Strategy Zoo / S0701
PriceMomentum_V0701
ARCHIVEDmomentumllm1) Replaced single ret_20d threshold with a conjunctive entry: require positive 20d return (>5%) AND positive sma_50_slope to ensure momentum inside an underlying up-trend. 2) Made exit an OR of faster stop conditions: smaller ret_20d stop (-6%), drawdown limit (-8%), or negative macd_hist to cut losses/weakness earlier. 3) Tightened regime gates: allow only UPTREND or SIDEWAYS, restrict to LOW/MEDIUM volatility and only NORMAL bubble to avoid bubble/expensive regimes. 4) Added simple volatility-based position scaling: reduce size to 0.5 when 20-day vol is high (>4%). Goal: reduce overfitting, avoid entering in expensive/high-vol regimes, and improve robustness with clearer exits and volatility sizing.
Fitness
0.0963
Generation
32
Complexity
10
Created
2026-09-25
Lineage
Parents (1)
changed ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0701 [momentum]
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 sma_50_slope > 0.0):
position = 1.0
if long and (ret_20d < -0.06 or drawdown < -0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.8% | 1.7% | -4.2% | -3.3% |
| Total Return | -32.2% | 5.3% | -14.7% | -39.1% |
| Sharpe | -0.29 | 0.19 | -0.22 | -0.16 |
| Sortino | -0.16 | 0.09 | -0.11 | -0.09 |
| Calmar | -0.10 | 0.06 | -0.20 | -0.07 |
| Volatility | 13.8% | 15.6% | 14.5% | 14.4% |
| Max DD | -45.7% | -27.6% | -20.9% | -45.7% |
| Win Rate | 40.0% | 48.8% | 46.6% | 43.5% |
| Avg Win | 2.3% | 2.8% | 2.6% | 2.5% |
| Avg Loss | -2.0% | -2.2% | -2.6% | -2.2% |
| Payoff | 1.16 | 1.26 | 0.98 | 1.13 |
| Expectancy | -0.3% | 0.2% | -0.2% | -0.2% |
| Profit Factor | 0.77 | 1.20 | 0.85 | 0.87 |
| Trades | 115 | 41 | 58 | 214 |
| Avg Holding Days | 2.4 | 2.4 | 2.2 | 2.4 |
| Turnover | 28.8 | 27.3 | 31.3 | 29.1 |
| Exposure | 8.2% | 7.8% | 7.2% | 7.9% |
Growth of $100
PriceMomentum_V0701 vs TSLA Buy & Hold
PriceMomentum_V0701 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 | -7.1% | -0.85 | -12.3% | 19 |
| 2017 | 7.8% | 1.38 | -2.3% | 9 |
| 2018 | -13.8% | -1.81 | -14.1% | 10 |
| 2019 | 1.0% | 0.15 | -12.5% | 15 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.9% | 0.59 | -23.1% | 23 |
| 2022 | -5.9% | -0.41 | -9.5% | 18 |
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 | 42.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.8% | -1.03 | 0% |
| hidden test | LOW VOLATILITY | 431 | 5.0% | 0.34 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.7% | -0.63 | 8% |
| hidden test | NORMAL | 804 | -8.1% | -0.55 | 8% |
| hidden test | SIDEWAYS | 293 | -18.4% | -1.69 | 7% |
| hidden test | UPTREND | 371 | 6.4% | 0.31 | 12% |
| train | DOWNTREND | 518 | 2.4% | 0.57 | 0% |
| train | EXPENSIVE | 311 | 1.7% | 1.12 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 8.7% | 0.57 | 0% |
| train | LOW VOLATILITY | 745 | -8.1% | -0.59 | 18% |
| train | MEDIUM VOLATILITY | 568 | -14.0% | -1.19 | 5% |
| train | NORMAL | 1,601 | -5.3% | -0.34 | 10% |
| train | SIDEWAYS | 592 | -6.3% | -0.79 | 5% |
| train | UPTREND | 902 | -6.0% | -0.31 | 15% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | -1.3% | -0.11 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 14.5% | 0.75 | 8% |
| validation | NORMAL | 474 | 4.7% | 0.24 | 12% |
| validation | SIDEWAYS | 206 | 4.9% | 0.62 | 3% |
| validation | UPTREND | 425 | 2.9% | 0.14 | 12% |
Trades (full period)
latest 100 of 214
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 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 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.23% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 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 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 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 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 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 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 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 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -5.03% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 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 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 25.94% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.28% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 1.06% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 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 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.51% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.37% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 |