Strategy Zoo / S0502
PriceMomentum_V0502
ARCHIVEDmomentumllmAdded regime gates to avoid DOWNTREND, HIGH_VOLATILITY and bubble states; entry now requires short-term return plus momentum confirmation (macd_hist>0 or breakout_20) and avoids high volatility (vol_pctile<0.8); improved exit adds drawdown and negative macd_hist conditions to cap large drawdowns; introduced position scaling: cut exposure in very high volatility (vol_pctile>0.85 -> 0.3) and increase to full size on strong momentum with lower volatility (ret_20d>0.10 and vol_pctile<0.5); reduced base position to 0.6 to lower risk.
Fitness
0.1738
Generation
23
Complexity
13
Created
2026-09-22
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0502 [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.035 and (macd_hist > 0.0 or breakout_20 > 0.0) and vol_pctile < 0.8):
position = 0.6
if long and (ret_20d < -0.025 or drawdown < -0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.7% | 6.9% | 0.1% | 0.4% |
| Total Return | -13.0% | 22.1% | 0.4% | 6.6% |
| Sharpe | -0.19 | 0.75 | 0.06 | 0.09 |
| Sortino | -0.11 | 0.43 | 0.03 | 0.06 |
| Calmar | -0.06 | 0.67 | 0.01 | 0.01 |
| Volatility | 7.7% | 9.5% | 8.7% | 8.3% |
| Max DD | -30.6% | -10.3% | -14.2% | -31.3% |
| Win Rate | 43.2% | 53.1% | 51.4% | 47.5% |
| Avg Win | 1.3% | 1.5% | 1.5% | 1.4% |
| Avg Loss | -1.2% | -0.8% | -1.5% | -1.2% |
| Payoff | 1.12 | 1.92 | 0.98 | 1.18 |
| Expectancy | -0.1% | 0.4% | 0.0% | 0.0% |
| Profit Factor | 0.85 | 2.17 | 1.03 | 1.07 |
| Trades | 125 | 49 | 70 | 244 |
| Avg Holding Days | 2.5 | 2.3 | 2.1 | 2.4 |
| Turnover | 18.8 | 19.6 | 22.7 | 19.9 |
| Exposure | 5.5% | 5.2% | 5.2% | 5.4% |
Growth of $100
PriceMomentum_V0502 vs TSLA Buy & Hold
PriceMomentum_V0502 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 | -3.9% | -0.58 | -6.4% | 20 |
| 2017 | 3.2% | 0.76 | -3.1% | 13 |
| 2018 | -7.1% | -1.44 | -7.3% | 8 |
| 2019 | -4.0% | -0.59 | -8.6% | 13 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.2% | 0.81 | -10.3% | 35 |
| 2022 | 9.8% | 1.23 | -3.2% | 14 |
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 | 268 | -1.3% | -1.01 | 0% |
| hidden test | EXPENSIVE | 83 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.3% | -0.20 | 0% |
| hidden test | LOW VOLATILITY | 429 | 3.3% | 0.35 | 8% |
| hidden test | MEDIUM VOLATILITY | 249 | -2.5% | -0.25 | 6% |
| hidden test | NORMAL | 801 | -2.0% | -0.23 | 6% |
| hidden test | SIDEWAYS | 293 | -12.7% | -1.31 | 9% |
| hidden test | UPTREND | 371 | 12.2% | 1.14 | 6% |
| train | DOWNTREND | 518 | -2.3% | -0.98 | 1% |
| train | EXPENSIVE | 311 | 4.4% | 1.21 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.55 | 0% |
| train | LOW VOLATILITY | 745 | -1.4% | -0.19 | 11% |
| train | MEDIUM VOLATILITY | 568 | -7.5% | -0.80 | 5% |
| train | NORMAL | 1,601 | -2.7% | -0.32 | 7% |
| train | SIDEWAYS | 592 | -6.3% | -0.73 | 7% |
| train | UPTREND | 902 | 2.3% | 0.26 | 7% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 10.4% | 1.48 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 16.8% | 1.39 | 6% |
| validation | NORMAL | 474 | 11.3% | 0.94 | 8% |
| validation | SIDEWAYS | 206 | 12.5% | 1.31 | 8% |
| validation | UPTREND | 425 | 6.5% | 0.61 | 6% |
Trades (full period)
latest 100 of 244
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -2.86% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.12% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 1.83% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -1.86% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.68% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 1.68% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.39% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.45% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.23% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.01% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.58% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.46% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -0.80% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.18% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.04% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -0.94% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.12% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 2.58% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.20% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.31% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.66% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.21% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-04-01 | 2022-04-04 | $361.53 | $381.82 | 0.27% | 2 | |
| 2022-03-30 | 2022-03-31 | $364.66 | $359.20 | -0.42% | 2 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 4.70% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 0.77% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 4.62% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 14.89% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.28% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.19% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.14% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.17% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.19% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.43% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 |