Strategy Zoo / S0787
PriceMomentum_V0787
ARCHIVEDhybridllm1) Tightened and structured entry into two robust branches: momentum branch (ret_20d>3%, positive 50-day slope, RSI>45) and a filtered breakout branch (breakout_20 + close to 20SMA + moderate vol_pctile + elevated rel_volume) to reduce overfit. 2) Replaced fragile short-term exit with multi-condition exit: larger drawdown/20d loss thresholds and trend-based exit (sma_50_slope<0) to avoid premature stops. 3) Added volatility-based position sizing (scale down to 0.5 when vol_pctile>0.75) to control risk in high-vol regimes. 4) Adjusted regime gates to allow only UPTREND/SIDEWAYS and exclude HIGH volatility and EXTREME bubble to improve generalization.
Fitness
0.2806
Generation
36
Complexity
17
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0570 OR Breakout20_V0692
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0787 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.03 and sma_50_slope > 0.0 and rsi_14 > 45.0) or (breakout_20 == 1 and dist_sma_20 > -0.05 and vol_pctile < 0.85 and rel_volume > 1.0)):
position = 1.0
if long and (ret_20d < -0.06 or drawdown < -0.08 or sma_50_slope < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.9% | 37.3% | -17.2% | -0.8% |
| Total Return | -33.1% | 158.6% | -50.4% | -11.6% |
| Sharpe | -0.17 | 1.37 | -0.86 | 0.06 |
| Sortino | -0.12 | 1.12 | -0.52 | 0.04 |
| Calmar | -0.08 | 1.13 | -0.33 | -0.01 |
| Volatility | 19.0% | 25.4% | 19.7% | 20.7% |
| Max DD | -58.0% | -32.9% | -52.6% | -68.2% |
| Win Rate | 37.3% | 54.7% | 41.9% | 42.3% |
| Avg Win | 2.9% | 5.6% | 2.4% | 3.7% |
| Avg Loss | -2.2% | -2.6% | -2.9% | -2.5% |
| Payoff | 1.34 | 2.12 | 0.82 | 1.48 |
| Expectancy | -0.3% | 1.9% | -0.7% | 0.1% |
| Profit Factor | 0.79 | 2.56 | 0.60 | 1.08 |
| Trades | 153 | 64 | 93 | 310 |
| Avg Holding Days | 3.2 | 3.3 | 2.3 | 3.0 |
| Turnover | 38.5 | 42.7 | 50.1 | 42.2 |
| Exposure | 17.2% | 19.0% | 12.5% | 16.4% |
Growth of $100
PriceMomentum_V0787 vs TSLA Buy & Hold
PriceMomentum_V0787 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 | -9.0% | -1.05 | -12.4% | 22 |
| 2017 | 12.0% | 0.65 | -13.7% | 27 |
| 2018 | -16.3% | -1.23 | -16.7% | 12 |
| 2019 | 0.7% | 0.12 | -14.4% | 16 |
| 2020 | 120.2% | 3.04 | -7.9% | 7 |
| 2021 | 21.5% | 0.78 | -27.9% | 34 |
| 2022 | -6.9% | -0.42 | -12.5% | 23 |
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 | -2.1% | -1.01 | 0% |
| hidden test | EXPENSIVE | 83 | -18.7% | -0.58 | 33% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.1% | -0.51 | 1% |
| hidden test | LOW VOLATILITY | 432 | 7.9% | 0.45 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -68.7% | -2.66 | 18% |
| hidden test | NORMAL | 805 | -17.7% | -0.95 | 11% |
| hidden test | SIDEWAYS | 293 | -34.5% | -1.65 | 14% |
| hidden test | UPTREND | 371 | -13.8% | -0.55 | 20% |
| train | DOWNTREND | 518 | 2.3% | 0.55 | 0% |
| train | EXPENSIVE | 311 | 41.8% | 1.46 | 38% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.5% | 0.53 | 1% |
| train | LOW VOLATILITY | 745 | 7.7% | 0.39 | 32% |
| train | MEDIUM VOLATILITY | 568 | -32.0% | -1.51 | 17% |
| train | NORMAL | 1,601 | -12.9% | -0.76 | 14% |
| train | SIDEWAYS | 592 | -22.6% | -1.69 | 9% |
| train | UPTREND | 902 | 6.3% | 0.24 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 132.3% | 3.40 | 49% |
| validation | EXTREME | 144 | 47.3% | 2.61 | 3% |
| validation | HIGH VOLATILITY | 258 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 19.0% | 1.02 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 79.3% | 2.28 | 30% |
| validation | NORMAL | 474 | 2.7% | 0.12 | 15% |
| validation | SIDEWAYS | 206 | 2.0% | 0.15 | 7% |
| validation | UPTREND | 425 | 61.1% | 1.88 | 31% |
Trades (full period)
latest 100 of 310
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.36% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-12 | 2026-01-02 | $458.96 | $438.07 | 0.43% | 14 | |
| 2025-11-03 | 2025-11-10 | $468.37 | $445.23 | -6.11% | 6 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -4.63% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-20 | 2025-10-23 | $447.43 | $448.98 | -0.28% | 4 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.56% | 3 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -1.20% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.77% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -1.23% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.26% | 2 | |
| 2025-08-22 | 2025-08-25 | $340.01 | $346.60 | 6.01% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.64% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -2.28% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.17% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.66% | 2 | |
| 2023-04-14 | 2023-04-17 | $185.00 | $187.04 | -0.68% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -7.00% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.38% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 |