Strategy Zoo / S0807
PriceMomentum_V0807
ARCHIVEDhybridllmSimplified and de-duplicated entry; require price above sma_50 and positive sma_50_slope plus momentum/breakout and moderate volatility to avoid noisy entries. Tightened exit: add larger momentum stop, sma_50 cross and drawdown stop for better risk control. Added regime gates to only trade in UPTREND and non-high-volatility, non-bubble regimes. Added position scaling: reduce exposure when volatility percentile high, boost to full allocation on breakout with high relative volume. Lowered base_position to 0.8 for risk management.
Fitness
0.0722
Generation
37
Complexity
14
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0807 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (close > sma_50 and sma_50_slope > 0.0 and (ret_20d > 0.04 or breakout_20 > 0.0) and vol_pctile < 0.75):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.9% | -1.8% | -5.6% | -3.4% |
| Total Return | -20.7% | -5.3% | -19.4% | -39.4% |
| Sharpe | -0.22 | -0.08 | -0.42 | -0.24 |
| Sortino | -0.11 | -0.04 | -0.17 | -0.11 |
| Calmar | -0.08 | -0.05 | -0.21 | -0.07 |
| Volatility | 10.5% | 12.5% | 12.0% | 11.4% |
| Max DD | -34.3% | -33.3% | -27.2% | -47.2% |
| Win Rate | 44.9% | 47.2% | 46.2% | 45.8% |
| Avg Win | 1.5% | 2.1% | 2.6% | 1.9% |
| Avg Loss | -1.7% | -2.0% | -3.1% | -2.1% |
| Payoff | 0.89 | 1.04 | 0.83 | 0.90 |
| Expectancy | -0.3% | -0.1% | -0.5% | -0.3% |
| Profit Factor | 0.72 | 0.93 | 0.71 | 0.76 |
| Trades | 78 | 36 | 39 | 153 |
| Avg Holding Days | 3.2 | 2.5 | 2.3 | 2.8 |
| Turnover | 15.6 | 19.2 | 16.8 | 16.7 |
| Exposure | 6.9% | 5.7% | 4.3% | 6.0% |
Growth of $100
PriceMomentum_V0807 vs TSLA Buy & Hold
PriceMomentum_V0807 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 | -7.0% | -1.22 | -9.4% | 15 |
| 2017 | 8.6% | 2.03 | -0.3% | 10 |
| 2018 | -8.4% | -1.35 | -8.4% | 5 |
| 2019 | -1.3% | -0.14 | -6.2% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 8.6% | 0.52 | -22.9% | 25 |
| 2022 | -12.8% | -1.41 | -13.5% | 11 |
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 | 33.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.9% | -1.76 | 1% |
| hidden test | LOW VOLATILITY | 432 | -2.2% | -0.22 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 5.1% | 0.34 | 4% |
| hidden test | NORMAL | 805 | -9.4% | -0.77 | 5% |
| hidden test | SIDEWAYS | 293 | -5.6% | -0.97 | 1% |
| hidden test | UPTREND | 371 | -8.4% | -0.45 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.5% | 1.58 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 2.0% | 0.16 | 15% |
| train | MEDIUM VOLATILITY | 568 | -13.4% | -1.40 | 4% |
| train | NORMAL | 1,601 | -4.6% | -0.40 | 8% |
| train | SIDEWAYS | 592 | -3.3% | -1.09 | 0% |
| train | UPTREND | 902 | -3.1% | -0.20 | 15% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 14.5% | 1.75 | 14% |
| validation | MEDIUM VOLATILITY | 315 | -3.1% | -0.19 | 6% |
| validation | NORMAL | 474 | -1.6% | -0.10 | 9% |
| validation | SIDEWAYS | 206 | -7.0% | -1.17 | 0% |
| validation | UPTREND | 425 | 1.6% | 0.10 | 10% |
Trades (full period)
latest 100 of 153
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-15 | 2026-01-02 | $475.31 | $438.07 | -1.71% | 13 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -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 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 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 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.10% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.41% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.71% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -4.02% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.72% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.94% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 20.73% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.23% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.26% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.19% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.23% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.85% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.10% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.06% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.06% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.95% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.54% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.40% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.52% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -0.91% | 2 | |
| 2019-12-02 | 2019-12-03 | $22.32 | $22.41 | 1.03% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.42% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.37% | 10 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.64% | 2 | |
| 2018-02-05 | 2018-02-06 | $22.21 | $22.26 | -2.63% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.30% | 2 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.58% | 2 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.25% | 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 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.78% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.68% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.21% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.36% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.66% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -1.79% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.58% | 2 |