Strategy Zoo / S0722
PriceMomentum_V0722
REJECTEDhybridllmAdded breakout and momentum confirmation to entries; relaxed flat ret threshold but kept a stronger ret_20d alternative to improve generalization. Restricted trend regime to exclude downtrends. Introduced volatility-based position sizing (reduce exposure in high vol) and a bullish sizing lift when SMA200 slope + MACD positive. Added more robust exits: SMA50 breakdown and drawdown stop in addition to the 20-day loss. Reduced base exposure to limit max drawdown. | rejected: stage1: sharpe -0.67 below screen
Fitness
—
Generation
33
Complexity
17
Created
2026-09-25
Lineage
Parents (1)
removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0722 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.5 or ret_20d > 0.08) and ret_20d > 0.03 and (macd_hist > 0.0 or rsi_14 > 50.0) and cumret_252d > -0.25):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.12):
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 | ||||||