Strategy Zoo / S0675
PriceMomentum_V0675
ARCHIVEDmomentumllm1) Restricted entries to uptrends and positive longer-term momentum to reduce whipsaws. 2) Broadened entry signal to require ret_20d>4% + momentum_60>0 and either sma_50_slope>0 or sma_200_slope>0 for robustness. 3) Replaced single extreme exit with a safer multi-condition exit: milder ret_20d stop (-8%), portfolio drawdown cut (-12%), or large gap below 50SMA. 4) Added volatility-based position scaling (high vol -> smaller size) and lowered base_position to 0.6 to reduce drawdown and turnover. 5) Excluded EXTREME bubble regime and high volatility regime by regime gates to improve out-of-sample stability.
Fitness
0.2660
Generation
31
Complexity
13
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1437
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0675 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.04 and momentum_60 > 0.0 and (sma_50_slope > 0.0 or sma_200_slope > 0.0)):
position = 0.6
if long and (ret_20d < -0.08 or drawdown < -0.12 or dist_sma_50 < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.5% | 18.1% | -2.4% | 2.7% |
| Total Return | -3.9% | 64.7% | -8.6% | 47.1% |
| Sharpe | 0.01 | 1.21 | -0.17 | 0.28 |
| Sortino | 0.01 | 0.86 | -0.09 | 0.18 |
| Calmar | -0.02 | 0.79 | -0.15 | 0.09 |
| Volatility | 11.1% | 14.7% | 10.9% | 11.9% |
| Max DD | -23.8% | -22.9% | -16.6% | -30.1% |
| Win Rate | 38.5% | 51.5% | 51.2% | 45.3% |
| Avg Win | 2.3% | 5.3% | 1.8% | 3.1% |
| Avg Loss | -1.6% | -2.0% | -2.3% | -1.9% |
| Payoff | 1.44 | 2.61 | 0.80 | 1.65 |
| Expectancy | -0.1% | 1.7% | -0.2% | 0.4% |
| Profit Factor | 0.90 | 2.77 | 0.84 | 1.37 |
| Trades | 65 | 33 | 41 | 139 |
| Avg Holding Days | 6.3 | 5.2 | 3.3 | 5.2 |
| Turnover | 9.8 | 13.2 | 13.3 | 11.4 |
| Exposure | 10.5% | 11.0% | 6.1% | 9.5% |
Growth of $100
PriceMomentum_V0675 vs TSLA Buy & Hold
PriceMomentum_V0675 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 | -6.7% | -1.35 | -10.6% | 9 |
| 2017 | 0.4% | 0.10 | -12.4% | 19 |
| 2018 | -5.3% | -0.93 | -6.5% | 2 |
| 2019 | 1.1% | 0.22 | -4.7% | 5 |
| 2020 | 52.4% | 2.80 | -4.7% | 5 |
| 2021 | 12.9% | 0.73 | -17.1% | 20 |
| 2022 | -6.4% | -1.02 | -9.0% | 8 |
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 | 25.3% | 1.11 | 30% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.4% | -1.44 | 0% |
| hidden test | LOW VOLATILITY | 430 | 5.7% | 0.66 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | -6.1% | -0.37 | 11% |
| hidden test | NORMAL | 803 | -4.8% | -0.51 | 4% |
| hidden test | SIDEWAYS | 293 | -1.7% | -0.77 | 1% |
| hidden test | UPTREND | 371 | -3.3% | -0.19 | 15% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 17.8% | 0.99 | 25% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 4.6% | 0.49 | 1% |
| train | LOW VOLATILITY | 745 | 6.0% | 0.53 | 18% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -1.06 | 13% |
| train | NORMAL | 1,601 | -3.8% | -0.40 | 8% |
| train | SIDEWAYS | 592 | -2.8% | -1.21 | 0% |
| train | UPTREND | 902 | 2.1% | 0.13 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 73.7% | 3.23 | 32% |
| validation | EXTREME | 144 | 28.4% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 13.2% | 1.40 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 38.8% | 1.90 | 17% |
| validation | NORMAL | 474 | -1.9% | -0.15 | 8% |
| validation | SIDEWAYS | 206 | -5.2% | -1.17 | 0% |
| validation | UPTREND | 425 | 34.0% | 1.77 | 19% |
Trades (full period)
latest 100 of 139
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -1.29% | 20 | |
| 2025-10-14 | 2025-11-14 | $429.24 | $404.35 | -4.59% | 24 | |
| 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 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 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 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 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 | |
| 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 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.38% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.02% | 4 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 18.69% | 28 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.02% | 5 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.64% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.08% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.79% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.07% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -7.14% | 29 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 25.60% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 18.20% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.33% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.65% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 2.92% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 24.41% | 24 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -0.69% | 2 | |
| 2019-12-02 | 2019-12-03 | $22.32 | $22.41 | 0.78% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.31% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.59% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -4.72% | 22 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -5.75% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.18% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.96% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.03% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.10% | 6 | |
| 2017-02-07 | 2017-02-28 | $17.17 | $16.67 | -2.70% | 15 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.17% | 2 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -0.76% | 2 | |
| 2017-01-24 | 2017-01-31 | $16.97 | $16.80 | 0.30% | 6 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.12% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.59% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.01% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.16% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 |