Strategy Zoo / S0697
PriceMomentum_V0697
ARCHIVEDhybridllmSimplified and tightened entry: require 20d momentum >4% plus either recent cross above long-term MA or positive 50-day slope, and avoid severely damaged yr-long regimes. Strengthened exits: 20d stop-loss OR cross below SMA50 OR negative MACD histogram to get out earlier on trend failure. Added regime gates to avoid trading in downtrends, high volatility, or extreme bubble states. Added position scaling: reduce size in high vol (vol_pctile>0.8) and when price is very near 52w high to limit risk and drawdowns.
Fitness
0.2771
Generation
32
Complexity
13
Created
2026-09-25
Lineage
Parents (1)
removed entry condition: rel_volume < 1.5953; changed ret_20d threshold 0.05 -> -0.0674
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0697 [hybrid]
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 (close > sma_200 or sma_50_slope > 0.0) and cumret_252d > -0.25):
position = 1.0
if long and (ret_20d < -0.03 or close < sma_50 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | 27.5% | -0.6% | 4.6% |
| Total Return | -6.9% | 107.4% | -2.1% | 94.6% |
| Sharpe | 0.06 | 1.04 | 0.08 | 0.31 |
| Sortino | 0.04 | 0.94 | 0.06 | 0.24 |
| Calmar | -0.02 | 0.88 | -0.02 | 0.10 |
| Volatility | 20.4% | 26.8% | 21.7% | 22.2% |
| Max DD | -47.4% | -31.4% | -35.0% | -47.4% |
| Win Rate | 40.5% | 52.8% | 40.0% | 43.4% |
| Avg Win | 4.3% | 6.2% | 5.0% | 5.2% |
| Avg Loss | -3.0% | -3.3% | -3.1% | -3.1% |
| Payoff | 1.46 | 1.90 | 1.61 | 1.70 |
| Expectancy | -0.0% | 1.7% | 0.1% | 0.5% |
| Profit Factor | 1.00 | 2.13 | 1.08 | 1.30 |
| Trades | 116 | 53 | 50 | 219 |
| Avg Holding Days | 4.5 | 4.5 | 4.5 | 4.5 |
| Turnover | 29.2 | 35.3 | 27.0 | 29.8 |
| Exposure | 20.4% | 24.7% | 18.8% | 20.9% |
Growth of $100
PriceMomentum_V0697 vs TSLA Buy & Hold
PriceMomentum_V0697 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 | -6.9% | -0.49 | -13.2% | 11 |
| 2017 | 11.0% | 0.64 | -12.3% | 22 |
| 2018 | -14.3% | -1.55 | -15.2% | 7 |
| 2019 | 1.5% | 0.19 | -22.2% | 8 |
| 2020 | 100.8% | 2.76 | -8.0% | 10 |
| 2021 | 8.4% | 0.41 | -27.9% | 30 |
| 2022 | -4.9% | -0.15 | -26.2% | 12 |
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 | -3.6% | -1.39 | 1% |
| hidden test | EXPENSIVE | 83 | 29.1% | 0.89 | 34% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -3.4% | -0.22 | 2% |
| hidden test | LOW VOLATILITY | 431 | 24.2% | 1.12 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -31.7% | -1.19 | 22% |
| hidden test | NORMAL | 804 | -0.9% | -0.04 | 18% |
| hidden test | SIDEWAYS | 293 | -13.1% | -0.69 | 27% |
| hidden test | UPTREND | 371 | 17.5% | 0.59 | 26% |
| train | DOWNTREND | 518 | -1.3% | -0.23 | 1% |
| train | EXPENSIVE | 311 | 29.7% | 1.13 | 33% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.9% | 0.54 | 2% |
| train | LOW VOLATILITY | 745 | 9.5% | 0.47 | 38% |
| train | MEDIUM VOLATILITY | 568 | -21.7% | -1.03 | 20% |
| train | NORMAL | 1,601 | -5.0% | -0.26 | 19% |
| train | SIDEWAYS | 592 | -17.3% | -0.88 | 22% |
| train | UPTREND | 902 | 14.7% | 0.57 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 117.6% | 3.16 | 42% |
| validation | EXTREME | 144 | 47.1% | 2.61 | 3% |
| validation | HIGH VOLATILITY | 258 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | -3.0% | -0.14 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 75.3% | 2.07 | 35% |
| validation | NORMAL | 474 | -4.1% | -0.16 | 26% |
| validation | SIDEWAYS | 206 | -22.6% | -1.02 | 25% |
| validation | UPTREND | 425 | 60.5% | 1.88 | 32% |
Trades (full period)
latest 100 of 219
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 2.69% | 8 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -2.28% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 22.50% | 11 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -2.18% | 10 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.79% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.53% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -3.77% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 11.11% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 28.98% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-09-07 | 2021-09-21 | $250.97 | $246.46 | -0.66% | 11 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 4.17% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 20.35% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.82% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 45.05% | 14 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.79% | 6 |