risk in turbulent markets.
Fitness
0.2594
Generation
22
Complexity
19
Created
2026-09-19
Lineage
Parents (1)
entry = PriceMomentum_V0264 OR LongTermTrend_V0208
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0478 [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 > 0.05 and rel_volume > 1.2 and breakout_20 > 0.5) or (close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.03 and cumret_252d > -0.4)):
position = 1.0
if long and (ret_20d < -0.03 or ret_1d < -0.07 or (macd_hist < 0.0 and ret_5d < -0.02)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.8% | 21.1% | -4.5% | 4.0% |
| Total Return | 15.4% | 77.5% | -15.7% | 77.7% |
| Sharpe | 0.19 | 0.88 | -0.12 | 0.29 |
| Sortino | 0.12 | 0.62 | -0.06 | 0.18 |
| Calmar | 0.05 | 0.40 | -0.12 | 0.07 |
| Volatility | 17.4% | 25.5% | 20.9% | 20.2% |
| Max DD | -34.6% | -53.0% | -36.2% | -60.4% |
| Win Rate | 34.5% | 34.8% | 38.5% | 35.5% |
| Avg Win | 6.4% | 18.4% | 6.6% | 10.0% |
| Avg Loss | -3.3% | -4.5% | -4.8% | -3.9% |
| Payoff | 1.93 | 4.09 | 1.38 | 2.56 |
| Expectancy | 0.0% | 3.5% | -0.4% | 1.0% |
| Profit Factor | 1.02 | 2.18 | 0.86 | 1.41 |
| Trades | 58 | 23 | 26 | 107 |
| Avg Holding Days | 6.6 | 8.1 | 5.3 | 6.8 |
| Turnover | 14.7 | 15.3 | 14.1 | 14.6 |
| Exposure | 17.0% | 21.6% | 11.9% | 16.7% |
Growth of $100
PriceMomentum_V0478 vs TSLA Buy & Hold
PriceMomentum_V0478 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 | -3.1% | -0.27 | -9.8% | 4 |
| 2017 | 14.4% | 0.82 | -16.3% | 13 |
| 2018 | -15.2% | -1.27 | -16.8% | 4 |
| 2019 | 17.4% | 1.35 | -7.8% | 3 |
| 2020 | 87.8% | 2.62 | -7.9% | 7 |
| 2021 | 49.2% | 1.46 | -23.1% | 8 |
| 2022 | -39.1% | -2.58 | -38.9% | 8 |
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 | 18.4% | 0.51 | 48% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -24.1% | -1.20 | 2% |
| hidden test | LOW VOLATILITY | 429 | 20.4% | 1.23 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.7% | -0.72 | 19% |
| hidden test | NORMAL | 800 | -4.7% | -0.25 | 9% |
| hidden test | SIDEWAYS | 293 | -12.9% | -0.96 | 1% |
| hidden test | UPTREND | 371 | 4.1% | 0.13 | 29% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 38.8% | 1.40 | 37% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.2% | 0.40 | 1% |
| train | LOW VOLATILITY | 745 | 15.8% | 0.85 | 33% |
| train | MEDIUM VOLATILITY | 568 | -16.6% | -0.93 | 15% |
| train | NORMAL | 1,601 | -4.1% | -0.27 | 14% |
| train | SIDEWAYS | 592 | -9.1% | -1.28 | 1% |
| train | UPTREND | 902 | 13.4% | 0.53 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 121.2% | 3.33 | 49% |
| validation | EXTREME | 144 | 38.3% | 2.27 | 2% |
| validation | HIGH VOLATILITY | 258 | -11.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 22.3% | 1.20 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 50.4% | 1.43 | 30% |
| validation | NORMAL | 474 | -11.2% | -0.48 | 19% |
| validation | SIDEWAYS | 206 | -36.2% | -2.17 | 2% |
| validation | UPTREND | 425 | 57.3% | 1.80 | 37% |
Trades (full period)
latest 100 of 107
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.65% | 12 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -7.23% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.71% | 17 | |
| 2025-10-09 | 2025-10-13 | $435.54 | $435.90 | -5.93% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-05-22 | 2025-06-04 | $341.04 | $332.05 | 2.68% | 9 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 14.63% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -2.21% | 3 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -3.53% | 7 | |
| 2023-07-03 | 2023-07-12 | $279.82 | $271.99 | 2.86% | 7 | |
| 2023-06-28 | 2023-06-30 | $256.24 | $261.77 | 2.71% | 3 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -12.90% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.25% | 6 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 44.62% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.95% | 7 | |
| 2021-01-12 | 2021-02-01 | $283.15 | $279.94 | -2.37% | 14 | |
| 2020-12-30 | 2021-01-11 | $231.59 | $270.40 | 31.88% | 8 | |
| 2020-12-10 | 2020-12-29 | $209.02 | $222.00 | 9.58% | 13 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 | |
| 2020-10-26 | 2020-10-27 | $140.09 | $141.56 | -0.28% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.79% | 6 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.31% | 3 | |
| 2019-12-02 | 2020-01-22 | $22.32 | $37.97 | 65.52% | 35 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.52% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | -0.04% | 13 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.80% | 2 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.46% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.04% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 10.40% | 8 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -5.45% | 5 | |
| 2017-05-08 | 2017-05-09 | $20.48 | $21.42 | -0.58% | 2 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -3.51% | 10 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 10.26% | 6 | |
| 2017-02-03 | 2017-02-23 | $16.76 | $17.07 | 8.51% | 14 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 9.58% | 20 | |
| 2016-07-26 | 2016-08-12 | $15.30 | $15.04 | -2.41% | 14 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -4.60% | 12 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.29% | 9 | |
| 2015-07-13 | 2015-07-14 | $17.48 | $17.71 | 0.96% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-06-08 | 2015-06-16 | $17.09 | $16.87 | 0.30% | 7 | |
| 2015-05-11 | 2015-06-05 | $15.97 | $16.61 | 3.73% | 19 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-09-19 | 2014-09-22 | $17.29 | $16.67 | -1.90% | 2 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -9.27% | 2 | |
| 2014-08-05 | 2014-09-12 | $15.90 | $18.61 | 17.29% | 28 | |
| 2014-07-14 | 2014-07-17 | $15.11 | $14.36 | -0.64% | 4 | |
| 2014-07-10 | 2014-07-11 | $14.63 | $14.54 | -1.81% | 2 | |
| 2014-07-08 | 2014-07-09 | $14.60 | $14.87 | -1.81% | 2 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.34% | 10 | |
| 2014-03-20 | 2014-03-25 | $15.66 | $14.70 | -6.83% | 4 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 26.72% | 9 | |
| 2013-10-11 | 2013-10-22 | $11.91 | $11.44 | -0.39% | 8 | |
| 2013-10-09 | 2013-10-10 | $11.25 | $11.53 | -3.60% | 2 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.95% | 2 | |
| 2013-09-13 | 2013-10-04 | $11.04 | $12.07 | 4.87% | 16 | |
| 2013-09-11 | 2013-09-12 | $10.90 | $11.00 | -1.91% | 2 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.95% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2013-02-19 | 2013-02-22 | $2.62 | $2.41 | -5.26% | 4 | |
| 2013-01-24 | 2013-02-15 | $2.47 | $2.47 | 6.10% | 17 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -2.55% | 7 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 |