Strategy Zoo / S0631
PriceMomentum_V0631
ARCHIVEDhybridllm- Simplified and de-duplicated the entry conditions to require a meaningful 20-day return plus a volatility filter (vol_pctile < 0.8) to avoid very noisy/high-vol environments. - Added diversified entry paths: (1) price above sma_200 with positive sma_200_slope, (2) breakout above sma_50, and (3) rising sma_50 with non-overbought RSI — to capture momentum while avoiding overbought entries. - Improved exits: earlier stop loss (ret_20d < -8%), exit on cross below sma_50, and forced exit on extreme RSI > 85 to limit drawdowns. - Restricted regime gates to only UPTREND and non-high volatility and normal bubble to focus on favorable market regimes. - Reduced base_position to 0.8 to lower risk/size and turnover.
Fitness
0.0780
Generation
29
Complexity
20
Created
2026-09-24
Lineage
Parents (1)
logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0631 [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 vol_pctile < 0.8 and ((close > sma_200 and sma_200_slope > 0.0) or (close > sma_50 and breakout_20 > 0.0) or (sma_50_slope > 0.0 and rsi_14 < 70.0))):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or rsi_14 > 85.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.6% | -7.7% | 2.5% | -1.4% |
| Total Return | -4.8% | -21.4% | 9.4% | -18.2% |
| Sharpe | 0.01 | -0.48 | 0.24 | -0.04 |
| Sortino | 0.00 | -0.21 | 0.10 | -0.02 |
| Calmar | -0.02 | -0.18 | 0.10 | -0.03 |
| Volatility | 11.9% | 14.5% | 15.1% | 13.3% |
| Max DD | -29.8% | -41.9% | -24.8% | -41.9% |
| Win Rate | 36.8% | 38.5% | 57.9% | 45.1% |
| Avg Win | 6.3% | 8.5% | 5.6% | 6.4% |
| Avg Loss | -3.8% | -7.3% | -5.9% | -5.4% |
| Payoff | 1.65 | 1.17 | 0.94 | 1.19 |
| Expectancy | -0.1% | -1.2% | 0.7% | -0.1% |
| Profit Factor | 0.96 | 0.73 | 1.30 | 0.98 |
| Trades | 19 | 13 | 19 | 51 |
| Avg Holding Days | 16.2 | 8.1 | 5.2 | 10.0 |
| Turnover | 3.8 | 6.9 | 8.2 | 5.6 |
| Exposure | 11.5% | 9.7% | 6.9% | 9.9% |
Growth of $100
PriceMomentum_V0631 vs TSLA Buy & Hold
PriceMomentum_V0631 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 | -7.5% | -0.83 | -12.6% | 3 |
| 2017 | 9.5% | 2.08 | -0.7% | 1 |
| 2018 | -12.2% | -1.46 | -13.3% | 2 |
| 2019 | 4.6% | 0.58 | -7.1% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.3% | 0.55 | -19.3% | 8 |
| 2022 | -28.2% | -2.04 | -30.3% | 5 |
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 | 270 | 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 | -19.3% | -1.21 | 1% |
| hidden test | LOW VOLATILITY | 430 | 12.1% | 1.03 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 12.1% | 0.65 | 9% |
| hidden test | NORMAL | 803 | 0.6% | 0.04 | 8% |
| hidden test | SIDEWAYS | 293 | -13.5% | -1.23 | 1% |
| hidden test | UPTREND | 371 | 19.7% | 0.90 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.5% | 1.29 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.4% | 0.04 | 0% |
| train | LOW VOLATILITY | 745 | 10.5% | 0.72 | 25% |
| train | MEDIUM VOLATILITY | 568 | -14.0% | -1.28 | 7% |
| train | NORMAL | 1,601 | -1.1% | -0.09 | 14% |
| train | SIDEWAYS | 592 | -4.4% | -1.25 | 1% |
| train | UPTREND | 902 | 3.1% | 0.18 | 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 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 13.3% | 1.02 | 26% |
| validation | MEDIUM VOLATILITY | 315 | -19.1% | -1.07 | 8% |
| validation | NORMAL | 474 | -11.1% | -0.61 | 16% |
| validation | SIDEWAYS | 206 | -23.9% | -1.85 | 2% |
| validation | UPTREND | 425 | -0.8% | -0.05 | 16% |
Trades (full period)
51 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 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 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.19% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 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 | |
| 2024-07-02 | 2024-07-08 | $231.26 | $252.94 | 15.54% | 4 | |
| 2023-06-26 | 2023-08-03 | $241.05 | $259.32 | -0.70% | 28 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.68% | 2 | |
| 2023-06-02 | 2023-06-12 | $213.97 | $249.83 | 13.85% | 7 | |
| 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 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -13.23% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.58% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-08-24 | 2021-10-26 | $236.16 | $339.48 | 34.74% | 45 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.57% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -7.62% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -3.63% | 25 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.86% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 4.49% | 54 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-06-23 | 2014-09-23 | $15.81 | $16.69 | 7.19% | 65 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-18 | 2013-01-14 | $2.31 | $2.22 | -3.60% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.46% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |