Strategy Zoo / S0573
PriceMomentum_V0573
ARCHIVEDmomentumllmAdded trend confirmation (sma_50_slope>0) to reduce false breakouts, added a volatile breakout arm requiring stronger rel_volume, tightened exits with a moderate stoploss (ret_20d<-8%), drawdown-based exit and trend-reversal exit, restricted regime gates to avoid high volatility and bubble conditions, and introduced volatility/bubble-based position scaling to reduce size in risky environments.
Fitness
0.2004
Generation
26
Complexity
22
Created
2026-09-23
Lineage
Parents (1)
entry = PriceMomentum_V0186 OR PriceMomentum_V0267
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0573 [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2 and sma_50_slope > 0.0) or (breakout_20 > 0.5 and rel_volume > 1.5)):
position = 1.0
if long and (ret_20d < -0.08 or drawdown < -0.12 or (sma_50_slope < 0.0 and ret_20d < 0.0)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.bubble == "EXPENSIVE": position *= 0.6
if regime.bubble == "EXTREME": position *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | 7.7% | 4.6% | 2.2% |
| Total Return | -7.0% | 25.0% | 18.1% | 37.3% |
| Sharpe | 0.00 | 0.72 | 0.55 | 0.24 |
| Sortino | 0.00 | 0.26 | 0.20 | 0.10 |
| Calmar | -0.03 | 0.65 | 0.38 | 0.07 |
| Volatility | 13.6% | 11.1% | 9.0% | 12.1% |
| Max DD | -29.0% | -12.0% | -11.9% | -30.4% |
| Win Rate | 35.3% | 37.5% | 73.3% | 45.6% |
| Avg Win | 3.7% | 10.7% | 2.7% | 4.1% |
| Avg Loss | -2.2% | -1.1% | -3.0% | -2.1% |
| Payoff | 1.69 | 9.35 | 0.90 | 1.92 |
| Expectancy | -0.1% | 3.3% | 1.2% | 0.7% |
| Profit Factor | 0.92 | 5.61 | 2.48 | 1.61 |
| Trades | 34 | 8 | 15 | 57 |
| Avg Holding Days | 6.6 | 5.5 | 3.3 | 5.6 |
| Turnover | 7.8 | 4.9 | 7.5 | 7.1 |
| Exposure | 8.9% | 4.2% | 3.5% | 6.6% |
Growth of $100
PriceMomentum_V0573 vs TSLA Buy & Hold
PriceMomentum_V0573 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 | 2.1% | 0.40 | -5.0% | 6 |
| 2017 | 6.5% | 1.23 | -1.2% | 5 |
| 2018 | -7.7% | -1.20 | -7.6% | 2 |
| 2019 | -10.7% | -0.71 | -14.2% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 23.7% | 1.20 | -12.0% | 6 |
| 2022 | 1.1% | 1.22 | -0.1% | 2 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 21.7% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.1% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 429 | 11.4% | 0.96 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | 4.8% | 1.06 | 1% |
| hidden test | NORMAL | 802 | 3.4% | 0.39 | 4% |
| hidden test | SIDEWAYS | 293 | -2.0% | -0.94 | 2% |
| hidden test | UPTREND | 371 | 13.9% | 0.98 | 7% |
| train | DOWNTREND | 518 | 1.9% | 0.67 | 0% |
| train | EXPENSIVE | 311 | 2.9% | 1.22 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -2.7% | -0.20 | 0% |
| train | LOW VOLATILITY | 745 | 10.2% | 0.67 | 19% |
| train | MEDIUM VOLATILITY | 568 | -10.0% | -0.86 | 5% |
| train | NORMAL | 1,601 | -0.5% | -0.04 | 11% |
| train | SIDEWAYS | 592 | -11.4% | -1.06 | 3% |
| train | UPTREND | 902 | 6.4% | 0.35 | 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 | 13.2% | 1.37 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 18.4% | 1.35 | 3% |
| validation | NORMAL | 474 | 12.8% | 0.91 | 7% |
| validation | SIDEWAYS | 206 | -0.5% | -0.30 | 2% |
| validation | UPTREND | 425 | 14.6% | 0.98 | 7% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2026-01-14 | $475.31 | $439.20 | -2.75% | 21 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.11% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.26% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 4.44% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.41% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.64% | 2 | |
| 2021-10-05 | 2021-11-10 | $260.20 | $355.98 | 31.18% | 27 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.06% | 5 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-06-25 | 2021-06-28 | $223.96 | $229.57 | -1.37% | 2 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.10% | 2 | |
| 2019-09-12 | 2019-09-13 | $16.39 | $16.35 | -0.49% | 2 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -3.81% | 10 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 2.08% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -1.11% | 2 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.80% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 4.40% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.07% | 2 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -0.73% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 0.78% | 5 | |
| 2016-04-01 | 2016-04-04 | $15.84 | $16.47 | 2.24% | 2 | |
| 2015-06-18 | 2015-08-07 | $17.46 | $16.17 | -1.53% | 36 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -2.38% | 3 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.84% | 2 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.28% | 2 | |
| 2015-05-06 | 2015-05-07 | $15.36 | $15.79 | -1.28% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2014-08-04 | 2014-09-23 | $15.90 | $16.69 | 8.35% | 36 | |
| 2014-06-17 | 2014-07-08 | $15.44 | $14.60 | -1.06% | 15 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2013-02-19 | 2013-02-26 | $2.62 | $2.30 | -6.70% | 6 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-29 | 2012-12-31 | $2.25 | $2.26 | -0.23% | 22 | |
| 2012-11-20 | 2012-11-21 | $2.20 | $2.16 | 0.04% | 2 | |
| 2012-11-08 | 2012-11-09 | $2.09 | $2.02 | -0.93% | 2 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -1.31% | 2 | |
| 2012-09-18 | 2012-09-19 | $2.09 | $2.07 | -2.72% | 2 | |
| 2012-06-21 | 2012-06-22 | $2.15 | $2.25 | -3.43% | 2 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 4.01% | 38 |