Strategy Zoo / S0525
PriceMomentum_V0525
ARCHIVEDhybridllmSimplified and tightened momentum entry; added breakout/trend OR for cleaner regime alignment; tightened annual drawdown filter; blocked high-volatility regimes and added position scaling by volatility; improved exits with a drawdown cap and RSI overbought stop to reduce large losses.
Fitness
0.1328
Generation
24
Complexity
19
Created
2026-09-22
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0525 [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 > 0.06 and ((close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.0) and cumret_252d > -0.15 and vol_pctile < 0.85):
position = 0.9
if long and (ret_20d < -0.1003 or drawdown > 0.12 or rsi_14 > 75.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.volatility == "HIGH_VOLATILITY": position *= 0.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.7% | 3.1% | -6.6% | -2.6% |
| Total Return | -19.8% | 9.6% | -22.3% | -31.7% |
| Sharpe | -0.08 | 0.27 | -0.30 | -0.07 |
| Sortino | -0.05 | 0.20 | -0.18 | -0.04 |
| Calmar | -0.05 | 0.15 | -0.15 | -0.04 |
| Volatility | 17.2% | 16.4% | 17.4% | 17.1% |
| Max DD | -59.2% | -21.2% | -43.1% | -60.5% |
| Win Rate | 50.0% | 50.0% | 55.0% | 51.5% |
| Avg Win | 6.5% | 7.7% | 4.3% | 6.1% |
| Avg Loss | -7.0% | -5.4% | -7.5% | -6.8% |
| Payoff | 0.93 | 1.43 | 0.58 | 0.89 |
| Expectancy | -0.2% | 1.2% | -1.0% | -0.2% |
| Profit Factor | 0.93 | 1.43 | 0.70 | 0.95 |
| Trades | 34 | 14 | 20 | 68 |
| Avg Holding Days | 14.8 | 13.2 | 10.6 | 13.2 |
| Turnover | 7.5 | 6.7 | 9.3 | 7.8 |
| Exposure | 18.8% | 17.7% | 17.1% | 18.1% |
Growth of $100
PriceMomentum_V0525 vs TSLA Buy & Hold
PriceMomentum_V0525 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 | -33.6% | -2.67 | -35.8% | 7 |
| 2017 | 8.6% | 1.20 | -4.8% | 5 |
| 2018 | -18.1% | -1.67 | -19.1% | 3 |
| 2019 | 6.6% | 0.40 | -13.8% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 18.4% | 0.83 | -15.0% | 11 |
| 2022 | -7.5% | -0.42 | -20.9% | 3 |
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% | -1.03 | 0% |
| hidden test | EXPENSIVE | 83 | 38.4% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.1% | -0.92 | 1% |
| hidden test | LOW VOLATILITY | 429 | 5.0% | 0.25 | 30% |
| hidden test | MEDIUM VOLATILITY | 249 | -18.1% | -1.04 | 11% |
| hidden test | NORMAL | 801 | -10.1% | -0.56 | 20% |
| hidden test | SIDEWAYS | 293 | -21.2% | -0.96 | 32% |
| hidden test | UPTREND | 371 | 4.5% | 0.23 | 18% |
| train | DOWNTREND | 518 | -6.1% | -1.47 | 1% |
| train | EXPENSIVE | 311 | 7.2% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -3.9% | -0.23 | 1% |
| train | LOW VOLATILITY | 745 | 14.8% | 0.76 | 38% |
| train | MEDIUM VOLATILITY | 568 | -19.1% | -1.40 | 15% |
| train | NORMAL | 1,601 | -3.0% | -0.16 | 23% |
| train | SIDEWAYS | 592 | -22.0% | -1.24 | 17% |
| train | UPTREND | 902 | 15.1% | 0.72 | 30% |
| 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 | -5.0% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 32.5% | 1.62 | 49% |
| validation | MEDIUM VOLATILITY | 315 | -4.2% | -0.22 | 13% |
| validation | NORMAL | 474 | 7.0% | 0.34 | 28% |
| validation | SIDEWAYS | 206 | -1.6% | -0.07 | 31% |
| validation | UPTREND | 425 | 8.6% | 0.53 | 16% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -3.77% | 23 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.13% | 23 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 14.55% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -4.19% | 8 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -11.16% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.98% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.00% | 2 | |
| 2024-09-24 | 2024-10-22 | $254.27 | $217.97 | -11.77% | 21 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.29% | 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 | 3.88% | 2 | |
| 2023-11-17 | 2024-01-17 | $234.30 | $215.55 | -5.38% | 40 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -14.69% | 29 | |
| 2023-07-05 | 2023-08-03 | $282.48 | $259.32 | -7.21% | 22 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.62% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.02% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.47% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.14% | 2 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 5.53% | 4 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -7.11% | 23 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.57% | 26 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.28% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.91% | 8 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -10.19% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.69% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.97% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.98% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.04% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 11.21% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.75% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.78% | 2 | |
| 2021-06-14 | 2021-10-18 | $205.90 | $290.04 | 33.77% | 89 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -11.03% | 20 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 6.59% | 17 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 14.20% | 7 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -12.42% | 2 | |
| 2018-12-07 | 2018-12-21 | $23.86 | $21.32 | -7.60% | 11 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.47% | 3 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -8.08% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.90% | 10 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.36% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.86% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.33% | 5 | |
| 2016-12-30 | 2017-01-09 | $14.25 | $15.42 | 5.81% | 6 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.38% | 3 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -11.65% | 29 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -13.97% | 12 | |
| 2016-04-07 | 2016-05-05 | $17.15 | $14.10 | -12.86% | 21 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.98% | 2 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.34% | 2 | |
| 2015-09-22 | 2015-10-12 | $17.40 | $14.37 | -14.39% | 15 | |
| 2015-05-19 | 2015-08-07 | $16.48 | $16.17 | 3.13% | 57 | |
| 2015-05-14 | 2015-05-18 | $16.27 | $16.58 | 1.91% | 3 | |
| 2015-04-28 | 2015-05-13 | $15.37 | $16.21 | 4.94% | 12 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.63% | 15 | |
| 2014-09-08 | 2014-10-01 | $18.81 | $16.02 | -9.58% | 18 | |
| 2014-09-04 | 2014-09-05 | $19.07 | $18.49 | 1.37% | 2 | |
| 2014-05-28 | 2014-09-03 | $14.02 | $18.75 | 31.18% | 69 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2013-02-15 | 2013-03-18 | $2.47 | $2.34 | -7.12% | 21 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2012-11-06 | 2013-01-24 | $2.08 | $2.47 | 12.65% | 54 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.22% | 4 | |
| 2012-06-29 | 2012-07-27 | $2.09 | $1.97 | -5.49% | 20 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.67% | 5 | |
| 2012-02-15 | 2012-04-25 | $2.24 | $2.19 | 1.45% | 49 |