Strategy Zoo / S0569
PriceMomentum_V0569
ARCHIVEDhybridllmLoosened 20d momentum threshold (0.05 -> 0.03) and replaced redundant ret_20d checks; added alternative entry via breakout_20 to increase robustness in validation; require reasonable liquidity (rel_volume > 0.8) instead of excluding moderate volume; tightened/expanded regime gates to avoid pure downtrends and high volatility/bubble extremes; enhanced exits with a composite rule: hard 20d stop, short-term momentum reversal (macd_hist < 0 and ret_1d < -0.02), distance below 20 SMA, and RSI overbought to reduce runaways; reduced base_position to 0.8 to lower position sizing and drawdown risk.
Fitness
0.3153
Generation
26
Complexity
20
Created
2026-09-23
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0569 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.03 and (((close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.0) and cumret_252d > -0.25) and rel_volume > 0.8):
position = 0.8
if long and (ret_20d < -0.03 or (macd_hist < 0.0 and ret_1d < -0.02) or dist_sma_20 < -0.12 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 25.5% | -1.1% | 4.4% |
| Total Return | -3.2% | 97.9% | -3.9% | 88.1% |
| Sharpe | 0.06 | 1.28 | 0.02 | 0.33 |
| Sortino | 0.04 | 1.08 | 0.02 | 0.24 |
| Calmar | -0.01 | 1.33 | -0.04 | 0.08 |
| Volatility | 17.2% | 19.3% | 17.3% | 17.7% |
| Max DD | -53.2% | -19.2% | -27.6% | -53.2% |
| Win Rate | 46.1% | 52.8% | 51.4% | 49.3% |
| Avg Win | 4.9% | 6.7% | 3.5% | 5.0% |
| Avg Loss | -3.9% | -2.9% | -3.7% | -3.7% |
| Payoff | 1.24 | 2.27 | 0.95 | 1.36 |
| Expectancy | 0.1% | 2.1% | 0.0% | 0.6% |
| Profit Factor | 1.05 | 2.54 | 1.01 | 1.32 |
| Trades | 76 | 36 | 37 | 150 |
| Avg Holding Days | 6.7 | 6.3 | 5.7 | 6.3 |
| Turnover | 15.3 | 19.2 | 16.0 | 16.3 |
| Exposure | 17.2% | 20.0% | 14.8% | 17.2% |
Growth of $100
PriceMomentum_V0569 vs TSLA Buy & Hold
PriceMomentum_V0569 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 | -18.3% | -1.62 | -21.8% | 7 |
| 2017 | 19.9% | 1.28 | -10.8% | 20 |
| 2018 | -14.5% | -1.33 | -16.6% | 4 |
| 2019 | 3.9% | 0.29 | -22.6% | 9 |
| 2020 | 61.6% | 2.59 | -6.3% | 10 |
| 2021 | 18.3% | 0.86 | -14.6% | 20 |
| 2022 | 0.5% | 0.11 | -19.2% | 6 |
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 | 269 | -2.9% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 43.8% | 1.58 | 35% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.78 | 1% |
| hidden test | LOW VOLATILITY | 429 | 23.2% | 1.47 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.6% | -1.26 | 19% |
| hidden test | NORMAL | 802 | -4.1% | -0.25 | 14% |
| hidden test | SIDEWAYS | 293 | 1.1% | 0.06 | 25% |
| hidden test | UPTREND | 371 | 2.2% | 0.10 | 17% |
| train | DOWNTREND | 518 | -6.8% | -1.25 | 1% |
| train | EXPENSIVE | 311 | 46.7% | 2.26 | 22% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.6% | 0.32 | 1% |
| train | LOW VOLATILITY | 745 | 17.1% | 1.07 | 32% |
| train | MEDIUM VOLATILITY | 568 | -25.6% | -1.42 | 17% |
| train | NORMAL | 1,601 | -8.3% | -0.49 | 17% |
| train | SIDEWAYS | 592 | -22.7% | -1.29 | 18% |
| train | UPTREND | 902 | 21.2% | 1.01 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 113.0% | 4.12 | 32% |
| validation | EXTREME | 144 | 19.5% | 1.82 | 1% |
| validation | HIGH VOLATILITY | 258 | -6.6% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 9.6% | 0.57 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 58.9% | 2.33 | 24% |
| validation | NORMAL | 474 | 0.4% | 0.02 | 22% |
| validation | SIDEWAYS | 206 | -1.1% | -0.06 | 24% |
| validation | UPTREND | 425 | 44.3% | 2.01 | 24% |
Trades (full period)
latest 100 of 150
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-04 | 2026-06-08 | $418.45 | $408.95 | -6.34% | 3 | |
| 2026-05-08 | 2026-06-02 | $428.35 | $423.74 | 0.73% | 17 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-10 | 2025-11-13 | $445.23 | $401.99 | 0.06% | 4 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -3.70% | 3 | |
| 2025-10-13 | 2025-10-27 | $435.90 | $452.42 | 3.78% | 11 | |
| 2025-09-26 | 2025-10-08 | $440.40 | $438.69 | 1.75% | 9 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.43% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 1.61% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.64% | 2 | |
| 2025-08-25 | 2025-09-16 | $346.60 | $421.62 | 16.10% | 16 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-05-19 | 2025-06-05 | $342.09 | $284.70 | -4.21% | 13 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-10 | 2024-10-14 | $238.77 | $219.16 | -7.88% | 3 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-24 | 2024-10-04 | $254.27 | $250.08 | -3.13% | 9 | |
| 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 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 13.91% | 5 | |
| 2023-11-17 | 2024-01-04 | $234.30 | $237.93 | 1.61% | 32 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.62% | 4 | |
| 2023-09-26 | 2023-09-28 | $244.12 | $246.38 | -2.26% | 3 | |
| 2023-09-08 | 2023-09-25 | $248.50 | $246.99 | -2.15% | 12 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.71% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 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 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-04-13 | 2022-04-18 | $340.79 | $334.76 | -0.29% | 3 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.74% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.67% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 2.70% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 6.63% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.86% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.66% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.24% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.70% | 2 | |
| 2021-09-22 | 2021-10-18 | $250.65 | $290.04 | 10.92% | 19 | |
| 2021-08-24 | 2021-09-21 | $236.16 | $246.46 | 2.57% | 20 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-16 | 2021-07-26 | $214.74 | $219.21 | -1.04% | 7 | |
| 2021-06-11 | 2021-07-15 | $203.30 | $216.87 | 5.56% | 24 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2021-02-01 | 2021-02-04 | $279.94 | $283.33 | 6.00% | 4 | |
| 2021-01-12 | 2021-01-28 | $283.15 | $278.48 | 5.07% | 12 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 27.20% | 20 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 10.22% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.48% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 20.12% | 6 | |
| 2020-10-23 | 2020-10-29 | $140.21 | $136.94 | -3.87% | 5 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.24% | 3 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 4.28% | 4 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 1.83% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.69% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.77% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.38% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 2.83% | 3 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.26% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.99% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 2.83% | 2 | |
| 2019-11-27 | 2019-12-17 | $22.09 | $25.27 | 12.47% | 14 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-11-27 | 2018-12-18 | $22.93 | $22.47 | 0.45% | 15 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -4.00% | 12 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.87% | 4 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.79% | 7 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-30 | 2017-07-05 | $24.11 | $21.81 | -1.96% | 3 | |
| 2017-06-12 | 2017-06-14 | $23.93 | $25.38 | 4.00% | 3 | |
| 2017-06-05 | 2017-06-09 | $23.15 | $23.82 | 6.88% | 5 | |
| 2017-05-16 | 2017-05-18 | $21.13 | $20.87 | -2.63% | 3 | |
| 2017-05-08 | 2017-05-10 | $20.48 | $21.68 | 3.19% | 3 | |
| 2017-04-25 | 2017-05-04 | $20.92 | $19.70 | 0.63% | 8 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-17 | 2017-02-24 | $18.15 | $17.13 | -3.99% | 5 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.51% | 2 |