Strategy Zoo / S0694
PriceMomentum_V0694
ARCHIVEDhybridllmSimplified entry to require either long-term trend (price>200sma and rising) or strong short-term momentum (20d return or 20d breakout), plus sanity checks (252d cumulative drawdown and RSI<70). Tightened regime gates to only UPTREND and excluded HIGH_VOLATILITY and EXTREME bubble. Added multi-condition exits: larger stop (ret_20d<-3%), drawdown cap (>12%), trend break (close < sma_50), and RSI overbought. Reduced base position to 0.7 to limit drawdowns and added position scaling rules to cut size when volatility percentile >75% or recent drawdown >8%.
Fitness
0.2105
Generation
32
Complexity
17
Created
2026-09-25
Lineage
Parents (1)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0694 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.08 or breakout_20 > 0.0) and cumret_252d > -0.2 and rsi_14 < 70.0):
position = 0.7
if long and (ret_20d < -0.03 or drawdown > 0.12 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 10.1% | -12.4% | -1.4% |
| Total Return | -1.2% | 33.4% | -38.8% | -19.2% |
| Sharpe | 0.07 | 0.62 | -0.78 | -0.01 |
| Sortino | 0.05 | 0.50 | -0.46 | -0.01 |
| Calmar | -0.00 | 0.53 | -0.28 | -0.03 |
| Volatility | 15.0% | 18.3% | 15.3% | 15.8% |
| Max DD | -29.7% | -19.1% | -44.3% | -50.5% |
| Win Rate | 44.8% | 43.6% | 35.4% | 42.2% |
| Avg Win | 3.3% | 6.1% | 1.9% | 3.6% |
| Avg Loss | -2.5% | -3.0% | -2.5% | -2.6% |
| Payoff | 1.31 | 2.04 | 0.74 | 1.37 |
| Expectancy | 0.1% | 1.0% | -1.0% | 0.0% |
| Profit Factor | 1.06 | 1.58 | 0.41 | 1.00 |
| Trades | 105 | 39 | 48 | 192 |
| Avg Holding Days | 5.2 | 5.5 | 4.3 | 5.0 |
| Turnover | 18.4 | 18.2 | 18.1 | 18.3 |
| Exposure | 15.4% | 16.1% | 11.9% | 14.7% |
Growth of $100
PriceMomentum_V0694 vs TSLA Buy & Hold
PriceMomentum_V0694 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 | -9.3% | -1.50 | -10.4% | 5 |
| 2017 | 2.8% | 0.25 | -13.7% | 25 |
| 2018 | -15.4% | -1.66 | -15.3% | 4 |
| 2019 | 14.4% | 2.07 | -1.5% | 1 |
| 2020 | 30.1% | 1.65 | -11.1% | 10 |
| 2021 | 19.1% | 0.86 | -15.4% | 23 |
| 2022 | -16.1% | -1.29 | -18.2% | 5 |
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 | 271 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 42.4% | 1.54 | 39% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -16.1% | -1.18 | 1% |
| hidden test | LOW VOLATILITY | 431 | -4.1% | -0.34 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.7% | -1.03 | 20% |
| hidden test | NORMAL | 804 | -18.4% | -1.32 | 10% |
| hidden test | SIDEWAYS | 293 | -27.8% | -2.17 | 3% |
| hidden test | UPTREND | 371 | -8.3% | -0.39 | 28% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 20.2% | 0.82 | 27% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.05 | 2% |
| train | LOW VOLATILITY | 745 | 13.1% | 0.92 | 25% |
| train | MEDIUM VOLATILITY | 568 | -14.6% | -0.84 | 19% |
| train | NORMAL | 1,601 | -3.2% | -0.25 | 14% |
| train | SIDEWAYS | 592 | -7.0% | -1.18 | 1% |
| train | UPTREND | 902 | 6.8% | 0.31 | 34% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 50.7% | 1.96 | 37% |
| validation | EXTREME | 144 | 18.8% | 2.15 | 1% |
| validation | HIGH VOLATILITY | 258 | 15.6% | 1.14 | 1% |
| validation | LOW VOLATILITY | 183 | -7.9% | -0.54 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 18.8% | 0.82 | 22% |
| validation | NORMAL | 474 | -2.5% | -0.14 | 14% |
| validation | SIDEWAYS | 206 | -15.2% | -1.51 | 1% |
| validation | UPTREND | 425 | 27.4% | 1.18 | 28% |
Trades (full period)
latest 100 of 192
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.18% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.78% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.54% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.48% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.57% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.39% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.29% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.45% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.87% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.34% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.65% | 2 | |
| 2025-09-26 | 2025-11-14 | $440.40 | $404.35 | -3.30% | 36 | |
| 2025-09-12 | 2025-09-18 | $395.94 | $416.85 | 10.52% | 5 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.87% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.38% | 3 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -10.52% | 11 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -3.42% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.13% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.16% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 1.57% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -2.25% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -0.85% | 2 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -8.95% | 8 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.53% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -2.15% | 2 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -3.94% | 6 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.07% | 2 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -2.15% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-06-26 | 2023-08-02 | $241.05 | $254.11 | 1.38% | 27 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-04-06 | 2022-04-27 | $348.59 | $293.84 | -14.08% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.04% | 3 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.49% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 3.89% | 2 | |
| 2021-12-21 | 2021-12-22 | $312.84 | $336.29 | 2.86% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.29% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.14% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.62% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -3.31% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.55% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.80% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.82% | 6 | |
| 2021-08-24 | 2021-10-19 | $236.16 | $288.09 | 15.67% | 40 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.11% | 13 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 13.60% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -2.78% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -3.53% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 4.31% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -5.78% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -1.67% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.68% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.03% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.24% | 2 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.50% | 22 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 23.54% | 20 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-11-11 | 2020-11-12 | $139.04 | $137.25 | 1.01% | 2 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -2.83% | 3 | |
| 2020-11-03 | 2020-11-05 | $141.30 | $146.03 | 3.44% | 3 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -4.02% | 2 | |
| 2020-10-21 | 2020-10-29 | $140.88 | $136.94 | -2.77% | 7 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -2.32% | 2 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2020-05-29 | 2020-06-01 | $55.67 | $59.87 | 2.39% | 2 | |
| 2019-11-25 | 2019-12-20 | $22.42 | $27.04 | 14.43% | 19 | |
| 2018-12-20 | 2018-12-21 | $21.03 | $21.32 | -3.84% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.88% | 16 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -6.18% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-10-23 | 2017-10-24 | $22.47 | $22.49 | -1.78% | 2 | |
| 2017-10-19 | 2017-10-20 | $23.45 | $23.01 | -1.66% | 2 | |
| 2017-10-17 | 2017-10-18 | $23.72 | $23.98 | 0.89% | 2 | |
| 2017-10-13 | 2017-10-16 | $23.70 | $23.37 | -0.16% | 2 | |
| 2017-10-11 | 2017-10-12 | $23.64 | $23.71 | -0.33% | 2 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.51% | 4 | |
| 2017-10-03 | 2017-10-04 | $23.21 | $23.67 | 1.21% | 2 | |
| 2017-09-29 | 2017-10-02 | $22.74 | $22.77 | 0.17% | 2 |