Strategy Zoo / S0784
PriceMomentum_V0784
ARCHIVEDhybridllmSimplified and de-overfitted entry: replaced multiple near-duplicate strong-ret thresholds with two complementary legs (moderate 20d momentum + volume confirmation; 20-day price breakout with volume). Broadened signals (ret_20d > 3%) to increase trade frequency and robustness. Added volatility regime gate to avoid HIGH_VOLATILITY. Improved exits: multi-condition exit (short-term loss, medium-term loss, or overbought RSI) to reduce large drawdowns. Reduced base position to 0.8 to lower risk per trade.
Fitness
0.3490
Generation
36
Complexity
15
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0451 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0784 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((ret_20d > 0.03 and dist_sma_50 > 0.0 and rel_volume > 1.2) or (breakout_20 > 0.5 and volume_breakout > 0.0 and cumret_252d > -0.2)):
position = 0.8
if long and (ret_5d < -0.02 or ret_20d < -0.03 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.9% | 21.6% | 4.6% | 7.0% |
| Total Return | 25.5% | 79.6% | 18.0% | 171.9% |
| Sharpe | 0.30 | 1.43 | 0.50 | 0.63 |
| Sortino | 0.16 | 0.87 | 0.18 | 0.33 |
| Calmar | 0.11 | 1.82 | 0.63 | 0.27 |
| Volatility | 11.7% | 14.4% | 10.0% | 11.9% |
| Max DD | -25.8% | -11.8% | -7.2% | -25.8% |
| Win Rate | 53.7% | 68.2% | 64.7% | 59.6% |
| Avg Win | 3.4% | 5.2% | 3.5% | 3.9% |
| Avg Loss | -2.9% | -2.2% | -3.3% | -2.8% |
| Payoff | 1.19 | 2.33 | 1.04 | 1.38 |
| Expectancy | 0.5% | 2.8% | 1.1% | 1.2% |
| Profit Factor | 1.39 | 4.99 | 1.90 | 2.03 |
| Trades | 54 | 22 | 17 | 94 |
| Avg Holding Days | 4.6 | 4.5 | 3.4 | 4.4 |
| Turnover | 10.9 | 11.7 | 7.3 | 10.2 |
| Exposure | 7.8% | 8.3% | 3.4% | 6.8% |
Growth of $100
PriceMomentum_V0784 vs TSLA Buy & Hold
PriceMomentum_V0784 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 | -2.1% | -0.46 | -5.6% | 3 |
| 2017 | 0.6% | 0.11 | -10.2% | 16 |
| 2018 | -9.3% | -1.06 | -9.3% | 2 |
| 2019 | 4.1% | 1.23 | -0.6% | 3 |
| 2020 | 69.3% | 2.49 | -8.5% | 15 |
| 2021 | 5.9% | 0.58 | -6.3% | 7 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 28.7% | 1.52 | 12% |
| hidden test | EXTREME | 48 | -12.2% | -1.24 | 7% |
| hidden test | HIGH VOLATILITY | 254 | -9.7% | -1.32 | 1% |
| hidden test | LOW VOLATILITY | 432 | 8.2% | 0.88 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | 14.2% | 1.09 | 6% |
| hidden test | NORMAL | 805 | 3.5% | 0.41 | 2% |
| hidden test | SIDEWAYS | 293 | -0.8% | -1.01 | 0% |
| hidden test | UPTREND | 371 | 13.2% | 0.83 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.8% | 1.41 | 13% |
| train | EXTREME | 100 | 43.0% | 2.52 | 18% |
| train | HIGH VOLATILITY | 699 | 6.1% | 0.49 | 1% |
| train | LOW VOLATILITY | 745 | 7.2% | 0.70 | 15% |
| train | MEDIUM VOLATILITY | 568 | -4.6% | -0.37 | 7% |
| train | NORMAL | 1,601 | -2.9% | -0.29 | 6% |
| train | SIDEWAYS | 592 | -5.7% | -1.05 | 1% |
| train | UPTREND | 902 | 11.6% | 0.69 | 17% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 22.0% | 1.01 | 17% |
| validation | EXTREME | 144 | 67.2% | 2.97 | 7% |
| validation | HIGH VOLATILITY | 258 | 15.8% | 1.35 | 1% |
| validation | LOW VOLATILITY | 183 | 21.1% | 2.25 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 24.1% | 1.32 | 10% |
| validation | NORMAL | 474 | 5.9% | 1.03 | 6% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 36.5% | 1.91 | 15% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 2025-10-24 | 2025-11-05 | $433.72 | $462.07 | -0.92% | 9 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.29% | 2 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 8.73% | 3 | |
| 2024-12-19 | 2024-12-23 | $436.17 | $430.60 | -3.63% | 3 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 2.75% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.42% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-06-22 | 2023-06-27 | $264.61 | $250.21 | -5.83% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.20% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.58% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.86% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.66% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.24% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.70% | 2 | |
| 2021-09-01 | 2021-10-18 | $244.70 | $290.04 | 11.39% | 33 | |
| 2021-01-11 | 2021-01-19 | $270.40 | $281.52 | -5.01% | 6 | |
| 2020-12-21 | 2020-12-29 | $216.62 | $222.00 | -3.74% | 6 | |
| 2020-12-09 | 2020-12-16 | $201.49 | $207.59 | -2.14% | 6 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 10.22% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.48% | 2 | |
| 2020-11-19 | 2020-11-25 | $166.42 | $191.33 | 11.05% | 5 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 9.89% | 2 | |
| 2020-07-01 | 2020-07-06 | $74.64 | $91.44 | 9.33% | 3 | |
| 2020-06-12 | 2020-06-18 | $62.35 | $66.93 | 1.43% | 5 | |
| 2020-06-09 | 2020-06-11 | $62.71 | $64.86 | 6.17% | 3 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.21% | 2 | |
| 2020-01-17 | 2020-01-22 | $34.03 | $37.97 | 5.09% | 3 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 1.83% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.69% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.77% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.38% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 2.83% | 3 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.99% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.28% | 3 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.37% | 10 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.87% | 4 | |
| 2017-09-19 | 2017-09-22 | $25.01 | $23.41 | -4.01% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-12 | 2017-06-28 | $23.93 | $24.75 | 1.01% | 13 | |
| 2017-06-07 | 2017-06-09 | $23.98 | $23.82 | 3.71% | 3 | |
| 2017-05-16 | 2017-05-18 | $21.13 | $20.87 | -2.63% | 3 | |
| 2017-05-08 | 2017-05-09 | $20.48 | $21.42 | -0.46% | 2 | |
| 2017-05-02 | 2017-05-05 | $21.26 | $20.56 | -6.97% | 4 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-17 | 2017-02-23 | $18.15 | $17.07 | 1.20% | 4 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.05% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.15% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.67% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.16% | 2 | |
| 2017-01-17 | 2017-01-19 | $15.71 | $16.25 | 0.05% | 3 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.55% | 3 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-07 | 2016-04-13 | $17.15 | $16.97 | -5.48% | 5 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.58% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-20 | 2015-07-27 | $18.82 | $16.87 | -2.83% | 6 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-16 | $17.07 | $16.87 | -2.00% | 6 | |
| 2015-05-13 | 2015-05-18 | $16.21 | $16.58 | 1.18% | 4 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-08 | 2014-09-12 | $18.81 | $18.61 | 0.69% | 5 | |
| 2014-09-04 | 2014-09-05 | $19.07 | $18.49 | 1.22% | 2 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 4.11% | 2 | |
| 2014-08-04 | 2014-08-22 | $15.90 | $17.12 | 7.04% | 15 | |
| 2014-06-24 | 2014-07-03 | $15.50 | $15.28 | -2.77% | 8 | |
| 2014-02-19 | 2014-02-26 | $12.91 | $16.87 | 17.11% | 6 | |
| 2013-10-09 | 2013-10-10 | $11.25 | $11.53 | -2.88% | 2 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.76% | 2 | |
| 2013-10-03 | 2013-10-04 | $11.55 | $12.07 | -3.54% | 2 | |
| 2013-09-20 | 2013-09-27 | $12.23 | $12.73 | 4.64% | 6 | |
| 2013-09-10 | 2013-09-12 | $11.09 | $11.00 | 1.25% | 3 | |
| 2013-07-02 | 2013-07-15 | $7.85 | $8.48 | 8.46% | 9 | |
| 2013-05-01 | 2013-05-07 | $3.55 | $3.70 | 7.98% | 5 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-19 | 2013-02-22 | $2.62 | $2.41 | -4.14% | 4 | |
| 2013-02-07 | 2013-02-15 | $2.63 | $2.47 | -1.99% | 7 | |
| 2013-01-24 | 2013-01-29 | $2.47 | $2.53 | 4.33% | 4 | |
| 2012-12-19 | 2012-12-27 | $2.31 | $2.25 | -2.47% | 6 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-04-05 | 2012-04-09 | $2.30 | $2.21 | -1.35% | 2 | |
| 2012-03-27 | 2012-04-03 | $2.53 | $2.53 | -1.91% | 6 | |
| 2012-03-12 | 2012-03-20 | $2.40 | $2.33 | 0.41% | 7 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.56% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |