Strategy Zoo / S0546
PriceMomentum_V0546
ARCHIVEDmomentumllmAdded MA/volatility filters to entry (ret_20d + above SMA50 + positive SMA50 slope + vol_pctile < 0.75) to avoid false momentum in noisy conditions; tightened and diversified exits (smaller 20d stop, MACD + 1d drop filter, keep breakout cross exit) to reduce large drawdowns; set regime gates to only UPTREND and non-HIGH volatility and NORMAL bubble; reduced base position to 0.7 and added scaling rules to increase size in low-vol and cut size in high-vol or near-52w-high to limit risk.
Fitness
0.0945
Generation
25
Complexity
14
Created
2026-09-22
Lineage
Parents (1)
entry from PriceMomentum_V0028, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0546 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and dist_sma_50 > 0.0 and sma_50_slope > 0.0 and vol_pctile < 0.75):
position = 0.7
if long and (ret_20d < -0.12 or roll_high_50 < sma_20 or (macd_hist < 0.0 and ret_1d < -0.02)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | -4.2% | 1.7% | -0.9% |
| Total Return | -6.7% | -12.1% | 6.4% | -12.8% |
| Sharpe | -0.05 | -0.30 | 0.20 | -0.03 |
| Sortino | -0.02 | -0.14 | 0.08 | -0.02 |
| Calmar | -0.04 | -0.11 | 0.09 | -0.02 |
| Volatility | 9.4% | 11.9% | 11.9% | 10.6% |
| Max DD | -19.7% | -37.3% | -19.7% | -37.3% |
| Win Rate | 44.4% | 21.4% | 44.4% | 39.0% |
| Avg Win | 3.7% | 9.6% | 5.5% | 5.1% |
| Avg Loss | -3.2% | -3.5% | -3.5% | -3.4% |
| Payoff | 1.14 | 2.79 | 1.56 | 1.51 |
| Expectancy | -0.2% | -0.7% | 0.5% | -0.1% |
| Profit Factor | 0.91 | 0.76 | 1.25 | 0.96 |
| Trades | 27 | 14 | 18 | 59 |
| Avg Holding Days | 9.9 | 7.1 | 5.1 | 7.7 |
| Turnover | 4.7 | 6.5 | 6.8 | 5.6 |
| Exposure | 8.3% | 7.9% | 5.5% | 7.5% |
Growth of $100
PriceMomentum_V0546 vs TSLA Buy & Hold
PriceMomentum_V0546 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 | -7.2% | -0.99 | -11.7% | 3 |
| 2017 | 8.4% | 2.04 | -0.7% | 2 |
| 2018 | -4.0% | -0.62 | -5.4% | 2 |
| 2019 | 4.8% | 0.69 | -5.5% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.8% | 0.71 | -20.2% | 7 |
| 2022 | -21.5% | -2.40 | -21.4% | 7 |
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 | 29.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.9% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 429 | 6.1% | 0.57 | 8% |
| hidden test | MEDIUM VOLATILITY | 249 | 5.5% | 0.36 | 6% |
| hidden test | NORMAL | 801 | -0.3% | -0.02 | 6% |
| hidden test | SIDEWAYS | 293 | -0.4% | -0.28 | 0% |
| hidden test | UPTREND | 371 | 6.3% | 0.33 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.1% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.7% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 3.8% | 0.35 | 19% |
| train | MEDIUM VOLATILITY | 568 | -8.6% | -0.97 | 5% |
| train | NORMAL | 1,601 | -1.7% | -0.17 | 10% |
| train | SIDEWAYS | 592 | -4.4% | -1.41 | 1% |
| train | UPTREND | 902 | 1.9% | 0.14 | 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 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 5.9% | 0.52 | 22% |
| validation | MEDIUM VOLATILITY | 315 | -5.3% | -0.37 | 6% |
| validation | NORMAL | 474 | -5.7% | -0.38 | 13% |
| validation | SIDEWAYS | 206 | -14.8% | -2.12 | 1% |
| validation | UPTREND | 425 | 0.8% | 0.05 | 13% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-31 | 2026-01-05 | $449.72 | $451.67 | -2.66% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -3.05% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -7.82% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.95% | 2 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -3.62% | 4 | |
| 2023-07-10 | 2023-07-21 | $269.61 | $260.02 | -2.97% | 10 | |
| 2023-06-28 | 2023-07-07 | $256.24 | $274.43 | 7.17% | 7 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 11.12% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.89% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.00% | 3 | |
| 2022-04-12 | 2022-04-18 | $328.98 | $334.76 | 0.54% | 4 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.53% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-09-22 | 2021-11-10 | $250.65 | $355.98 | 26.06% | 36 | |
| 2021-08-24 | 2021-09-21 | $236.16 | $246.46 | 2.26% | 20 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.55% | 9 | |
| 2019-11-27 | 2019-12-17 | $22.09 | $25.27 | 10.85% | 14 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-11-27 | 2018-12-18 | $22.93 | $22.47 | 0.42% | 15 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -4.65% | 26 | |
| 2016-04-21 | 2016-05-02 | $16.55 | $16.12 | -2.71% | 8 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | 0.03% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-07-14 | 2015-07-22 | $17.71 | $17.86 | 1.14% | 7 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.52% | 15 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 4.02% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.53% | 30 | |
| 2014-07-09 | 2014-07-16 | $14.87 | $14.48 | 0.06% | 6 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -2.21% | 11 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -7.51% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.39% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -1.78% | 7 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-04-09 | 2012-04-10 | $2.21 | $2.16 | -2.84% | 2 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.30% | 22 |