Strategy Zoo / S0632
PriceMomentum_V0632
ARCHIVEDhybridllm1) Added regime gates: allow entries only in UPTREND or SIDEWAYS, avoid HIGH volatility and non-NORMAL bubble to reduce tail-risk. 2) Strengthened entry: require 20d momentum > 3% AND positive 50-day slope for more robust trends. 3) Improved exits: multi-condition exit (momentum reversal, 8% drawdown stop, or negative MACD histogram) to limit large drawdowns. 4) Position sizing by vol_pctile: scale down in high volatility (0.4), medium (0.8), full size in low vol (1.0). 5) Lowered base_position to 0.8 to reduce overall risk.
Fitness
0.3925
Generation
29
Complexity
7
Created
2026-09-24
Lineage
Parents (1)
logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0632 [hybrid]
if flat and (ret_20d > 0.03 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_20d < -0.01 or drawdown < -0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.7% | 43.1% | -1.3% | 11.3% |
| Total Return | 68.0% | 193.2% | -4.7% | 380.9% |
| Sharpe | 0.40 | 1.29 | 0.03 | 0.57 |
| Sortino | 0.38 | 1.35 | 0.02 | 0.53 |
| Calmar | 0.12 | 1.13 | -0.04 | 0.19 |
| Volatility | 21.8% | 31.5% | 19.2% | 23.5% |
| Max DD | -54.0% | -38.3% | -32.8% | -57.9% |
| Win Rate | 44.1% | 53.8% | 52.0% | 48.5% |
| Avg Win | 3.1% | 4.2% | 2.4% | 3.3% |
| Avg Loss | -1.8% | -2.2% | -2.5% | -2.1% |
| Payoff | 1.71 | 1.90 | 0.94 | 1.57 |
| Expectancy | 0.4% | 1.2% | 0.0% | 0.5% |
| Profit Factor | 1.34 | 2.21 | 1.01 | 1.48 |
| Trades | 227 | 106 | 127 | 460 |
| Avg Holding Days | 3.0 | 3.1 | 2.2 | 2.8 |
| Turnover | 45.6 | 56.5 | 54.8 | 50.1 |
| Exposure | 18.6% | 23.5% | 12.8% | 18.2% |
Growth of $100
PriceMomentum_V0632 vs TSLA Buy & Hold
PriceMomentum_V0632 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 | -5.7% | -0.85 | -9.9% | 19 |
| 2017 | 7.7% | 0.53 | -14.2% | 33 |
| 2018 | -19.6% | -1.07 | -19.8% | 34 |
| 2019 | 3.8% | 0.28 | -20.1% | 29 |
| 2020 | 215.6% | 2.73 | -14.9% | 43 |
| 2021 | 19.2% | 0.83 | -20.5% | 39 |
| 2022 | -22.4% | -1.80 | -22.4% | 23 |
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 | 8.7% | 0.32 | 33% |
| hidden test | EXTREME | 48 | 136.6% | 3.39 | 32% |
| hidden test | HIGH VOLATILITY | 254 | -0.5% | -0.02 | 12% |
| hidden test | LOW VOLATILITY | 430 | 15.3% | 1.07 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -23.8% | -1.06 | 14% |
| hidden test | NORMAL | 803 | -8.4% | -0.53 | 10% |
| hidden test | SIDEWAYS | 293 | -9.6% | -0.66 | 11% |
| hidden test | UPTREND | 371 | 9.0% | 0.33 | 24% |
| train | DOWNTREND | 518 | 2.3% | 0.69 | 0% |
| train | EXPENSIVE | 311 | 20.0% | 0.73 | 40% |
| train | EXTREME | 100 | 272.8% | 4.91 | 66% |
| train | HIGH VOLATILITY | 699 | 29.2% | 0.97 | 19% |
| train | LOW VOLATILITY | 745 | 1.7% | 0.12 | 23% |
| train | MEDIUM VOLATILITY | 568 | -7.0% | -0.42 | 13% |
| train | NORMAL | 1,601 | -9.8% | -0.63 | 12% |
| train | SIDEWAYS | 592 | -10.6% | -0.97 | 6% |
| train | UPTREND | 902 | 25.2% | 0.81 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 48.6% | 1.40 | 37% |
| validation | EXTREME | 144 | 188.3% | 3.50 | 47% |
| validation | HIGH VOLATILITY | 258 | 50.2% | 1.22 | 21% |
| validation | LOW VOLATILITY | 183 | 20.2% | 1.29 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 44.9% | 1.53 | 26% |
| validation | NORMAL | 474 | -6.3% | -0.35 | 12% |
| validation | SIDEWAYS | 206 | -3.1% | -0.36 | 3% |
| validation | UPTREND | 425 | 74.0% | 1.79 | 40% |
Trades (full period)
latest 100 of 460
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.71% | 2 | |
| 2026-07-08 | 2026-07-09 | $394.06 | $406.55 | -1.91% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.15% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.35% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.09% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 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 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -4.21% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.87% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 4.20% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.93% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.59% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.37% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.24% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -0.99% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.01% | 2 | |
| 2025-08-22 | 2025-08-25 | $340.01 | $346.60 | 4.81% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.89% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 4.38% | 2 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 2.77% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.24% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.51% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -3.41% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 6.41% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -2.76% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -4.12% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 5.72% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.93% | 2 | |
| 2024-12-06 | 2024-12-19 | $389.22 | $436.17 | 15.04% | 10 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.32% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.60% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.42% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -3.33% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.72% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.55% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.29% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.27% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 7.00% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.16% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -2.55% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.14% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 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 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.22% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.53% | 2 | |
| 2024-09-09 | 2024-09-10 | $216.27 | $226.17 | 1.94% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -3.42% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.32% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -10.02% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 3.95% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.07% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.08% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.23% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.82% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 |