Strategy Zoo / S0506
PriceMomentum_V0506
ARCHIVEDmomentumllmReduced base position to 0.6 and added position scaling: cut size in elevated volatility (vol_pctile>0.75) and full size when trend slope is strong (sma_50_slope>0.02). Replaced single ret_20d entry with a regime-aware entry: ret_20d>3% AND trend confirmation (sma_50_slope>0 OR sma_50>sma_200) AND moderate volatility (vol_pctile<0.8). Improved exits: exit on larger 20d loss (ret_20d<-2%), trend reversal (sma_50_slope<0), or volatility spike (vol_pctile>0.9). Restricted regime gates to avoid downtends, high volatility, and bubble extremes to reduce large drawdowns and improve robustness.
Fitness
0.1188
Generation
23
Complexity
13
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0506 [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 > 0.03 and (sma_50_slope > 0.0 or sma_50 > 0.0) and vol_pctile < 0.8):
position = 0.6
if long and (ret_20d < -0.02 or sma_50_slope < 0.0 or vol_pctile > 0.9):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.2% | -4.3% | 1.5% | 0.1% |
| Total Return | 10.1% | -12.4% | 5.7% | 2.1% |
| Sharpe | 0.16 | -0.28 | 0.18 | 0.07 |
| Sortino | 0.11 | -0.16 | 0.12 | 0.05 |
| Calmar | 0.04 | -0.14 | 0.09 | 0.00 |
| Volatility | 11.7% | 12.9% | 14.5% | 12.7% |
| Max DD | -29.1% | -31.3% | -17.5% | -40.5% |
| Win Rate | 48.6% | 34.3% | 45.1% | 44.4% |
| Avg Win | 2.4% | 2.9% | 3.5% | 2.8% |
| Avg Loss | -1.9% | -1.9% | -2.4% | -2.1% |
| Payoff | 1.24 | 1.51 | 1.43 | 1.36 |
| Expectancy | 0.2% | -0.3% | 0.2% | 0.1% |
| Profit Factor | 1.18 | 0.79 | 1.17 | 1.08 |
| Trades | 74 | 35 | 51 | 160 |
| Avg Holding Days | 6.3 | 5.1 | 4.8 | 5.5 |
| Turnover | 11.1 | 14.0 | 16.5 | 13.1 |
| Exposure | 11.6% | 11.4% | 12.4% | 11.8% |
Growth of $100
PriceMomentum_V0506 vs TSLA Buy & Hold
PriceMomentum_V0506 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 | -4.9% | -0.56 | -11.7% | 11 |
| 2017 | 9.1% | 1.72 | -3.1% | 7 |
| 2018 | -4.3% | -0.38 | -6.9% | 3 |
| 2019 | 6.7% | 0.48 | -13.6% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.4% | 0.61 | -14.3% | 24 |
| 2022 | -20.0% | -1.48 | -24.2% | 11 |
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 | -1.5% | -1.17 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.4% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 429 | 17.8% | 1.28 | 18% |
| hidden test | MEDIUM VOLATILITY | 249 | -10.5% | -0.61 | 13% |
| hidden test | NORMAL | 801 | 0.3% | 0.02 | 14% |
| hidden test | SIDEWAYS | 293 | -18.7% | -1.16 | 19% |
| hidden test | UPTREND | 371 | 22.3% | 1.24 | 16% |
| train | DOWNTREND | 518 | -0.6% | -0.17 | 1% |
| train | EXPENSIVE | 311 | 6.0% | 1.53 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.5% | 0.04 | 1% |
| train | LOW VOLATILITY | 745 | 13.3% | 1.14 | 23% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.92 | 10% |
| train | NORMAL | 1,601 | 1.2% | 0.09 | 14% |
| train | SIDEWAYS | 592 | -7.2% | -0.61 | 11% |
| train | UPTREND | 902 | 9.2% | 0.65 | 18% |
| 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 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 6.1% | 0.51 | 28% |
| validation | MEDIUM VOLATILITY | 315 | -8.1% | -0.49 | 11% |
| validation | NORMAL | 474 | -5.7% | -0.35 | 18% |
| validation | SIDEWAYS | 206 | -33.3% | -2.39 | 13% |
| validation | UPTREND | 425 | 9.8% | 0.69 | 14% |
Trades (full period)
latest 100 of 160
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -7.47% | 17 | |
| 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 | 2026-01-07 | $458.96 | $431.41 | -1.86% | 17 | |
| 2025-08-22 | 2025-09-15 | $340.01 | $410.04 | 13.69% | 16 | |
| 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 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.22% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-07-08 | 2025-07-10 | $297.81 | $309.87 | 0.28% | 3 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -10.95% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -7.69% | 8 | |
| 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 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -0.93% | 5 | |
| 2024-06-25 | 2024-07-12 | $187.35 | $248.23 | 18.41% | 13 | |
| 2024-06-10 | 2024-06-21 | $173.79 | $183.01 | 1.34% | 9 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -3.38% | 6 | |
| 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 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 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 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.37% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -0.82% | 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 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 17.41% | 44 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -8.00% | 13 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -5.91% | 7 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -4.20% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -1.82% | 20 | |
| 2022-04-04 | 2022-04-27 | $381.82 | $293.84 | -11.74% | 17 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.02% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.30% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.92% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 25.37% | 71 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.59% | 2 | |
| 2021-07-19 | 2021-07-20 | $215.41 | $220.17 | 0.07% | 2 | |
| 2021-07-15 | 2021-07-16 | $216.87 | $214.74 | -0.38% | 2 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -1.62% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.26% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -1.48% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.03% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.21% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.38% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.00% | 2 | |
| 2021-06-21 | 2021-06-22 | $206.94 | $207.90 | -0.36% | 2 | |
| 2021-06-17 | 2021-06-18 | $205.53 | $207.77 | 1.04% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -1.90% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.14% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.00% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 0.60% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -2.09% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.25% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.04% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -2.49% | 2 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 4.45% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -1.09% | 12 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 0.86% | 2 | |
| 2018-11-26 | 2018-12-19 | $23.07 | $22.20 | 2.07% | 17 | |
| 2018-03-12 | 2018-03-15 | $23.03 | $21.71 | -0.16% | 4 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.05% | 15 | |
| 2017-12-22 | 2017-12-26 | $21.68 | $21.15 | -1.29% | 2 | |
| 2017-12-20 | 2017-12-21 | $21.93 | $22.11 | -0.50% | 2 | |
| 2017-12-18 | 2017-12-19 | $22.59 | $22.07 | -0.92% | 2 | |
| 2017-12-14 | 2017-12-15 | $22.53 | $22.90 | -0.32% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.09% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.10% | 4 |