Strategy Zoo / S0744
PriceMomentum_V0744
ARCHIVEDhybridllmAdded trend confirmation to entries (sma_50_slope>0), tightened exits to include a firm stop-loss (ret_20d<-5%), momentum reversal (sma_50_slope<0) and negative MACD histogram. Added regime gates to restrict trading to uptrends and non-high-volatility / non-bubble regimes. Added position scaling: reduce size in high volatility (vol_pctile>0.8) and when near 52w highs (dist_52w_high<0.05) to lower risk and improve robustness.
Fitness
0.1052
Generation
34
Complexity
11
Created
2026-09-25
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0744 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and breakout_50 == 1 and sma_50_slope > 0.0):
position = 1.0
if long and (ret_20d < -0.05 or sma_50_slope < 0.0 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | -1.4% | 8.8% | 1.0% |
| Total Return | -12.1% | -4.2% | 36.7% | 15.0% |
| Sharpe | -0.17 | -0.02 | 0.76 | 0.14 |
| Sortino | -0.05 | -0.01 | 0.23 | 0.05 |
| Calmar | -0.10 | -0.04 | 0.65 | 0.03 |
| Volatility | 7.8% | 14.8% | 12.0% | 10.7% |
| Max DD | -15.3% | -32.4% | -13.5% | -32.4% |
| Win Rate | 45.0% | 25.0% | 66.7% | 44.1% |
| Avg Win | 2.9% | 13.8% | 9.6% | 6.1% |
| Avg Loss | -3.4% | -4.6% | -2.4% | -3.7% |
| Payoff | 0.86 | 2.98 | 3.97 | 1.67 |
| Expectancy | -0.6% | -0.0% | 5.6% | 0.7% |
| Profit Factor | 0.70 | 0.99 | 7.93 | 1.32 |
| Trades | 20 | 8 | 6 | 34 |
| Avg Holding Days | 6.0 | 7.8 | 7.0 | 6.6 |
| Turnover | 5.0 | 5.3 | 3.2 | 4.6 |
| Exposure | 5.0% | 7.1% | 3.9% | 5.2% |
Growth of $100
PriceMomentum_V0744 vs TSLA Buy & Hold
PriceMomentum_V0744 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 | 2.9% | 0.43 | -6.6% | 1 |
| 2017 | 12.0% | 2.08 | -0.9% | 1 |
| 2018 | -10.0% | -1.71 | -10.0% | 3 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.8% | 0.81 | -16.9% | 5 |
| 2022 | -18.7% | -2.05 | -18.7% | 3 |
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 | 21.7% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.5% | -1.01 | 0% |
| hidden test | LOW VOLATILITY | 431 | 11.9% | 0.91 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 22.2% | 1.71 | 3% |
| hidden test | NORMAL | 804 | 8.4% | 0.68 | 4% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 23.0% | 1.21 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.8% | 0.86 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 1.7% | 0.17 | 12% |
| train | MEDIUM VOLATILITY | 568 | -6.9% | -0.74 | 2% |
| train | NORMAL | 1,601 | -2.0% | -0.23 | 6% |
| train | SIDEWAYS | 592 | -3.3% | -0.93 | 0% |
| train | UPTREND | 902 | -0.7% | -0.07 | 11% |
| 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 | -11.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 6.5% | 0.55 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 5.1% | 0.28 | 6% |
| validation | NORMAL | 474 | -0.5% | -0.03 | 11% |
| validation | SIDEWAYS | 206 | -8.5% | -1.14 | 0% |
| validation | UPTREND | 425 | 3.5% | 0.18 | 12% |
Trades (full period)
34 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 14.63% | 8 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 26.78% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -3.18% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.46% | 2 | |
| 2015-05-12 | 2015-05-22 | $16.32 | $16.52 | 2.36% | 9 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.51% | 2 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -3.55% | 9 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 |