Strategy Zoo / S0634
PriceMomentum_V0634
ARCHIVEDmomentumllmMade entries less rigid and regime-aware: replaced single high ret_20d threshold with a momentum OR breakout filter plus a positive sma_50_slope trend gate to increase trades in reasonable trends. Tightened exits: added a moderate 20d stop (-8%) and a faster MACD+short-term weakness exit to cut losers earlier. Added regime gates to avoid DOWNTREND and extreme bubble states; limit allocation by volatility (full in LOW, reduced in MED, small in HIGH). Reduced base_position from 1.0 to 0.8 to lower drawdown risk.
Fitness
0.1582
Generation
29
Complexity
16
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0634 [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 > 0.06 or breakout_20 == 1) and sma_50_slope > 0.0):
position = 0.8
if long and (ret_20d < -0.08 or (macd_hist < 0.0 and ret_5d < -0.02)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.6% | 0.9% | 2.2% | 1.6% |
| Total Return | 13.1% | 2.7% | 8.5% | 26.1% |
| Sharpe | 0.19 | 0.13 | 0.22 | 0.19 |
| Sortino | 0.10 | 0.07 | 0.12 | 0.10 |
| Calmar | 0.07 | 0.03 | 0.13 | 0.04 |
| Volatility | 12.5% | 12.0% | 14.6% | 12.9% |
| Max DD | -20.9% | -30.9% | -17.1% | -40.4% |
| Win Rate | 32.4% | 33.3% | 33.3% | 32.9% |
| Avg Win | 7.7% | 9.4% | 7.0% | 7.7% |
| Avg Loss | -2.9% | -3.7% | -2.8% | -3.0% |
| Payoff | 2.62 | 2.58 | 2.53 | 2.58 |
| Expectancy | 0.5% | 0.7% | 0.5% | 0.5% |
| Profit Factor | 1.26 | 1.29 | 1.27 | 1.27 |
| Trades | 37 | 12 | 27 | 76 |
| Avg Holding Days | 8.7 | 9.7 | 5.2 | 7.6 |
| Turnover | 7.2 | 5.2 | 10.4 | 7.6 |
| Exposure | 10.6% | 9.5% | 8.9% | 10.0% |
Growth of $100
PriceMomentum_V0634 vs TSLA Buy & Hold
PriceMomentum_V0634 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 | -0.3% | -0.00 | -9.0% | 4 |
| 2017 | 14.4% | 2.31 | -0.9% | 3 |
| 2018 | -6.2% | -0.98 | -8.0% | 3 |
| 2019 | 5.6% | 0.36 | -15.7% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 30.2% | 1.59 | -12.6% | 3 |
| 2022 | -21.1% | -2.06 | -22.7% | 9 |
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 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.2% | -1.48 | 1% |
| hidden test | LOW VOLATILITY | 430 | 16.5% | 1.10 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.3% | 0.08 | 7% |
| hidden test | NORMAL | 803 | 0.3% | 0.02 | 10% |
| hidden test | SIDEWAYS | 293 | -28.0% | -2.07 | 11% |
| hidden test | UPTREND | 371 | 30.3% | 1.55 | 14% |
| train | DOWNTREND | 518 | 1.2% | 0.53 | 0% |
| train | EXPENSIVE | 311 | 7.5% | 1.45 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.8% | 0.36 | 0% |
| train | LOW VOLATILITY | 745 | 8.4% | 0.63 | 24% |
| train | MEDIUM VOLATILITY | 568 | -8.7% | -0.84 | 6% |
| train | NORMAL | 1,601 | 1.4% | 0.10 | 13% |
| train | SIDEWAYS | 592 | -8.0% | -0.73 | 7% |
| train | UPTREND | 902 | 9.7% | 0.60 | 19% |
| 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 | -4.4% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 15.4% | 1.21 | 27% |
| validation | MEDIUM VOLATILITY | 315 | -1.4% | -0.10 | 7% |
| validation | NORMAL | 474 | 2.6% | 0.17 | 15% |
| validation | SIDEWAYS | 206 | -16.0% | -1.53 | 4% |
| validation | UPTREND | 425 | 10.7% | 0.75 | 15% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.18% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-22 | 2026-06-02 | $426.01 | $423.74 | -0.51% | 7 | |
| 2026-05-14 | 2026-05-21 | $443.30 | $417.85 | -5.18% | 6 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -2.92% | 3 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -7.86% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.45% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.20% | 4 | |
| 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 | -1.93% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.13% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.15% | 3 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 21.16% | 17 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -2.74% | 7 | |
| 2023-07-03 | 2023-07-12 | $279.82 | $271.99 | 3.29% | 7 | |
| 2023-06-28 | 2023-06-30 | $256.24 | $261.77 | 2.17% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -1.93% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.51% | 4 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -4.52% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -3.08% | 7 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -1.97% | 9 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.00% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.10% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.51% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -5.88% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.03% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.47% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 35.16% | 56 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 10.87% | 11 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 13.09% | 8 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 3.19% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.33% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -0.95% | 10 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.09% | 3 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -2.27% | 14 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.35% | 2 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.44% | 19 | |
| 2016-07-26 | 2016-08-12 | $15.30 | $15.04 | -1.92% | 14 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -2.92% | 12 | |
| 2016-03-28 | 2016-04-14 | $15.35 | $16.79 | 7.23% | 14 | |
| 2015-12-31 | 2016-01-06 | $16.00 | $14.60 | -5.07% | 4 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | 1.41% | 9 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-16 | $17.07 | $16.87 | -2.00% | 6 | |
| 2015-04-29 | 2015-06-05 | $15.50 | $16.61 | 5.19% | 27 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -7.41% | 2 | |
| 2014-08-04 | 2014-09-12 | $15.90 | $18.61 | 15.75% | 29 | |
| 2014-07-14 | 2014-07-17 | $15.11 | $14.36 | -0.49% | 4 | |
| 2014-07-10 | 2014-07-11 | $14.63 | $14.54 | -1.45% | 2 | |
| 2014-07-08 | 2014-07-09 | $14.60 | $14.87 | -1.45% | 2 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 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 | |
| 2013-01-03 | 2013-01-10 | $2.32 | $2.24 | -4.06% | 6 | |
| 2012-11-12 | 2012-12-27 | $2.07 | $2.25 | 8.45% | 32 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.20% | 8 | |
| 2012-03-12 | 2012-03-20 | $2.40 | $2.33 | 0.41% | 7 | |
| 2012-03-01 | 2012-03-07 | $2.29 | $2.21 | -0.86% | 5 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 |