Strategy Zoo / S0743
PriceMomentum_V0743
ARCHIVEDhybridllmSimplified and regularized entry: require 20d momentum >5% plus trend/breakout confirmation (sma50>sma200 OR rising sma200 OR breakout_20) and avoid high-volatility (vol_pctile<0.7). Added a cumulative-return sanity check. Stronger, multi-condition exits: stop on short-term loss, RSI overbought, or break of sma_20. Tightened regime gates to only UPTREND and low/medium volatility; added volatility-scaled position sizing (LOW=1.0, MED=0.6, HIGH=0.35). Purpose: reduce overfit, improve robustness and downside control.
Fitness
0.2516
Generation
34
Complexity
17
Created
2026-09-25
Lineage
Parents (1)
entry from PriceMomentum_V0557, exit from PriceMomentum_V0361
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0743 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.05 and (sma_50 > sma_200 or sma_200_slope > 0.0 or breakout_20 > 0.0) and vol_pctile < 0.7 and cumret_252d > -0.5):
position = 0.9
if long and (ret_20d < -0.08 or rsi_14 > 75.0 or close < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | 22.6% | 8.7% | 6.1% |
| Total Return | -7.0% | 84.5% | 36.2% | 139.3% |
| Sharpe | 0.00 | 1.28 | 0.66 | 0.48 |
| Sortino | 0.00 | 1.17 | 0.36 | 0.31 |
| Calmar | -0.03 | 0.91 | 0.52 | 0.18 |
| Volatility | 13.8% | 17.1% | 14.2% | 14.7% |
| Max DD | -33.4% | -24.8% | -16.8% | -33.4% |
| Win Rate | 41.7% | 61.9% | 60.0% | 52.0% |
| Avg Win | 4.2% | 4.6% | 2.9% | 3.9% |
| Avg Loss | -2.9% | -3.2% | -2.0% | -2.8% |
| Payoff | 1.41 | 1.43 | 1.46 | 1.40 |
| Expectancy | 0.0% | 1.6% | 0.9% | 0.7% |
| Profit Factor | 1.01 | 2.32 | 2.18 | 1.52 |
| Trades | 72 | 42 | 35 | 150 |
| Avg Holding Days | 5.4 | 4.8 | 3.7 | 4.8 |
| Turnover | 15.0 | 18.2 | 15.0 | 15.7 |
| Exposure | 12.6% | 13.7% | 7.4% | 11.5% |
Growth of $100
PriceMomentum_V0743 vs TSLA Buy & Hold
PriceMomentum_V0743 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 | -3.3% | -0.54 | -5.0% | 4 |
| 2017 | -5.9% | -0.36 | -14.2% | 21 |
| 2018 | -6.4% | -1.29 | -6.4% | 3 |
| 2019 | -2.0% | -0.27 | -6.7% | 7 |
| 2020 | 102.3% | 3.44 | -4.7% | 17 |
| 2021 | 2.3% | 0.21 | -13.8% | 18 |
| 2022 | -12.8% | -1.81 | -14.5% | 7 |
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 | 29.6% | 1.17 | 22% |
| hidden test | EXTREME | 48 | 31.3% | 2.54 | 6% |
| hidden test | HIGH VOLATILITY | 254 | -7.2% | -0.93 | 1% |
| hidden test | LOW VOLATILITY | 431 | 24.6% | 1.88 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -0.3% | -0.02 | 10% |
| hidden test | NORMAL | 804 | 5.9% | 0.47 | 6% |
| hidden test | SIDEWAYS | 293 | -2.6% | -1.08 | 1% |
| hidden test | UPTREND | 371 | 25.6% | 1.14 | 18% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.4% | 0.07 | 24% |
| train | EXTREME | 100 | 49.2% | 2.61 | 17% |
| train | HIGH VOLATILITY | 699 | 4.3% | 0.37 | 1% |
| train | LOW VOLATILITY | 745 | 5.9% | 0.38 | 27% |
| train | MEDIUM VOLATILITY | 568 | -12.9% | -0.90 | 9% |
| train | NORMAL | 1,601 | -3.3% | -0.29 | 10% |
| train | SIDEWAYS | 592 | -3.8% | -1.06 | 1% |
| train | UPTREND | 902 | 2.6% | 0.13 | 28% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 35.6% | 1.75 | 27% |
| validation | EXTREME | 144 | 99.5% | 4.36 | 12% |
| validation | HIGH VOLATILITY | 258 | 14.9% | 1.22 | 1% |
| validation | LOW VOLATILITY | 183 | 14.0% | 0.92 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 32.1% | 1.52 | 17% |
| validation | NORMAL | 474 | -5.7% | -0.43 | 10% |
| validation | SIDEWAYS | 206 | -7.0% | -1.56 | 1% |
| validation | UPTREND | 425 | 42.3% | 1.88 | 24% |
Trades (full period)
latest 100 of 150
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.11% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.01% | 11 | |
| 2025-11-03 | 2025-11-10 | $468.37 | $445.23 | -5.17% | 6 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.94% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.93% | 2 | |
| 2025-09-26 | 2025-10-13 | $440.40 | $435.90 | -1.89% | 12 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.60% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 1.81% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.72% | 2 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 9.85% | 3 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.93% | 2 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | 0.58% | 10 | |
| 2024-12-19 | 2024-12-23 | $436.17 | $430.60 | -2.45% | 3 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.09% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 2.23% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 3.09% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.45% | 2 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -3.25% | 4 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 3.49% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.11% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | 0.07% | 4 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.67% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.90% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.02% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 8.99% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.50% | 2 | |
| 2023-06-26 | 2023-07-21 | $241.05 | $260.02 | 3.41% | 19 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.62% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.85% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.82% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.94% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.35% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.61% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.13% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.69% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -2.78% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 0.95% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 1.83% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -8.30% | 6 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.01% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.76% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.34% | 2 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -9.02% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.61% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.74% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.74% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.92% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 11.21% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.75% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.78% | 2 | |
| 2021-09-23 | 2021-10-18 | $251.21 | $290.04 | 10.66% | 18 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.89% | 10 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.83% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.21% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.30% | 9 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.54% | 7 | |
| 2021-01-11 | 2021-02-01 | $270.40 | $279.94 | -5.35% | 15 | |
| 2020-12-09 | 2021-01-08 | $201.49 | $293.34 | 13.40% | 21 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 6.85% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.00% | 2 | |
| 2020-11-19 | 2020-11-25 | $166.42 | $191.33 | 7.40% | 5 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.29% | 2 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -2.58% | 7 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 6.68% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 3.36% | 2 | |
| 2020-06-12 | 2020-07-06 | $62.35 | $91.44 | 12.63% | 16 | |
| 2020-05-28 | 2020-06-11 | $53.72 | $64.86 | 19.05% | 11 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 5.45% | 2 | |
| 2020-01-27 | 2020-01-29 | $37.20 | $38.73 | 0.10% | 3 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.14% | 2 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 2.90% | 4 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 1.24% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.78% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.24% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.55% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 3.19% | 3 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.30% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.11% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.17% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.57% | 3 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.18% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.55% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.70% | 2 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -0.86% | 9 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.15% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.48% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.77% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.87% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.42% | 2 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -1.45% | 2 | |
| 2017-06-29 | 2017-06-30 | $24.05 | $24.11 | -1.63% | 2 | |
| 2017-06-12 | 2017-06-28 | $23.93 | $24.75 | -0.64% | 13 | |
| 2017-06-05 | 2017-06-09 | $23.15 | $23.82 | 5.60% | 5 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -2.95% | 5 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -4.60% | 10 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.64% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.41% | 6 | |
| 2017-02-16 | 2017-02-24 | $17.93 | $17.13 | -7.82% | 6 |