Strategy Zoo / S0717
PriceMomentum_V0717
ARCHIVEDhybridllmRestricted entries to clear uptrends and trending 200-day slope; added a volatility filter to avoid extreme vol; simplified entry logic (cross OR 20d momentum) and kept 1yr cumreturn floor. Improved exits: keep original 20d deterioration exit, add hard drawdown stop (-8%) and a short-term MACD+5d-loss exit to cut weakening trades. Reduced base position to 0.60 to lower drawdown/risk.
Fitness
0.0504
Generation
33
Complexity
16
Created
2026-09-25
Lineage
Parents (1)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0717 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_200 or ret_20d > 0.09) and sma_200_slope > 0.0 and cumret_252d > -0.2 and vol_pctile < 0.85):
position = 0.6
if long and (ret_20d < -0.006 or drawdown < -0.08 or (macd_hist < 0.0 and ret_5d < -0.02)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.2% | -2.7% | -7.2% | -4.1% |
| Total Return | -22.7% | -7.8% | -24.3% | -46.0% |
| Sharpe | -0.34 | -0.13 | -1.01 | -0.40 |
| Sortino | -0.19 | -0.08 | -0.46 | -0.22 |
| Calmar | -0.12 | -0.10 | -0.29 | -0.09 |
| Volatility | 8.4% | 13.7% | 7.2% | 9.4% |
| Max DD | -26.1% | -25.8% | -24.7% | -46.3% |
| Win Rate | 39.3% | 39.7% | 32.0% | 37.9% |
| Avg Win | 1.4% | 2.3% | 1.4% | 1.6% |
| Avg Loss | -1.2% | -1.7% | -1.4% | -1.3% |
| Payoff | 1.18 | 1.39 | 0.95 | 1.20 |
| Expectancy | -0.2% | -0.1% | -0.5% | -0.2% |
| Profit Factor | 0.76 | 0.91 | 0.45 | 0.73 |
| Trades | 135 | 58 | 50 | 243 |
| Avg Holding Days | 2.6 | 2.3 | 2.2 | 2.5 |
| Turnover | 20.3 | 23.2 | 16.2 | 19.8 |
| Exposure | 6.4% | 6.0% | 4.0% | 5.7% |
Growth of $100
PriceMomentum_V0717 vs TSLA Buy & Hold
PriceMomentum_V0717 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 | -2.4% | -2.13 | -2.5% | 6 |
| 2017 | 9.7% | 1.83 | -1.8% | 18 |
| 2018 | -10.8% | -1.55 | -10.8% | 7 |
| 2019 | -1.6% | -0.26 | -6.0% | 8 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.7% | 0.37 | -18.8% | 45 |
| 2022 | -12.8% | -1.21 | -14.7% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.1% | -1.41 | 0% |
| hidden test | LOW VOLATILITY | 431 | -10.1% | -1.21 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | -9.6% | -1.12 | 4% |
| hidden test | NORMAL | 804 | -11.0% | -1.59 | 4% |
| hidden test | SIDEWAYS | 293 | -5.7% | -1.58 | 1% |
| hidden test | UPTREND | 371 | -13.7% | -1.26 | 9% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 5.9% | 1.49 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.8% | 0.24 | 1% |
| train | LOW VOLATILITY | 745 | -3.7% | -0.45 | 11% |
| train | MEDIUM VOLATILITY | 568 | -7.5% | -0.80 | 7% |
| train | NORMAL | 1,601 | -4.8% | -0.52 | 8% |
| train | SIDEWAYS | 592 | -4.8% | -0.97 | 1% |
| train | UPTREND | 902 | -3.2% | -0.27 | 14% |
| 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 | 6.4% | 0.46 | 1% |
| validation | LOW VOLATILITY | 183 | 1.4% | 0.19 | 10% |
| validation | MEDIUM VOLATILITY | 315 | -10.3% | -0.64 | 8% |
| validation | NORMAL | 474 | -2.8% | -0.16 | 10% |
| validation | SIDEWAYS | 206 | -14.2% | -1.54 | 1% |
| validation | UPTREND | 425 | 3.7% | 0.22 | 10% |
Trades (full period)
latest 100 of 243
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.10% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.69% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.01% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 1.98% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.39% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.32% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.15% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.33% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 1.74% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 1.92% | 14 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.15% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 0.93% | 2 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.25% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.38% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.75% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.29% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.56% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -1.84% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.49% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.23% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.16% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.19% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.06% | 2 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -1.85% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -1.82% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.78% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -1.92% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.69% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.11% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.55% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 2.74% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -7.43% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.34% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.09% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.05% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.03% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -3.02% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -0.88% | 2 | |
| 2021-12-29 | 2021-12-30 | $362.06 | $356.78 | -0.25% | 2 | |
| 2021-12-27 | 2021-12-28 | $364.65 | $362.82 | 1.39% | 2 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 4.37% | 2 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.22% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -3.13% | 2 | |
| 2021-12-14 | 2021-12-15 | $319.50 | $325.33 | -0.61% | 2 | |
| 2021-12-10 | 2021-12-13 | $339.01 | $322.14 | 0.67% | 2 | |
| 2021-12-08 | 2021-12-09 | $356.32 | $334.60 | 0.86% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.47% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.69% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.29% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.95% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 15.51% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 0.92% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.05% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.37% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.57% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.17% | 2 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.53% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 0.90% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.43% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -1.60% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.04% | 2 | |
| 2021-09-03 | 2021-09-07 | $244.52 | $250.97 | -0.02% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.48% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.07% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 |