Strategy Zoo / S0483
PriceMomentum_V0483
ARCHIVEDhybridllmReduced overfitting and improved robustness: restricted trend regimes to UPTREND+SIDEWAYS, excluded HIGH volatility and non-NORMAL bubble; simplified entry (ret_20d > 4%) and added pragmatic momentum filter (macd_hist>0) plus a sma_50 or sma_200+positive slope breakout; require modest rel_volume>0.9 and keep cumret guard; improved exits by adding close< sма_50 and vol spike (vol_chg>0.5) to the existing 20d stop; reduced base_position to 0.8 to lower drawdown risk.
Fitness
0.0759
Generation
22
Complexity
17
Created
2026-09-19
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0483 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and (close > sma_50 or (close > sma_200 and sma_200_slope > 0.0) or macd_hist > 0.0) and rel_volume > 0.9 and cumret_252d > -0.2):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or vol_chg > 0.5):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.6% | 3.3% | -2.7% | -3.7% |
| Total Return | -42.0% | 10.3% | -9.6% | -42.2% |
| Sharpe | -0.45 | 0.28 | -0.07 | -0.18 |
| Sortino | -0.24 | 0.18 | -0.04 | -0.10 |
| Calmar | -0.13 | 0.18 | -0.08 | -0.07 |
| Volatility | 13.2% | 16.0% | 17.0% | 14.8% |
| Max DD | -52.5% | -18.6% | -32.2% | -53.3% |
| Win Rate | 46.5% | 54.2% | 53.1% | 49.6% |
| Avg Win | 2.9% | 3.8% | 4.2% | 3.4% |
| Avg Loss | -3.8% | -3.4% | -5.0% | -4.0% |
| Payoff | 0.77 | 1.12 | 0.83 | 0.86 |
| Expectancy | -0.7% | 0.5% | -0.1% | -0.3% |
| Profit Factor | 0.67 | 1.33 | 0.94 | 0.84 |
| Trades | 71 | 24 | 32 | 127 |
| Avg Holding Days | 5.0 | 6.5 | 6.0 | 5.5 |
| Turnover | 14.2 | 12.8 | 13.9 | 13.8 |
| Exposure | 11.2% | 13.9% | 13.7% | 12.4% |
Growth of $100
PriceMomentum_V0483 vs TSLA Buy & Hold
PriceMomentum_V0483 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 | -11.5% | -1.04 | -14.0% | 11 |
| 2017 | 11.6% | 1.64 | -3.5% | 6 |
| 2018 | -15.3% | -1.37 | -15.8% | 4 |
| 2019 | -10.8% | -0.46 | -24.2% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 14.4% | 0.71 | -18.2% | 19 |
| 2022 | -3.6% | -0.15 | -18.6% | 5 |
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 | -2.9% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 16.4% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.8% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 429 | 10.1% | 0.63 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -2.0% | -0.10 | 12% |
| hidden test | NORMAL | 800 | -3.2% | -0.18 | 16% |
| hidden test | SIDEWAYS | 293 | -7.5% | -0.41 | 21% |
| hidden test | UPTREND | 371 | 4.8% | 0.23 | 18% |
| train | DOWNTREND | 518 | -5.9% | -1.11 | 0% |
| train | EXPENSIVE | 311 | 1.2% | 0.77 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -5.4% | -0.43 | 1% |
| train | LOW VOLATILITY | 745 | 6.3% | 0.48 | 22% |
| train | MEDIUM VOLATILITY | 568 | -22.6% | -1.60 | 11% |
| train | NORMAL | 1,601 | -7.7% | -0.52 | 14% |
| train | SIDEWAYS | 592 | -17.8% | -1.19 | 13% |
| train | UPTREND | 902 | 1.8% | 0.12 | 16% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 6.5% | 0.40 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 14.8% | 0.76 | 12% |
| validation | NORMAL | 474 | 7.2% | 0.36 | 22% |
| validation | SIDEWAYS | 206 | -14.0% | -0.73 | 23% |
| validation | UPTREND | 425 | 14.9% | 0.90 | 13% |
Trades (full period)
latest 100 of 127
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-13 | 2026-06-08 | $445.27 | $408.95 | -7.96% | 18 | |
| 2026-05-08 | 2026-05-12 | $428.35 | $433.45 | 6.26% | 3 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-19 | 2026-01-05 | $481.20 | $451.67 | -7.70% | 10 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.85% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.69% | 2 | |
| 2025-09-09 | 2025-09-12 | $346.97 | $395.94 | 5.00% | 4 | |
| 2025-08-27 | 2025-09-08 | $349.60 | $346.40 | -0.32% | 8 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -11.68% | 14 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 2 | |
| 2024-07-09 | 2024-07-12 | $262.33 | $248.23 | -3.87% | 4 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-27 | 2024-07-01 | $197.42 | $209.86 | 0.45% | 3 | |
| 2023-12-18 | 2024-01-10 | $252.08 | $233.94 | -5.99% | 16 | |
| 2023-12-06 | 2023-12-15 | $239.37 | $253.50 | 3.97% | 8 | |
| 2023-11-28 | 2023-12-04 | $246.72 | $235.58 | 0.79% | 5 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.53% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-07-25 | 2023-08-02 | $265.28 | $254.11 | -2.51% | 7 | |
| 2023-06-06 | 2023-07-21 | $221.31 | $260.02 | 16.49% | 32 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.53% | 20 | |
| 2022-03-24 | 2022-04-08 | $337.97 | $341.83 | 4.58% | 12 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 6.16% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-10-29 | 2021-11-10 | $371.33 | $355.98 | -3.92% | 9 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-10-05 | 2021-10-19 | $260.20 | $288.09 | 8.82% | 11 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.76% | 2 | |
| 2021-09-21 | 2021-09-29 | $246.46 | $260.44 | 5.01% | 7 | |
| 2021-09-15 | 2021-09-20 | $251.94 | $243.39 | 1.45% | 4 | |
| 2021-09-07 | 2021-09-14 | $250.97 | $248.16 | 0.88% | 6 | |
| 2021-08-19 | 2021-09-01 | $224.49 | $244.70 | 5.25% | 10 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-06-28 | 2021-07-26 | $229.57 | $219.21 | -3.51% | 20 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -4.21% | 3 | |
| 2021-04-20 | 2021-04-30 | $239.66 | $236.48 | -4.34% | 9 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2019-11-27 | 2019-12-09 | $22.09 | $22.64 | 1.54% | 8 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.04% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-12-12 | 2018-12-19 | $24.44 | $22.20 | -6.65% | 6 | |
| 2018-11-27 | 2018-12-07 | $22.93 | $23.86 | 3.77% | 8 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -8.41% | 14 | |
| 2017-12-19 | 2017-12-26 | $22.07 | $21.15 | -3.39% | 5 | |
| 2017-12-14 | 2017-12-18 | $22.53 | $22.59 | 0.88% | 3 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.79% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.67% | 2 | |
| 2017-01-06 | 2017-01-20 | $15.27 | $16.32 | 5.81% | 10 | |
| 2016-12-28 | 2017-01-05 | $14.65 | $15.12 | 2.57% | 6 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-08-08 | 2016-08-23 | $15.08 | $14.99 | -2.63% | 12 | |
| 2016-07-22 | 2016-08-05 | $14.82 | $15.34 | 3.51% | 11 | |
| 2016-06-14 | 2016-06-15 | $14.33 | $14.51 | -1.23% | 2 | |
| 2016-06-10 | 2016-06-13 | $14.59 | $14.52 | -3.84% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-08 | 2016-05-04 | $16.67 | $14.84 | -7.92% | 19 | |
| 2016-04-06 | 2016-04-07 | $17.69 | $17.15 | 2.95% | 2 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.00% | 2 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -2.90% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-20 | 2015-07-21 | $18.82 | $17.78 | 2.05% | 2 | |
| 2015-07-07 | 2015-07-08 | $17.86 | $17.00 | -3.54% | 2 | |
| 2015-06-30 | 2015-07-06 | $17.88 | $18.65 | 5.31% | 4 | |
| 2015-06-26 | 2015-06-29 | $17.81 | $17.47 | -0.67% | 2 | |
| 2015-06-23 | 2015-06-24 | $17.84 | $17.68 | 2.26% | 2 | |
| 2015-06-18 | 2015-06-22 | $17.46 | $17.32 | 0.48% | 3 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -1.90% | 3 | |
| 2015-05-11 | 2015-06-01 | $15.97 | $16.63 | 4.62% | 15 | |
| 2015-05-04 | 2015-05-08 | $15.37 | $15.77 | 3.64% | 5 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.53% | 2 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-09-09 | 2014-09-16 | $18.57 | $17.38 | -8.17% | 6 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -2.58% | 2 | |
| 2014-09-03 | 2014-09-04 | $18.75 | $19.07 | -0.98% | 2 | |
| 2014-08-07 | 2014-09-02 | $16.83 | $18.94 | 6.48% | 18 |