Strategy Zoo / S0588
PriceMomentum_V0588
ARCHIVEDmomentumllmAdded trend-only regime gate, limited to NORMAL bubble and non-HIGH volatility; broadened and regularized entry (lowered ret_20d threshold, added sma_50_slope>0 and rsi filter, relaxed rel_volume) to improve generalization; tightened and diversified exits (smaller stop-loss, short-term MA cross and roll_high failure, drawdown cap) to reduce large drawdowns; added volatility-based position scaling and reduced base_position to lower risk.
Fitness
0.1277
Generation
27
Complexity
13
Created
2026-09-23
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0588 [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 rel_volume > 1.1 and sma_50_slope > 0.0 and rsi_14 < 75.0):
position = 0.8
if long and (ret_20d < -0.1 or roll_high_50 < sma_20 or sma_10 < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | 3.4% | 2.7% | 0.5% |
| Total Return | -11.8% | 10.4% | 10.3% | 7.4% |
| Sharpe | -0.09 | 0.32 | 0.26 | 0.10 |
| Sortino | -0.04 | 0.10 | 0.10 | 0.04 |
| Calmar | -0.07 | 0.13 | 0.11 | 0.02 |
| Volatility | 10.9% | 13.3% | 14.4% | 12.4% |
| Max DD | -22.7% | -24.9% | -25.5% | -25.5% |
| Win Rate | 46.2% | 33.3% | 62.5% | 50.0% |
| Avg Win | 3.2% | 28.2% | 8.0% | 7.3% |
| Avg Loss | -4.3% | -7.0% | -8.7% | -5.9% |
| Payoff | 0.74 | 4.04 | 0.92 | 1.24 |
| Expectancy | -0.9% | 4.7% | 1.7% | 0.7% |
| Profit Factor | 0.63 | 2.02 | 1.53 | 1.24 |
| Trades | 13 | 3 | 8 | 24 |
| Avg Holding Days | 23.1 | 21.7 | 12.0 | 19.2 |
| Turnover | 2.6 | 1.6 | 3.5 | 2.6 |
| Exposure | 11.4% | 6.6% | 7.5% | 9.4% |
Growth of $100
PriceMomentum_V0588 vs TSLA Buy & Hold
PriceMomentum_V0588 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 | -12.9% | -1.45 | -17.8% | 2 |
| 2017 | 9.5% | 2.08 | -0.7% | 1 |
| 2018 | -7.2% | -0.88 | -13.3% | 1 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 27.1% | 1.35 | -13.6% | 2 |
| 2022 | -13.2% | -1.04 | -13.8% | 1 |
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 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -18.3% | -1.39 | 1% |
| hidden test | LOW VOLATILITY | 429 | 12.4% | 0.95 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | 11.0% | 0.63 | 8% |
| hidden test | NORMAL | 802 | 2.5% | 0.16 | 9% |
| hidden test | SIDEWAYS | 293 | -8.6% | -0.80 | 1% |
| hidden test | UPTREND | 371 | 16.1% | 0.77 | 18% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 3.8% | 1.48 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -4.1% | -0.84 | 0% |
| train | LOW VOLATILITY | 745 | 9.1% | 0.67 | 23% |
| train | MEDIUM VOLATILITY | 568 | -10.3% | -0.84 | 10% |
| train | NORMAL | 1,601 | -2.0% | -0.16 | 14% |
| train | SIDEWAYS | 592 | -3.4% | -1.11 | 0% |
| train | UPTREND | 902 | 0.0% | 0.00 | 25% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 20.2% | 2.01 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 6.1% | 0.36 | 6% |
| validation | NORMAL | 474 | 6.7% | 0.40 | 10% |
| validation | SIDEWAYS | 206 | -11.0% | -1.02 | 1% |
| validation | UPTREND | 425 | 12.8% | 0.80 | 11% |
Trades (full period)
24 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -1.81% | 20 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -9.87% | 14 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 17.82% | 43 | |
| 2022-04-07 | 2022-04-27 | $352.42 | $293.84 | -13.12% | 14 | |
| 2021-09-08 | 2021-11-10 | $251.29 | $355.98 | 28.18% | 46 | |
| 2021-08-17 | 2021-08-23 | $221.90 | $235.43 | -0.83% | 5 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -7.21% | 18 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-08-02 | 2016-08-30 | $15.15 | $14.09 | -5.32% | 21 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -8.06% | 23 | |
| 2015-05-12 | 2015-08-07 | $16.32 | $16.17 | 2.32% | 62 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-06-24 | 2014-09-30 | $15.50 | $16.18 | 2.81% | 69 | |
| 2013-03-26 | 2013-03-27 | $2.52 | $2.54 | 0.54% | 2 | |
| 2013-02-19 | 2013-03-05 | $2.62 | $2.44 | -3.19% | 11 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-19 | 2013-01-24 | $2.31 | $2.47 | 3.13% | 24 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-02-23 | 2012-04-17 | $2.30 | $2.15 | -4.56% | 38 |