Strategy Zoo / S0661
PriceMomentum_V0661
ARCHIVEDmomentumllm1) Added trend filter: only enter in UPTREND or SIDEWAYS to avoid downhill momentum. 2) Strengthened entry: require 20d momentum >4% AND price confirming with positive 50-day slope or above 50-SMA; avoid very high vol (vol_pctile <0.85). 3) Softer entry threshold (0.04 vs 0.05) to increase opportunities with trend confirmation. 4) Tighter, multi-condition exits: exit on 20d loss < -12%, short-term 5d weakness < -5%, or drawdown <-12% to cut losses earlier. 5) Volatility-based position sizing: reduce size in high vol (pos 0.4 if vol_pctile>0.7, otherwise 0.8). 6) Lowered base position to 0.60 to reduce max drawdown and turnover.
Fitness
0.2996
Generation
30
Complexity
13
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1437
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0661 [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.04 and (sma_50_slope > 0.0 or dist_sma_50 > 0.0) and vol_pctile < 0.85):
position = 0.6
if long and (ret_20d < -0.12 or ret_5d < -0.05 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.4% | 25.7% | -11.6% | 0.3% |
| Total Return | -17.9% | 98.7% | -36.7% | 5.1% |
| Sharpe | -0.15 | 1.54 | -0.91 | 0.09 |
| Sortino | -0.11 | 1.42 | -0.59 | 0.07 |
| Calmar | -0.07 | 1.43 | -0.32 | 0.01 |
| Volatility | 11.8% | 15.6% | 12.6% | 12.9% |
| Max DD | -34.1% | -17.9% | -36.7% | -42.7% |
| Win Rate | 33.6% | 53.0% | 38.3% | 39.5% |
| Avg Win | 2.0% | 3.5% | 1.5% | 2.4% |
| Avg Loss | -1.3% | -1.4% | -1.7% | -1.4% |
| Payoff | 1.59 | 2.49 | 0.90 | 1.66 |
| Expectancy | -0.2% | 1.2% | -0.5% | 0.1% |
| Profit Factor | 0.81 | 2.81 | 0.56 | 1.09 |
| Trades | 131 | 66 | 94 | 291 |
| Avg Holding Days | 4.1 | 3.5 | 2.5 | 3.5 |
| Turnover | 19.8 | 26.4 | 30.4 | 23.8 |
| Exposure | 12.5% | 13.2% | 9.2% | 11.8% |
Growth of $100
PriceMomentum_V0661 vs TSLA Buy & Hold
PriceMomentum_V0661 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 | -6.2% | -0.95 | -9.8% | 19 |
| 2017 | 9.9% | 0.78 | -7.4% | 23 |
| 2018 | -8.8% | -1.31 | -9.1% | 4 |
| 2019 | -2.8% | -0.29 | -8.8% | 16 |
| 2020 | 61.6% | 2.99 | -4.7% | 5 |
| 2021 | 9.9% | 0.60 | -17.9% | 40 |
| 2022 | 9.4% | 0.91 | -8.8% | 21 |
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 | -1.2% | -1.01 | 0% |
| hidden test | EXPENSIVE | 83 | -0.2% | -0.01 | 28% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -9.9% | -0.92 | 1% |
| hidden test | LOW VOLATILITY | 430 | 0.1% | 0.01 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -33.1% | -2.02 | 14% |
| hidden test | NORMAL | 803 | -13.4% | -1.14 | 8% |
| hidden test | SIDEWAYS | 293 | -29.0% | -2.09 | 11% |
| hidden test | UPTREND | 371 | -5.2% | -0.33 | 14% |
| train | DOWNTREND | 518 | -0.9% | -0.26 | 1% |
| train | EXPENSIVE | 311 | 24.9% | 1.42 | 26% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.5% | 0.61 | 1% |
| train | LOW VOLATILITY | 745 | 4.4% | 0.35 | 22% |
| train | MEDIUM VOLATILITY | 568 | -18.9% | -1.38 | 14% |
| train | NORMAL | 1,601 | -7.5% | -0.70 | 11% |
| train | SIDEWAYS | 592 | -10.8% | -1.12 | 10% |
| train | UPTREND | 902 | 3.6% | 0.23 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 76.4% | 3.24 | 30% |
| validation | EXTREME | 144 | 28.4% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 14.5% | 1.37 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 53.4% | 2.46 | 20% |
| validation | NORMAL | 474 | 7.6% | 0.55 | 12% |
| validation | SIDEWAYS | 206 | 5.0% | 0.47 | 9% |
| validation | UPTREND | 425 | 40.5% | 2.08 | 19% |
Trades (full period)
latest 100 of 291
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.05% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -1.52% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -1.67% | 2 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -0.62% | 12 | |
| 2025-10-14 | 2025-11-10 | $429.24 | $445.23 | -0.80% | 20 | |
| 2025-09-22 | 2025-10-13 | $434.21 | $435.90 | -1.69% | 16 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -0.93% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -0.74% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 0.76% | 2 | |
| 2025-08-22 | 2025-08-25 | $340.01 | $346.60 | 3.61% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.16% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.39% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.45% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -1.59% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.01% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.58% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.46% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.46% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.70% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.68% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -5.96% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.63% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.37% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.01% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.17% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.16% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.13% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.30% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.33% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -3.63% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.67% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 0.83% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -1.74% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.49% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 |