Strategy Zoo / S0656
PriceMomentum_V0656
ARCHIVEDhybridllmRestricted trading to UPTREND and non-high volatility/bubble regimes; added RSI and tightened cumret guard to avoid weak breadth entries; expanded exit logic to include close < sma_50 and short-term deterioration (ret_5d < -2%) to reduce drawdowns; added position scaling: halve size in high volatility (vol_pctile > 0.8) and go flat if drawdown exceeds 35%. These structural changes prioritize safer entries, faster exits, and volatility-aware sizing.
Fitness
0.0880
Generation
30
Complexity
20
Created
2026-09-24
Lineage
Parents (1)
entry = PriceMomentum_V0264 OR LongTermTrend_V0208
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0656 [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 and rsi_14 > 52.0) or (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.15)):
position = 1.0
if long and (ret_20d < -0.03 or close < sma_50 or ret_5d < -0.02):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.9% | -0.6% | 2.6% | -1.6% |
| Total Return | -27.0% | -1.9% | 9.9% | -21.3% |
| Sharpe | -0.24 | 0.05 | 0.24 | -0.04 |
| Sortino | -0.11 | 0.02 | 0.08 | -0.02 |
| Calmar | -0.11 | -0.02 | 0.10 | -0.04 |
| Volatility | 12.8% | 16.9% | 17.1% | 14.8% |
| Max DD | -36.7% | -40.0% | -26.9% | -40.0% |
| Win Rate | 29.3% | 23.1% | 42.1% | 31.5% |
| Avg Win | 5.5% | 23.0% | 6.1% | 8.0% |
| Avg Loss | -3.1% | -5.4% | -3.2% | -3.6% |
| Payoff | 1.75 | 4.25 | 1.88 | 2.21 |
| Expectancy | -0.6% | 1.1% | 0.7% | 0.0% |
| Profit Factor | 0.72 | 1.28 | 1.37 | 1.02 |
| Trades | 41 | 13 | 19 | 73 |
| Avg Holding Days | 6.1 | 7.7 | 4.4 | 5.9 |
| Turnover | 10.3 | 8.7 | 10.3 | 9.9 |
| Exposure | 10.3% | 11.5% | 7.0% | 9.7% |
Growth of $100
PriceMomentum_V0656 vs TSLA Buy & Hold
PriceMomentum_V0656 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% | -0.58 | -13.7% | 5 |
| 2017 | 11.1% | 1.90 | -1.2% | 2 |
| 2018 | -6.2% | -0.69 | -8.1% | 2 |
| 2019 | 4.2% | 0.46 | -9.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 52.5% | 1.99 | -11.8% | 4 |
| 2022 | -35.8% | -2.30 | -38.0% | 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 | 21.4% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -31.3% | -1.69 | 1% |
| hidden test | LOW VOLATILITY | 430 | 12.4% | 0.87 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | 25.5% | 1.30 | 8% |
| hidden test | NORMAL | 803 | 2.5% | 0.14 | 8% |
| hidden test | SIDEWAYS | 293 | -13.9% | -1.03 | 1% |
| hidden test | UPTREND | 371 | 21.1% | 0.87 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.0% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.4% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 0.0% | 0.00 | 23% |
| train | MEDIUM VOLATILITY | 568 | -14.1% | -1.18 | 7% |
| train | NORMAL | 1,601 | -5.5% | -0.39 | 13% |
| train | SIDEWAYS | 592 | -5.4% | -1.23 | 1% |
| train | UPTREND | 902 | -3.4% | -0.18 | 22% |
| 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 | 3.5% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 14.3% | 0.92 | 31% |
| validation | MEDIUM VOLATILITY | 315 | -9.3% | -0.40 | 10% |
| validation | NORMAL | 474 | 1.2% | 0.06 | 18% |
| validation | SIDEWAYS | 206 | -31.2% | -1.94 | 2% |
| validation | UPTREND | 425 | 16.5% | 0.85 | 20% |
Trades (full period)
73 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.83% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 1.21% | 3 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 6.49% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -4.14% | 3 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 14.63% | 8 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -3.53% | 7 | |
| 2023-07-03 | 2023-07-12 | $279.82 | $271.99 | 2.86% | 7 | |
| 2023-06-28 | 2023-06-30 | $256.24 | $261.77 | 2.71% | 3 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 12.43% | 16 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -12.90% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -8.89% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.25% | 6 | |
| 2021-08-24 | 2021-11-09 | $236.16 | $341.17 | 64.32% | 55 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 13.70% | 11 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | -0.04% | 13 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.75% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-07-26 | 2016-08-08 | $15.30 | $15.08 | -0.19% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-18 | 2016-05-02 | $16.93 | $16.12 | -5.59% | 11 | |
| 2016-04-14 | 2016-04-15 | $16.79 | $16.97 | -1.25% | 2 | |
| 2016-04-05 | 2016-04-13 | $17.03 | $16.97 | 0.14% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.29% | 9 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-06-08 | 2015-06-16 | $17.09 | $16.87 | 0.30% | 7 | |
| 2015-05-11 | 2015-06-05 | $15.97 | $16.61 | 3.73% | 19 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -9.27% | 2 | |
| 2014-08-25 | 2014-09-12 | $17.50 | $18.61 | 8.95% | 14 | |
| 2014-08-05 | 2014-08-22 | $15.90 | $17.12 | 6.42% | 14 | |
| 2014-07-15 | 2014-07-17 | $14.64 | $14.36 | -4.40% | 3 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.81% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.62% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -3.07% | 2 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.27% | 9 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -10.67% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -3.41% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-12-18 | 2012-12-27 | $2.31 | $2.25 | -2.55% | 7 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-11-23 | 2012-11-28 | $2.14 | $2.22 | -1.18% | 4 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -8.11% | 2 | |
| 2012-03-27 | 2012-04-03 | $2.53 | $2.53 | -2.39% | 6 | |
| 2012-03-12 | 2012-03-20 | $2.40 | $2.33 | 0.49% | 7 | |
| 2012-03-02 | 2012-03-07 | $2.27 | $2.21 | -3.97% | 4 | |
| 2012-02-29 | 2012-03-01 | $2.23 | $2.29 | -1.38% | 2 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.95% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |