Strategy Zoo / S0679
PriceMomentum_V0679
REJECTEDhybridllmSimplified and de-duplicated momentum entry; require 20d momentum + price above 50SMA + positive sma_50 slope and macd_hist, with minimum volume percentile to reduce noise. Tightened exits: shorter-term stop (5d), trend break under sma_50, a moderate drawdown stop, and a 20d loss guard. Added stricter regime gating to only trade in uptrends and non-bubble markets, and scaled position sizes by volatility (smaller in high vol). Reduced base position to limit risk and overfitting. | rejected: stage1: sharpe -0.68 below screen
Fitness
—
Generation
31
Complexity
17
Created
2026-09-24
Lineage
Parents (1)
entry from PriceMomentum_V0557, exit from PriceMomentum_V0361
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0679 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and close > sma_50 and sma_50_slope > 0.0 and macd_hist > 0.0 and vol_pctile > 0.3):
position = 0.7
if long and (ret_20d < -0.12 or ret_5d < -0.04 or close < sma_50 or drawdown < -0.07):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.8
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.65
if regime.volatility == "HIGH_VOLATILITY": position *= 0.45Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| No walk-forward results | ||||
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 |
|---|---|---|---|---|---|
| No regime results | |||||
Trades (full period)
0 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||