Strategy Zoo / S0615
PriceMomentum_V0615
ARCHIVEDhybridllmRestricted entries to uptrends and non-extreme volatility; added short-term trend/momentum filter (sma slopes or macd_hist) to reduce sideways/bad signals; tightened rel_volume threshold slightly; improved exit with additional MACD+1d-loss and drawdown-based stops; added position sizing rules to reduce size in high vol and maintain full size in low vol; lowered base position to be more conservative.
Fitness
0.1047
Generation
28
Complexity
27
Created
2026-09-23
Lineage
Parents (1)
entry = PriceMomentum_V0264 OR LongTermTrend_V0208
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0615 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((ret_20d > 0.05 and rel_volume > 1.25) or (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997)) and vol_pctile < 0.85 and (sma_50_slope > 0.0 or sma_200_slope > 0.0 or macd_hist > 0.0)):
position = 0.8
if long and (ret_20d < -0.03 or (macd_hist < 0.0 and ret_1d < -0.02) or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.6% | -2.0% | 6.5% | 0.9% |
| Total Return | -4.7% | -5.9% | 26.4% | 13.4% |
| Sharpe | -0.00 | -0.09 | 0.53 | 0.13 |
| Sortino | -0.00 | -0.04 | 0.22 | 0.06 |
| Calmar | -0.03 | -0.06 | 0.43 | 0.02 |
| Volatility | 10.6% | 13.2% | 13.9% | 12.1% |
| Max DD | -20.9% | -35.1% | -15.1% | -35.1% |
| Win Rate | 46.4% | 30.8% | 50.0% | 44.1% |
| Avg Win | 3.8% | 8.6% | 6.2% | 5.3% |
| Avg Loss | -3.3% | -4.0% | -3.2% | -3.5% |
| Payoff | 1.12 | 2.15 | 1.91 | 1.53 |
| Expectancy | -0.0% | -0.1% | 1.5% | 0.4% |
| Profit Factor | 0.97 | 0.95 | 1.91 | 1.20 |
| Trades | 28 | 13 | 18 | 59 |
| Avg Holding Days | 9.3 | 7.2 | 5.3 | 7.6 |
| Turnover | 5.6 | 6.9 | 7.8 | 6.4 |
| Exposure | 9.2% | 8.6% | 6.6% | 8.4% |
Growth of $100
PriceMomentum_V0615 vs TSLA Buy & Hold
PriceMomentum_V0615 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 | -4.7% | -0.55 | -10.0% | 4 |
| 2017 | 9.7% | 2.04 | -0.9% | 2 |
| 2018 | -5.0% | -0.69 | -6.5% | 2 |
| 2019 | 4.8% | 0.62 | -6.6% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.7% | 0.92 | -18.8% | 6 |
| 2022 | -20.1% | -1.95 | -22.4% | 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 | 269 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 429 | 9.6% | 0.81 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 18.6% | 1.00 | 9% |
| hidden test | NORMAL | 802 | 5.0% | 0.35 | 7% |
| hidden test | SIDEWAYS | 293 | -1.2% | -0.74 | 1% |
| hidden test | UPTREND | 371 | 19.3% | 0.88 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 4.6% | 0.37 | 21% |
| train | MEDIUM VOLATILITY | 568 | -8.6% | -0.87 | 5% |
| train | NORMAL | 1,601 | -1.4% | -0.12 | 11% |
| train | SIDEWAYS | 592 | -4.3% | -1.23 | 1% |
| train | UPTREND | 902 | 2.7% | 0.18 | 20% |
| 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 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 7.9% | 0.65 | 24% |
| validation | MEDIUM VOLATILITY | 315 | -2.0% | -0.13 | 6% |
| validation | NORMAL | 474 | -1.8% | -0.11 | 14% |
| validation | SIDEWAYS | 206 | -13.0% | -1.81 | 1% |
| validation | UPTREND | 425 | 4.2% | 0.25 | 15% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-31 | 2026-01-05 | $449.72 | $451.67 | -3.04% | 3 | |
| 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 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -3.49% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -8.92% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.01% | 4 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.04% | 3 | |
| 2023-07-10 | 2023-07-21 | $269.61 | $260.02 | -3.43% | 10 | |
| 2023-06-28 | 2023-07-07 | $256.24 | $274.43 | 8.21% | 7 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.29% | 3 | |
| 2022-04-12 | 2022-04-18 | $328.98 | $334.76 | 0.60% | 4 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-09-23 | 2021-11-10 | $251.21 | $355.98 | 28.29% | 35 | |
| 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 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-11-29 | 2019-12-17 | $22.00 | $25.27 | 11.82% | 13 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.02% | 13 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.61% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-21 | 2016-05-02 | $16.55 | $16.12 | -3.10% | 8 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | 0.01% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-15 | 2015-07-22 | $17.54 | $17.86 | 0.22% | 6 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 4.60% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-07-09 | 2014-07-16 | $14.87 | $14.48 | 0.05% | 6 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -2.54% | 11 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -8.57% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -2.04% | 7 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.32% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |