Strategy Zoo / S0545
PriceMomentum_V0545
ARCHIVEDmomentumllmRestricted to UPTREND and normal/low-medium volatility to avoid sideways/noisy regimes; replaced single ret_20d threshold with an AND of ret_20d momentum, 20-day breakout, and positive sma_50_slope for more robust trend confirmation; added defensive exits (short-term 5d loss OR equity drawdown) to cut losses early; reduced base_position to 0.8 and added volatility-based scaling (reduce exposure in high vol) to lower max drawdown and improve generalization.
Fitness
0.1513
Generation
25
Complexity
10
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0545 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and breakout_20 > 0.5 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_5d < -0.03 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.4% | 4.1% | 4.1% | 0.5% |
| Total Return | -17.4% | 12.8% | 16.0% | 8.1% |
| Sharpe | -0.32 | 0.46 | 0.50 | 0.11 |
| Sortino | -0.10 | 0.20 | 0.14 | 0.04 |
| Calmar | -0.11 | 0.29 | 0.28 | 0.02 |
| Volatility | 6.7% | 9.7% | 8.9% | 8.0% |
| Max DD | -21.5% | -14.2% | -14.6% | -22.6% |
| Win Rate | 36.7% | 26.7% | 75.0% | 44.3% |
| Avg Win | 2.0% | 8.7% | 2.7% | 3.3% |
| Avg Loss | -2.1% | -1.6% | -4.0% | -2.2% |
| Payoff | 0.94 | 5.31 | 0.67 | 1.51 |
| Expectancy | -0.6% | 1.1% | 1.0% | 0.2% |
| Profit Factor | 0.55 | 1.93 | 2.01 | 1.20 |
| Trades | 30 | 15 | 16 | 61 |
| Avg Holding Days | 4.0 | 3.1 | 2.6 | 3.4 |
| Turnover | 6.0 | 8.0 | 6.9 | 6.6 |
| Exposure | 3.6% | 3.3% | 2.1% | 3.2% |
Growth of $100
PriceMomentum_V0545 vs TSLA Buy & Hold
PriceMomentum_V0545 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 | 0.8% | 0.23 | -3.0% | 4 |
| 2017 | 2.4% | 0.97 | -1.0% | 5 |
| 2018 | -3.7% | -0.64 | -6.1% | 2 |
| 2019 | 4.7% | 0.91 | -0.4% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 25.6% | 1.56 | -6.5% | 11 |
| 2022 | -10.2% | -1.58 | -10.2% | 4 |
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 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.7% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 429 | 10.9% | 1.30 | 3% |
| hidden test | MEDIUM VOLATILITY | 249 | 11.7% | 1.31 | 2% |
| hidden test | NORMAL | 801 | 3.3% | 0.37 | 2% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 11.1% | 0.79 | 5% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.1% | 0.87 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | -2.2% | -0.24 | 8% |
| train | MEDIUM VOLATILITY | 568 | -4.7% | -0.67 | 2% |
| train | NORMAL | 1,601 | -3.5% | -0.48 | 4% |
| train | SIDEWAYS | 592 | -2.6% | -0.92 | 0% |
| train | UPTREND | 902 | -3.1% | -0.32 | 8% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 4.1% | 0.55 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 8.4% | 0.60 | 4% |
| validation | NORMAL | 474 | 7.1% | 0.58 | 5% |
| validation | SIDEWAYS | 206 | -6.7% | -1.12 | 0% |
| validation | UPTREND | 425 | 11.2% | 0.91 | 6% |
Trades (full period)
61 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.94% | 2 | |
| 2021-10-15 | 2021-11-09 | $281.01 | $341.17 | 32.59% | 18 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.37% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.34% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.37% | 10 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.30% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.21% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.65% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.89% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 1.29% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.33% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -2.64% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.58% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -4.94% | 5 | |
| 2015-07-02 | 2015-07-09 | $18.67 | $17.19 | -4.35% | 5 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.84% | 5 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.99% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.37% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.19% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.59% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-30 | 2014-07-03 | $16.00 | $15.28 | -3.38% | 4 | |
| 2014-06-24 | 2014-06-25 | $15.50 | $15.79 | -1.75% | 2 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -3.94% | 3 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.73% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.95% | 2 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-21 | $2.41 | $2.34 | -2.49% | 7 |