Strategy Zoo / S0762
PriceMomentum_V0762
ARCHIVEDhybridllmSimplified and diversified entry momentum rules (20d momentum plus either 50slope breakout, 200slope trend filter, or 20d breakout). Added multi-condition exits: fixed 20d stop, max-drawdown escape, and high-volatility exit to limit big losses. Restricted regimes to avoid downtrend/high-volatility/bubble states and added volatility-based position scaling (low/med/high). Reduced base position to lower risk.
Fitness
0.1353
Generation
35
Complexity
20
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0762 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and ((close > sma_50 and sma_50_slope > 0.0) or (close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.0)):
position = 0.8
if long and (ret_20d < -0.08 or drawdown > 0.12 or vol_pctile > 0.85):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.9
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | 1.6% | 1.5% | 0.2% |
| Total Return | -7.5% | 5.0% | 5.5% | 2.5% |
| Sharpe | -0.00 | 0.19 | 0.17 | 0.08 |
| Sortino | -0.00 | 0.14 | 0.12 | 0.06 |
| Calmar | -0.02 | 0.06 | 0.08 | 0.00 |
| Volatility | 13.9% | 14.2% | 15.4% | 14.4% |
| Max DD | -48.6% | -28.3% | -19.3% | -48.6% |
| Win Rate | 39.3% | 28.6% | 40.0% | 38.0% |
| Avg Win | 7.1% | 24.0% | 9.6% | 9.7% |
| Avg Loss | -4.7% | -6.6% | -5.3% | -5.1% |
| Payoff | 1.52 | 3.62 | 1.84 | 1.88 |
| Expectancy | -0.0% | 2.1% | 0.7% | 0.5% |
| Profit Factor | 0.99 | 1.45 | 1.22 | 1.15 |
| Trades | 28 | 7 | 15 | 50 |
| Avg Holding Days | 18.1 | 27.9 | 15.7 | 18.7 |
| Turnover | 5.2 | 2.7 | 5.6 | 4.8 |
| Exposure | 15.6% | 15.4% | 15.3% | 15.5% |
Growth of $100
PriceMomentum_V0762 vs TSLA Buy & Hold
PriceMomentum_V0762 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 | -25.3% | -2.21 | -28.5% | 5 |
| 2017 | 10.6% | 1.66 | -3.8% | 3 |
| 2018 | -14.4% | -1.66 | -15.3% | 3 |
| 2019 | 4.5% | 0.32 | -15.9% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 29.5% | 1.42 | -11.2% | 3 |
| 2022 | -18.9% | -1.34 | -28.3% | 4 |
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 | 272 | -1.1% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 30.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.4% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 432 | 15.5% | 0.92 | 26% |
| hidden test | MEDIUM VOLATILITY | 250 | -8.4% | -0.48 | 12% |
| hidden test | NORMAL | 805 | -0.1% | -0.01 | 18% |
| hidden test | SIDEWAYS | 293 | -16.4% | -0.98 | 26% |
| hidden test | UPTREND | 371 | 20.4% | 1.05 | 18% |
| train | DOWNTREND | 518 | -3.9% | -0.90 | 1% |
| train | EXPENSIVE | 311 | 7.6% | 1.59 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -2.3% | -0.17 | 1% |
| train | LOW VOLATILITY | 745 | 13.1% | 0.83 | 33% |
| train | MEDIUM VOLATILITY | 568 | -14.4% | -1.25 | 11% |
| train | NORMAL | 1,601 | -1.5% | -0.10 | 19% |
| train | SIDEWAYS | 592 | -18.8% | -1.27 | 16% |
| train | UPTREND | 902 | 14.6% | 0.87 | 24% |
| 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 | -3.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 24.8% | 1.42 | 43% |
| validation | MEDIUM VOLATILITY | 315 | -4.9% | -0.29 | 12% |
| validation | NORMAL | 474 | 4.2% | 0.23 | 25% |
| validation | SIDEWAYS | 206 | -16.6% | -0.87 | 27% |
| validation | UPTREND | 425 | 12.7% | 0.94 | 14% |
Trades (full period)
50 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -2.92% | 23 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -3.24% | 23 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 11.57% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.36% | 8 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -8.80% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.56% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.14% | 2 | |
| 2024-09-24 | 2024-10-18 | $254.27 | $220.70 | -8.82% | 19 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 2.77% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.15% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 14.93% | 11 | |
| 2023-11-17 | 2024-01-16 | $234.30 | $219.91 | -4.55% | 39 | |
| 2023-09-12 | 2023-10-16 | $267.48 | $253.92 | -3.04% | 25 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 19.89% | 45 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -8.38% | 9 | |
| 2022-09-21 | 2022-10-04 | $300.80 | $249.44 | -13.86% | 10 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -5.70% | 23 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -1.88% | 26 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 1.79% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.05% | 8 | |
| 2021-06-14 | 2021-11-10 | $205.90 | $355.98 | 46.27% | 106 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -8.71% | 20 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.31% | 17 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 11.42% | 7 | |
| 2019-09-13 | 2019-09-27 | $16.35 | $16.14 | -2.95% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.25% | 5 | |
| 2018-12-07 | 2018-12-21 | $23.86 | $21.32 | -5.95% | 11 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -2.73% | 3 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -6.40% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.54% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 11.14% | 19 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -1.91% | 3 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -9.40% | 29 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -11.25% | 12 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.47% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.81% | 4 | |
| 2015-09-22 | 2015-10-09 | $17.40 | $14.71 | -9.89% | 14 | |
| 2015-04-28 | 2015-08-07 | $15.37 | $16.17 | 8.25% | 72 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.69% | 6 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -3.71% | 15 | |
| 2014-05-28 | 2014-09-30 | $14.02 | $16.18 | 13.84% | 88 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 12.09% | 5 | |
| 2013-02-15 | 2013-02-27 | $2.47 | $2.34 | -6.84% | 8 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2012-11-06 | 2013-01-24 | $2.08 | $2.47 | 10.12% | 54 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -2.53% | 4 | |
| 2012-06-29 | 2012-07-24 | $2.09 | $1.99 | -0.22% | 17 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 2.89% | 5 | |
| 2012-02-15 | 2012-04-11 | $2.24 | $2.21 | 2.42% | 39 |