Strategy Zoo / S0766
PriceMomentum_V0766
ARCHIVEDhybridllmSimplified and de-duplicated entry momentum logic (ret_20d > 6%) and require either price above 200SMA or positive 50SMA slope; tightened cumret and vol_chg thresholds to improve robustness. Added multi-condition exit (short-term and medium-term drawdown, cross below SMA50, and drawdown limit) to reduce large losses. Introduced regime gates to avoid high-volatility and bubble periods (allow only UPTREND/SIDEWAYS, LOW/MEDIUM volatility, NORMAL bubble). Added volatility-based position sizing (full size in low vol, half in higher vol) and reduced base_position to 60% to lower turnover and overfitting risk.
Fitness
0.1074
Generation
35
Complexity
15
Created
2026-09-26
Lineage
Parents (1)
added entry filter: vol_chg < 1.2007
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0766 [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_200 or sma_50_slope > 0.0) and cumret_252d > -0.15 and vol_chg < 1.1):
position = 0.6
if long and (ret_5d < -0.05 or ret_20d < -0.08 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | -3.3% | -1.1% | -0.5% |
| Total Return | 6.5% | -9.5% | -4.1% | -7.6% |
| Sharpe | 0.13 | -0.19 | -0.03 | 0.01 |
| Sortino | 0.08 | -0.12 | -0.02 | 0.01 |
| Calmar | 0.03 | -0.11 | -0.04 | -0.01 |
| Volatility | 11.3% | 13.2% | 12.1% | 11.9% |
| Max DD | -30.7% | -29.0% | -28.6% | -37.8% |
| Win Rate | 43.2% | 38.1% | 33.3% | 39.0% |
| Avg Win | 4.7% | 4.6% | 4.2% | 4.5% |
| Avg Loss | -3.1% | -3.3% | -2.2% | -2.9% |
| Payoff | 1.52 | 1.40 | 1.89 | 1.59 |
| Expectancy | 0.3% | -0.3% | -0.1% | 0.0% |
| Profit Factor | 1.16 | 0.86 | 0.94 | 1.02 |
| Trades | 37 | 21 | 24 | 82 |
| Avg Holding Days | 11.5 | 8.4 | 7.1 | 9.4 |
| Turnover | 5.6 | 8.4 | 7.8 | 6.7 |
| Exposure | 11.6% | 12.4% | 9.4% | 11.2% |
Growth of $100
PriceMomentum_V0766 vs TSLA Buy & Hold
PriceMomentum_V0766 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 | -5.4% | -0.64 | -11.3% | 4 |
| 2017 | 9.3% | 1.68 | -3.3% | 3 |
| 2018 | -13.0% | -1.60 | -13.3% | 3 |
| 2019 | -1.8% | -0.04 | -14.8% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.2% | 0.58 | -13.8% | 11 |
| 2022 | -17.2% | -1.24 | -29.0% | 10 |
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 | -0.9% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.9% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 432 | 9.8% | 0.82 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.3% | -0.27 | 8% |
| hidden test | NORMAL | 805 | -3.1% | -0.25 | 11% |
| hidden test | SIDEWAYS | 293 | -10.7% | -0.81 | 15% |
| hidden test | UPTREND | 371 | 8.1% | 0.54 | 12% |
| train | DOWNTREND | 518 | -4.0% | -1.28 | 1% |
| train | EXPENSIVE | 311 | 5.2% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.4% | 0.23 | 1% |
| train | LOW VOLATILITY | 745 | 11.6% | 0.95 | 24% |
| train | MEDIUM VOLATILITY | 568 | -13.1% | -1.21 | 9% |
| train | NORMAL | 1,601 | 0.8% | 0.06 | 14% |
| train | SIDEWAYS | 592 | -8.3% | -0.69 | 11% |
| train | UPTREND | 902 | 10.9% | 0.80 | 18% |
| 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 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 2.6% | 0.21 | 30% |
| validation | MEDIUM VOLATILITY | 315 | -3.4% | -0.21 | 12% |
| validation | NORMAL | 474 | -3.9% | -0.24 | 20% |
| validation | SIDEWAYS | 206 | -24.3% | -1.50 | 19% |
| validation | UPTREND | 425 | 7.4% | 0.55 | 13% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-05 | $433.59 | $391.00 | -1.15% | 9 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.29% | 8 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -0.62% | 12 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 9.60% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -2.80% | 8 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.50% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -6.72% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.39% | 3 | |
| 2024-07-05 | 2024-07-12 | $251.52 | $248.23 | -1.31% | 6 | |
| 2023-11-29 | 2024-01-04 | $244.14 | $237.93 | -2.02% | 25 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.46% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 3.12% | 17 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -6.70% | 4 | |
| 2022-08-24 | 2022-08-31 | $297.10 | $275.61 | -3.94% | 6 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.13% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.69% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -2.89% | 7 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.72% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 6.79% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.83% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 25.61% | 56 | |
| 2021-07-21 | 2021-08-18 | $218.43 | $229.66 | 0.46% | 21 | |
| 2021-07-09 | 2021-07-20 | $218.98 | $220.17 | -0.69% | 8 | |
| 2021-06-24 | 2021-07-08 | $226.61 | $217.60 | -1.17% | 10 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.16% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.65% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.14% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -3.53% | 6 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 8.08% | 11 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 9.18% | 7 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -5.67% | 9 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -8.28% | 2 | |
| 2018-12-07 | 2018-12-19 | $23.86 | $22.20 | -4.42% | 9 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.79% | 2 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -6.30% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.10% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -2.72% | 25 | |
| 2016-06-09 | 2016-06-10 | $15.29 | $14.59 | -1.69% | 2 | |
| 2016-03-28 | 2016-05-02 | $15.35 | $16.12 | 3.40% | 26 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.92% | 7 | |
| 2015-07-15 | 2015-07-28 | $17.54 | $17.65 | -2.91% | 10 | |
| 2015-04-29 | 2015-07-13 | $15.50 | $17.48 | 7.35% | 52 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.79% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-07-11 | 2014-09-16 | $14.54 | $17.38 | 9.34% | 47 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 0.97% | 2 | |
| 2014-06-16 | 2014-07-08 | $14.97 | $14.60 | 4.69% | 16 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.40% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.07% | 5 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -6.45% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.05% | 2 | |
| 2013-02-13 | 2013-02-14 | $2.56 | $2.55 | 0.77% | 2 | |
| 2012-11-09 | 2013-01-14 | $2.02 | $2.22 | 3.09% | 44 | |
| 2012-09-19 | 2012-09-21 | $2.07 | $2.00 | -0.96% | 3 | |
| 2012-07-06 | 2012-07-23 | $2.07 | $2.04 | 1.12% | 12 | |
| 2012-06-29 | 2012-07-02 | $2.09 | $2.03 | -0.35% | 2 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-02-15 | 2012-04-05 | $2.24 | $2.30 | 3.48% | 36 |