Strategy Zoo / S0529
PriceMomentum_V0529
ARCHIVEDhybridllmReduced ret_20d threshold and removed redundant duplicated clauses to generalize; replaced sma_200 gate with faster sma_50 and breakout_20 for more timely entries; added macd_hist/RSI confirmation and a volatility pctile cap to avoid high-volatility regimes; tightened cumulative-return guard to avoid extreme drawdown regimes; broadened multi-condition exits (weak momentum, short-term loss, RSI spike, large drawdown); lowered base_position to 0.6 to reduce exposure.
Fitness
0.2364
Generation
24
Complexity
17
Created
2026-09-22
Lineage
Parents (1)
entry = PriceMomentum_V0361 OR LongTermTrend_V0278
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0529 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.03 and (close > sma_50 or breakout_20 > 0.0) and (macd_hist > 0.0 or rsi_14 > 50.0) and cumret_252d > -0.5 and vol_pctile < 0.7):
position = 0.6
if long and (ret_20d < 0.01 or ret_5d < -0.06 or rsi_14 > 75.0 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.5% | 17.8% | 0.3% | 3.9% |
| Total Return | 3.9% | 63.7% | 1.3% | 75.1% |
| Sharpe | 0.10 | 1.09 | 0.09 | 0.37 |
| Sortino | 0.06 | 0.91 | 0.05 | 0.24 |
| Calmar | 0.02 | 0.64 | 0.02 | 0.11 |
| Volatility | 11.3% | 16.2% | 10.8% | 12.3% |
| Max DD | -27.8% | -27.9% | -16.2% | -34.3% |
| Win Rate | 48.1% | 55.4% | 57.7% | 53.2% |
| Avg Win | 2.8% | 3.7% | 1.7% | 2.7% |
| Avg Loss | -2.4% | -2.3% | -2.2% | -2.3% |
| Payoff | 1.19 | 1.57 | 0.78 | 1.18 |
| Expectancy | 0.1% | 1.0% | 0.1% | 0.4% |
| Profit Factor | 1.10 | 1.95 | 1.06 | 1.34 |
| Trades | 77 | 56 | 52 | 186 |
| Avg Holding Days | 5.4 | 3.7 | 2.8 | 4.1 |
| Turnover | 11.6 | 22.4 | 16.9 | 15.2 |
| Exposure | 10.2% | 11.9% | 5.9% | 9.5% |
Growth of $100
PriceMomentum_V0529 vs TSLA Buy & Hold
PriceMomentum_V0529 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 | -5.1% | -1.00 | -6.9% | 8 |
| 2017 | -1.7% | -0.08 | -11.8% | 25 |
| 2018 | -8.5% | -1.15 | -9.6% | 3 |
| 2019 | 0.8% | 0.16 | -6.6% | 9 |
| 2020 | 95.6% | 3.31 | -4.7% | 19 |
| 2021 | -7.6% | -0.38 | -18.0% | 29 |
| 2022 | -11.6% | -1.86 | -12.1% | 8 |
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 | 29.0% | 1.35 | 26% |
| hidden test | EXTREME | 48 | 27.5% | 2.27 | 6% |
| hidden test | HIGH VOLATILITY | 254 | -12.5% | -1.67 | 1% |
| hidden test | LOW VOLATILITY | 429 | 7.6% | 0.87 | 6% |
| hidden test | MEDIUM VOLATILITY | 249 | 3.0% | 0.19 | 10% |
| hidden test | NORMAL | 801 | -3.6% | -0.40 | 4% |
| hidden test | SIDEWAYS | 293 | -0.4% | -0.33 | 0% |
| hidden test | UPTREND | 371 | 2.6% | 0.15 | 14% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 11.7% | 0.64 | 21% |
| train | EXTREME | 100 | 44.6% | 2.83 | 16% |
| train | HIGH VOLATILITY | 699 | 1.5% | 0.14 | 1% |
| train | LOW VOLATILITY | 745 | 5.9% | 0.53 | 19% |
| train | MEDIUM VOLATILITY | 568 | -5.6% | -0.46 | 10% |
| train | NORMAL | 1,601 | -3.6% | -0.41 | 8% |
| train | SIDEWAYS | 592 | -4.8% | -1.15 | 1% |
| train | UPTREND | 902 | 5.6% | 0.34 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 27.1% | 1.23 | 27% |
| validation | EXTREME | 144 | 95.7% | 4.36 | 12% |
| validation | HIGH VOLATILITY | 258 | 14.3% | 1.07 | 1% |
| validation | LOW VOLATILITY | 183 | 9.8% | 0.91 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 25.1% | 1.23 | 18% |
| validation | NORMAL | 474 | -8.7% | -0.78 | 8% |
| validation | SIDEWAYS | 206 | -5.2% | -1.17 | 0% |
| validation | UPTREND | 425 | 34.1% | 1.60 | 21% |
Trades (full period)
latest 100 of 186
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-12 | 2025-12-31 | $458.96 | $449.72 | 0.99% | 13 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -3.46% | 9 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.16% | 2 | |
| 2025-09-26 | 2025-10-23 | $440.40 | $448.98 | 2.29% | 20 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.08% | 3 | |
| 2025-09-18 | 2025-09-22 | $416.85 | $434.21 | -0.08% | 3 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 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 | |
| 2024-12-19 | 2024-12-23 | $436.17 | $430.60 | -2.72% | 3 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 2.06% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 2.48% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 3.44% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 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 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.10% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -5.96% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.63% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.37% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.01% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.17% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.16% | 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 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 0.83% | 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 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.48% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.02% | 4 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -10.00% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.67% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.94% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.94% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.02% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 7.47% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 1.83% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.52% | 2 | |
| 2021-09-22 | 2021-10-18 | $250.65 | $290.04 | 8.11% | 19 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.15% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.12% | 5 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.48% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.07% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 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 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -3.27% | 2 | |
| 2021-02-02 | 2021-02-09 | $290.93 | $283.15 | 1.58% | 6 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -3.72% | 9 | |
| 2021-01-11 | 2021-01-19 | $270.40 | $281.52 | -3.73% | 6 | |
| 2020-12-09 | 2021-01-08 | $201.49 | $293.34 | 14.93% | 21 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 7.62% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.11% | 2 | |
| 2020-11-19 | 2020-11-25 | $166.42 | $191.33 | 8.24% | 5 | |
| 2020-10-23 | 2020-10-26 | $140.21 | $140.09 | -0.85% | 2 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -2.94% | 3 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.47% | 2 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 7.42% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 3.73% | 2 | |
| 2020-06-12 | 2020-07-06 | $62.35 | $91.44 | 14.08% | 16 | |
| 2020-06-01 | 2020-06-11 | $59.87 | $64.86 | 13.22% | 9 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.17% | 2 |