Strategy Zoo / S0789
PriceMomentum_V0789
ARCHIVEDhybridllmAdded trend and volatility gates; broadened entry to include positive 50-day slope and avoid very high volatility; replaced fragile single exit with a multi-condition exit (bigger stop, overbought RSI, trend deterioration, drawdown cap); reduced base position and added volatility-based scaling (full size in low vol, cut in high vol) to lower drawdown and improve robustness.
Fitness
0.0976
Generation
36
Complexity
13
Created
2026-09-26
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0789 [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 > 0.04 and breakout_50 == 1 and sma_50_slope > 0.0 and vol_pctile < 0.75):
position = 0.6
if long and (ret_20d < -0.05 or rsi_14 > 75.0 or sma_50_slope < 0.0 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.5% | -0.6% | 2.3% | -0.9% |
| Total Return | -18.0% | -1.9% | 8.9% | -12.4% |
| Sharpe | -0.25 | -0.02 | 0.30 | -0.06 |
| Sortino | -0.11 | -0.01 | 0.13 | -0.03 |
| Calmar | -0.09 | -0.03 | 0.19 | -0.03 |
| Volatility | 8.5% | 9.1% | 8.9% | 8.7% |
| Max DD | -28.5% | -18.0% | -12.1% | -28.5% |
| Win Rate | 47.4% | 55.6% | 64.3% | 54.8% |
| Avg Win | 3.0% | 3.9% | 3.4% | 3.4% |
| Avg Loss | -4.5% | -4.9% | -4.1% | -4.5% |
| Payoff | 0.68 | 0.80 | 0.83 | 0.75 |
| Expectancy | -0.9% | 0.0% | 0.7% | -0.2% |
| Profit Factor | 0.61 | 1.00 | 1.49 | 0.91 |
| Trades | 19 | 9 | 14 | 42 |
| Avg Holding Days | 12.6 | 11.6 | 6.6 | 10.4 |
| Turnover | 2.9 | 3.6 | 4.5 | 3.4 |
| Exposure | 6.6% | 7.5% | 5.1% | 6.4% |
Growth of $100
PriceMomentum_V0789 vs TSLA Buy & Hold
PriceMomentum_V0789 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 | -6.0% | -1.12 | -7.8% | 3 |
| 2017 | 4.2% | 1.49 | -0.6% | 4 |
| 2018 | -10.4% | -1.32 | -11.0% | 2 |
| 2019 | 2.1% | 0.22 | -9.2% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 19.7% | 1.96 | -4.7% | 7 |
| 2022 | -18.1% | -1.52 | -18.0% | 2 |
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 | 13.2% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.1% | -1.01 | 0% |
| hidden test | LOW VOLATILITY | 432 | 8.1% | 0.83 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.4% | 0.13 | 3% |
| hidden test | NORMAL | 805 | 1.8% | 0.19 | 6% |
| hidden test | SIDEWAYS | 293 | -7.2% | -1.03 | 6% |
| hidden test | UPTREND | 371 | 12.5% | 0.98 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -0.0% | -0.90 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.1% | -0.12 | 0% |
| train | LOW VOLATILITY | 745 | 4.4% | 0.49 | 13% |
| train | MEDIUM VOLATILITY | 568 | -12.1% | -1.65 | 6% |
| train | NORMAL | 1,601 | -2.7% | -0.28 | 8% |
| train | SIDEWAYS | 592 | -6.5% | -0.90 | 3% |
| train | UPTREND | 902 | -0.5% | -0.04 | 13% |
| 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 | 7.9% | 0.82 | 21% |
| validation | MEDIUM VOLATILITY | 315 | -5.1% | -0.43 | 6% |
| validation | NORMAL | 474 | -0.3% | -0.03 | 12% |
| validation | SIDEWAYS | 206 | -14.0% | -1.26 | 6% |
| validation | UPTREND | 425 | 6.4% | 0.69 | 11% |
Trades (full period)
42 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -7.47% | 17 | |
| 2025-12-16 | 2026-01-13 | $489.88 | $447.20 | -3.36% | 19 | |
| 2025-08-27 | 2025-09-15 | $349.60 | $410.04 | 7.40% | 13 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 10.35% | 5 | |
| 2023-07-05 | 2023-08-02 | $282.48 | $254.11 | -3.98% | 21 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -3.95% | 22 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -14.61% | 16 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.67% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 4.97% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.14% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.50% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 0.93% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.52% | 2 | |
| 2021-08-03 | 2021-10-18 | $236.58 | $290.04 | 10.96% | 54 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 9.65% | 8 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2018-12-06 | 2018-12-20 | $24.20 | $21.03 | -4.57% | 11 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.05% | 15 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 0.91% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.24% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 1.56% | 5 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.41% | 3 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-04-07 | 2016-05-04 | $17.15 | $14.84 | -7.72% | 20 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.94% | 2 | |
| 2015-05-29 | 2015-07-28 | $16.72 | $17.65 | 0.48% | 42 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.14% | 2 | |
| 2015-04-30 | 2015-05-13 | $15.07 | $16.21 | 3.05% | 10 | |
| 2014-09-05 | 2014-09-26 | $18.49 | $16.44 | -8.40% | 16 | |
| 2014-08-07 | 2014-09-03 | $16.83 | $18.75 | 8.21% | 19 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -5.19% | 17 | |
| 2012-11-20 | 2013-01-14 | $2.20 | $2.22 | -0.01% | 37 | |
| 2012-03-13 | 2012-04-11 | $2.41 | $2.21 | -5.91% | 21 |