Strategy Zoo / S0680
PriceMomentum_V0680
REJECTEDhybridllmRefactored entry to require 20d momentum plus confirmation from trend (price>200sma with rising 200sma), stronger momentum or volume breakout; tightened cumulative-252d filter. Added multi-condition exit: stop-loss OR break below sma_50 OR large drawdown. Added regime gating to exclude HIGH_VOLATILITY and bubble extremes. Lowered base exposure to 0.8 and added position rules to cut size in high volatility and when near 52w highs to reduce risk. | rejected: stage1: sharpe -0.90 below screen
Fitness
—
Generation
31
Complexity
17
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0923
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0680 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and cumret_252d > -0.15 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923 or rel_volume > 1.2 or breakout_20 > 0.0)):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest 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 | ||||||