Strategy Zoo / S0788
PriceMomentum_V0788
ARCHIVEDhybridllmCleaned and simplified entry conditions: require stronger 20d momentum, positive 50-day slope and small distance above 50-SMA, avoid overbought (RSI<70), and allow entries when volatility percentile is moderate or recent vol change is small. Added a multi-condition exit (milder stop-loss, RSI overheating, or portfolio drawdown) to reduce large losses. Set regime gates to avoid downtrends, high volatility and bubbly markets. Added volatility-scaled position sizing (higher exposure in low vol, reduced in medium/high) and slightly reduced base position to lower drawdown risk.
Fitness
0.0757
Generation
36
Complexity
19
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0788 [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 dist_sma_50 > 0.015 and sma_50_slope > 0.0 and rsi_14 < 70.0 and (vol_pctile < 0.8 or vol_chg < 0.2) and cumret_252d > -0.25):
position = 0.9
if long and (ret_20d < -0.08 or rsi_14 > 80.0 or drawdown < -0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | -2.1% | -3.6% | -1.9% |
| Total Return | -7.1% | -6.3% | -12.7% | -24.0% |
| Sharpe | -0.02 | -0.33 | -0.31 | -0.13 |
| Sortino | -0.01 | -0.13 | -0.14 | -0.06 |
| Calmar | -0.04 | -0.19 | -0.21 | -0.05 |
| Volatility | 11.5% | 6.0% | 10.1% | 10.2% |
| Max DD | -24.3% | -11.2% | -17.3% | -37.1% |
| Win Rate | 38.2% | 42.9% | 35.5% | 38.6% |
| Avg Win | 2.6% | 1.7% | 2.7% | 2.4% |
| Avg Loss | -1.7% | -1.6% | -2.1% | -1.8% |
| Payoff | 1.52 | 1.05 | 1.29 | 1.32 |
| Expectancy | -0.1% | -0.2% | -0.4% | -0.2% |
| Profit Factor | 0.94 | 0.79 | 0.71 | 0.83 |
| Trades | 55 | 28 | 31 | 114 |
| Avg Holding Days | 4.7 | 2.5 | 2.8 | 3.6 |
| Turnover | 11.7 | 15.2 | 13.9 | 13.0 |
| Exposure | 8.5% | 4.6% | 5.2% | 6.9% |
Growth of $100
PriceMomentum_V0788 vs TSLA Buy & Hold
PriceMomentum_V0788 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% | -1.11 | -8.4% | 13 |
| 2017 | 4.0% | 0.98 | -0.1% | 1 |
| 2018 | -12.5% | -1.71 | -12.6% | 4 |
| 2019 | 1.6% | 0.70 | -1.6% | 9 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -0.7% | -0.05 | -7.5% | 15 |
| 2022 | -5.6% | -0.79 | -6.9% | 13 |
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 | 38.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.9% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 432 | -2.7% | -0.21 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.1% | -0.15 | 2% |
| hidden test | NORMAL | 805 | -7.6% | -0.79 | 6% |
| hidden test | SIDEWAYS | 293 | -11.2% | -1.55 | 5% |
| hidden test | UPTREND | 371 | 0.9% | 0.06 | 9% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.1% | 0.90 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.8% | 0.19 | 0% |
| train | LOW VOLATILITY | 745 | 8.1% | 0.59 | 18% |
| train | MEDIUM VOLATILITY | 568 | -13.8% | -1.35 | 6% |
| train | NORMAL | 1,601 | -0.6% | -0.04 | 11% |
| train | SIDEWAYS | 592 | -1.6% | -0.29 | 4% |
| train | UPTREND | 902 | 0.4% | 0.03 | 16% |
| 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 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | -1.3% | -0.14 | 15% |
| validation | MEDIUM VOLATILITY | 315 | -4.0% | -0.63 | 3% |
| validation | NORMAL | 474 | -3.2% | -0.42 | 7% |
| validation | SIDEWAYS | 206 | 4.4% | 0.87 | 2% |
| validation | UPTREND | 425 | -5.7% | -0.79 | 7% |
Trades (full period)
latest 100 of 114
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.19% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -2.30% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.45% | 2 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.13% | 23 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.43% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.32% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.11% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.33% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.71% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.56% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.53% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.87% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.06% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.16% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.45% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.51% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.16% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.83% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.26% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.30% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.50% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.70% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.77% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.09% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.65% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.31% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.99% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.63% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.76% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.49% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.23% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.39% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.74% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.02% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.49% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.39% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.47% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.60% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.63% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.16% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -2.95% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.52% | 4 | |
| 2021-10-05 | 2021-10-19 | $260.20 | $288.09 | 9.96% | 11 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.05% | 5 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.95% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.12% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.19% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.06% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.45% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.10% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.86% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.81% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.45% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.13% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.18% | 2 | |
| 2019-10-23 | 2019-10-24 | $16.98 | $19.98 | -0.50% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.04% | 2 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.44% | 2 | |
| 2019-09-23 | 2019-09-24 | $16.08 | $14.88 | 0.05% | 2 | |
| 2019-09-19 | 2019-09-20 | $16.44 | $16.04 | 0.97% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.55% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.42% | 2 | |
| 2019-07-23 | 2019-07-24 | $17.34 | $17.66 | 1.40% | 2 | |
| 2018-12-07 | 2018-12-19 | $23.86 | $22.20 | -4.43% | 9 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.83% | 3 | |
| 2018-01-29 | 2018-02-06 | $23.30 | $22.26 | -2.02% | 7 | |
| 2018-01-23 | 2018-01-26 | $23.52 | $22.86 | -2.81% | 4 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 3.96% | 2 | |
| 2016-12-30 | 2017-01-03 | $14.25 | $14.47 | -0.59% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.41% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.74% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -2.01% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.65% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.38% | 2 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.03% | 2 | |
| 2016-04-25 | 2016-04-28 | $16.79 | $16.51 | -0.74% | 4 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.59% | 2 | |
| 2016-04-13 | 2016-04-20 | $16.97 | $16.66 | -0.24% | 6 | |
| 2016-04-11 | 2016-04-12 | $16.66 | $16.52 | -0.18% | 2 | |
| 2016-04-01 | 2016-04-04 | $15.84 | $16.47 | 2.16% | 2 | |
| 2016-03-30 | 2016-03-31 | $15.13 | $15.32 | -1.08% | 2 | |
| 2016-03-28 | 2016-03-29 | $15.35 | $15.34 | 0.61% | 2 | |
| 2015-06-25 | 2015-08-07 | $17.92 | $16.17 | -3.50% | 31 | |
| 2015-06-04 | 2015-06-05 | $16.39 | $16.61 | -1.29% | 2 | |
| 2015-06-02 | 2015-06-03 | $16.56 | $16.60 | -0.58% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.28% | 2 | |
| 2015-05-21 | 2015-05-22 | $16.37 | $16.52 | 0.29% | 2 | |
| 2015-05-07 | 2015-05-08 | $15.79 | $15.77 | 2.31% | 2 | |
| 2015-05-05 | 2015-05-06 | $15.53 | $15.36 | 0.77% | 2 | |
| 2015-05-01 | 2015-05-04 | $15.07 | $15.37 | -0.19% | 2 | |
| 2015-04-16 | 2015-04-17 | $13.78 | $13.79 | -0.67% | 2 | |
| 2015-04-14 | 2015-04-15 | $13.83 | $13.86 | -1.17% | 2 | |
| 2014-09-08 | 2014-09-23 | $18.81 | $16.69 | -8.16% | 12 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 16.89% | 21 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -3.00% | 2 |