Strategy Zoo / S0526
PriceMomentum_V0526
ARCHIVEDmomentumllm1) Restrict to UPTREND only (remove DOWNTREND) to avoid counter-trend entries. 2) Add a momentum regime filter (sma_50_slope>0) to reduce noise and overfitting. 3) Lower entry ret_20d threshold to 6% for more realistic signal frequency. 4) Improve exits: earlier stop at -8% OR momentum fade (sma_50_slope<0) to cut losses faster. 5) Add volatility scaling: full size in LOW, reduced in MEDIUM, zero in HIGH volatility. 6) Reduce base position to 0.9 to lower drawdown risk.
Fitness
0.3613
Generation
24
Complexity
11
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0526 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.06 and sma_50_slope > 0.0):
position = 0.9
if long and (ret_20d < -0.08 or sma_50_slope < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.2% | 28.6% | 5.4% | 9.9% |
| Total Return | 50.0% | 112.9% | 21.3% | 297.6% |
| Sharpe | 0.39 | 1.32 | 0.38 | 0.62 |
| Sortino | 0.29 | 1.16 | 0.22 | 0.44 |
| Calmar | 0.17 | 0.89 | 0.27 | 0.31 |
| Volatility | 16.1% | 20.8% | 17.8% | 17.6% |
| Max DD | -29.8% | -32.0% | -19.6% | -32.0% |
| Win Rate | 46.2% | 50.0% | 50.0% | 48.1% |
| Avg Win | 6.1% | 19.0% | 8.2% | 11.2% |
| Avg Loss | -3.1% | -5.6% | -4.3% | -4.0% |
| Payoff | 1.97 | 3.39 | 1.91 | 2.80 |
| Expectancy | 1.2% | 6.7% | 2.0% | 3.3% |
| Profit Factor | 1.69 | 3.39 | 1.91 | 2.59 |
| Trades | 26 | 14 | 12 | 52 |
| Avg Holding Days | 18.7 | 16.5 | 13.8 | 17.5 |
| Turnover | 5.9 | 7.0 | 6.4 | 6.2 |
| Exposure | 19.1% | 19.5% | 11.9% | 17.4% |
Growth of $100
PriceMomentum_V0526 vs TSLA Buy & Hold
PriceMomentum_V0526 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 | -10.9% | -1.43 | -14.3% | 2 |
| 2017 | 2.9% | 0.25 | -17.1% | 9 |
| 2018 | -10.7% | -1.87 | -10.7% | 2 |
| 2019 | 15.0% | 1.28 | -7.4% | 1 |
| 2020 | 121.8% | 3.43 | -6.6% | 5 |
| 2021 | 21.0% | 0.92 | -21.0% | 4 |
| 2022 | -22.5% | -2.21 | -24.0% | 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 | 268 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 57.1% | 1.98 | 36% |
| hidden test | EXTREME | 48 | 18.4% | 0.74 | 11% |
| hidden test | HIGH VOLATILITY | 254 | -14.8% | -1.36 | 1% |
| hidden test | LOW VOLATILITY | 429 | 29.1% | 1.78 | 15% |
| hidden test | MEDIUM VOLATILITY | 249 | -9.5% | -0.39 | 17% |
| hidden test | NORMAL | 801 | 0.9% | 0.06 | 9% |
| hidden test | SIDEWAYS | 293 | -8.1% | -1.07 | 1% |
| hidden test | UPTREND | 371 | 23.5% | 0.86 | 29% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 21.0% | 0.89 | 32% |
| train | EXTREME | 100 | 39.1% | 1.95 | 19% |
| train | HIGH VOLATILITY | 699 | 1.0% | 0.08 | 1% |
| train | LOW VOLATILITY | 745 | 25.8% | 1.35 | 39% |
| train | MEDIUM VOLATILITY | 568 | -12.5% | -0.79 | 15% |
| train | NORMAL | 1,601 | 1.5% | 0.11 | 17% |
| train | SIDEWAYS | 592 | -4.9% | -1.35 | 1% |
| train | UPTREND | 902 | 17.4% | 0.73 | 42% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 47.4% | 1.78 | 36% |
| validation | EXTREME | 144 | 109.3% | 4.57 | 15% |
| validation | HIGH VOLATILITY | 258 | 14.9% | 1.22 | 1% |
| validation | LOW VOLATILITY | 183 | 20.2% | 0.98 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 41.6% | 1.61 | 22% |
| validation | NORMAL | 474 | -3.4% | -0.20 | 16% |
| validation | SIDEWAYS | 206 | -18.5% | -1.95 | 2% |
| validation | UPTREND | 425 | 57.6% | 2.15 | 34% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.09% | 20 | |
| 2025-09-12 | 2025-11-18 | $395.94 | $401.25 | 8.58% | 48 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.93% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -7.17% | 11 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 2.96% | 9 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -10.91% | 12 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.11% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.14% | 3 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.64% | 8 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 21.87% | 43 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.05% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.13% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.69% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -13.21% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.01% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.44% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 40.14% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.04% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 16.60% | 64 | |
| 2020-10-16 | 2020-10-30 | $146.56 | $129.35 | -5.62% | 11 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 6.68% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 3.36% | 2 | |
| 2020-05-28 | 2020-07-06 | $53.72 | $91.44 | 30.53% | 27 | |
| 2019-11-22 | 2020-01-31 | $22.20 | $43.37 | 58.73% | 47 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.83% | 2 | |
| 2018-12-07 | 2018-12-21 | $23.86 | $21.32 | -6.47% | 11 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.48% | 4 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -5.20% | 22 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.87% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.42% | 2 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.59% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.77% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | -0.14% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.64% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.41% | 6 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 9.01% | 37 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -5.97% | 26 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.29% | 22 | |
| 2015-05-11 | 2015-08-07 | $15.97 | $16.17 | 8.97% | 63 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.90% | 3 | |
| 2014-06-23 | 2014-09-30 | $15.81 | $16.18 | 8.48% | 70 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -3.66% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 12.98% | 9 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -1.57% | 34 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 2.57% | 12 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 3.67% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2012-12-18 | 2013-02-27 | $2.31 | $2.34 | 0.80% | 48 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.99% | 16 | |
| 2012-02-23 | 2012-04-11 | $2.30 | $2.21 | 0.95% | 34 |