Strategy Zoo / S0505
PriceMomentum_V0505
ARCHIVEDmomentumllm1) Tightened entry to momentum with confirmation: ret_20d > 4% AND positive sma_50_slope AND elevated rel_volume (reduces false break-ins). 2) Stronger multi-condition exit: larger stop (ret_20d<-6%) OR negative MACD histogram OR portfolio drawdown trigger (cuts losses faster). 3) Regime gates: only allow UPTREND or SIDEWAYS, restrict to LOW/MEDIUM volatility and NORMAL bubble (avoid crashes/bubbles). 4) Position sizing: lower base position to 60% and scale up to full size in low vol, reduce to 30% in high vol (risk control). Overall: focus on trend-confirmed momentum with volatility-aware sizing and stricter exits to reduce drawdown.
Fitness
0.1684
Generation
23
Complexity
11
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0505 [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 > 0.04 and sma_50_slope > 0.0 and rel_volume > 1.2):
position = 0.6
if long and (ret_20d < -0.06 or macd_hist < 0.0 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | 3.3% | 1.6% | 0.5% |
| Total Return | -7.9% | 10.1% | 6.2% | 7.7% |
| Sharpe | -0.12 | 0.46 | 0.31 | 0.11 |
| Sortino | -0.04 | 0.12 | 0.09 | 0.03 |
| Calmar | -0.06 | 0.32 | 0.27 | 0.03 |
| Volatility | 6.9% | 7.7% | 5.9% | 6.8% |
| Max DD | -17.7% | -10.3% | -6.1% | -17.7% |
| Win Rate | 47.6% | 55.6% | 70.6% | 54.4% |
| Avg Win | 1.8% | 2.6% | 1.6% | 1.8% |
| Avg Loss | -1.9% | -0.7% | -2.5% | -1.8% |
| Payoff | 0.93 | 3.73 | 0.64 | 0.99 |
| Expectancy | -0.2% | 1.1% | 0.4% | 0.2% |
| Profit Factor | 0.85 | 4.66 | 1.53 | 1.18 |
| Trades | 42 | 9 | 17 | 68 |
| Avg Holding Days | 2.9 | 3.7 | 2.5 | 2.9 |
| Turnover | 6.3 | 3.6 | 5.5 | 5.6 |
| Exposure | 2.4% | 1.9% | 1.7% | 2.1% |
Growth of $100
PriceMomentum_V0505 vs TSLA Buy & Hold
PriceMomentum_V0505 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 | 1.1% | 0.35 | -2.7% | 5 |
| 2017 | 3.9% | 1.23 | -0.7% | 5 |
| 2018 | -0.3% | -0.37 | -0.8% | 2 |
| 2019 | -5.5% | -0.58 | -8.7% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.1% | 0.72 | -10.3% | 7 |
| 2022 | 0.9% | 1.22 | -0.1% | 2 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 13.0% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.2% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 429 | 6.8% | 1.04 | 3% |
| hidden test | MEDIUM VOLATILITY | 249 | 0.3% | 0.06 | 1% |
| hidden test | NORMAL | 801 | 0.7% | 0.13 | 2% |
| hidden test | SIDEWAYS | 293 | -6.0% | -1.54 | 1% |
| hidden test | UPTREND | 371 | 9.3% | 1.07 | 3% |
| train | DOWNTREND | 518 | 1.7% | 0.69 | 0% |
| train | EXPENSIVE | 311 | 1.7% | 1.22 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.5% | -0.19 | 0% |
| train | LOW VOLATILITY | 745 | 1.7% | 0.29 | 5% |
| train | MEDIUM VOLATILITY | 568 | -3.1% | -0.49 | 1% |
| train | NORMAL | 1,601 | -1.3% | -0.17 | 3% |
| train | SIDEWAYS | 592 | -4.7% | -0.81 | 1% |
| train | UPTREND | 902 | 0.4% | 0.04 | 5% |
| 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 | 1.7% | 0.41 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 13.2% | 1.40 | 2% |
| validation | NORMAL | 474 | 5.6% | 0.58 | 3% |
| validation | SIDEWAYS | 206 | 1.0% | 1.26 | 1% |
| validation | UPTREND | 425 | 5.7% | 0.56 | 3% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 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 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 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 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -1.59% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 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 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 0.90% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 0.94% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 10.71% | 17 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.19% | 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 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.04% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.11% | 2 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 3.51% | 2 | |
| 2019-09-12 | 2019-09-13 | $16.39 | $16.35 | -0.42% | 2 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -8.28% | 2 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.44% | 2 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -0.76% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.25% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.12% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.67% | 2 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.48% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 2.64% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -0.62% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -1.98% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.94% | 2 | |
| 2016-04-01 | 2016-04-04 | $15.84 | $16.47 | 1.92% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-20 | 2015-07-22 | $18.82 | $17.86 | -1.80% | 3 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -5.53% | 4 | |
| 2015-06-23 | 2015-06-30 | $17.84 | $17.88 | 0.41% | 6 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.50% | 2 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.17% | 2 | |
| 2015-05-06 | 2015-05-07 | $15.36 | $15.79 | -0.77% | 2 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.39% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 1.79% | 13 | |
| 2014-07-03 | 2014-07-07 | $15.28 | $14.84 | -0.17% | 2 | |
| 2014-06-24 | 2014-06-25 | $15.50 | $15.79 | -1.31% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-02-21 | 2013-02-22 | $2.34 | $2.41 | -5.38% | 2 | |
| 2013-02-19 | 2013-02-20 | $2.62 | $2.57 | 3.51% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-12-24 | 2012-12-26 | $2.29 | $2.24 | 0.37% | 2 | |
| 2012-12-19 | 2012-12-20 | $2.31 | $2.30 | -0.09% | 2 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -2.96% | 3 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.30% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.71% | 2 | |
| 2012-11-20 | 2012-11-21 | $2.20 | $2.16 | 0.03% | 2 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 2.07% | 2 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -0.83% | 5 |