Strategy Zoo / S0809
PriceMomentum_V0809
ARCHIVEDhybridllmSimplified and focused entries into two clear regimes (momentum breakout and trend-follow), tightened trend gate to UPTREND and excluded HIGH volatility/bubble regimes, added intraday dip filter (ret_1d > -0.02) to avoid buying after large gap downs, improved exits by adding sma_50 cross and RSI overbought exit, and introduced volatility-based position sizing (scale up in low vol, scale down in high vol) while lowering base_position to reduce drawdown risk.
Fitness
0.1069
Generation
37
Complexity
18
Created
2026-09-26
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.3135
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0809 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.08 and rel_volume > 1.2 and ret_1d > -0.02) or (close > sma_200 and sma_200_slope > -0.0015 and ret_20d > 0.04 and cumret_252d > -0.3 and ret_1d > -0.02)):
position = 0.6
if long and (ret_20d < -0.006 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | -4.7% | -2.1% | -1.1% |
| Total Return | 6.6% | -13.4% | -7.4% | -14.6% |
| Sharpe | 0.14 | -0.42 | -0.15 | -0.07 |
| Sortino | 0.07 | -0.19 | -0.06 | -0.03 |
| Calmar | 0.05 | -0.15 | -0.10 | -0.03 |
| Volatility | 8.5% | 10.1% | 10.3% | 9.3% |
| Max DD | -14.9% | -30.5% | -20.1% | -36.3% |
| Win Rate | 42.9% | 41.2% | 60.0% | 48.3% |
| Avg Win | 4.7% | 4.1% | 2.6% | 3.6% |
| Avg Loss | -2.8% | -4.1% | -4.6% | -3.7% |
| Payoff | 1.68 | 1.01 | 0.56 | 0.98 |
| Expectancy | 0.4% | -0.7% | -0.3% | -0.2% |
| Profit Factor | 1.26 | 0.71 | 0.84 | 0.92 |
| Trades | 21 | 17 | 20 | 58 |
| Avg Holding Days | 13.0 | 6.2 | 4.5 | 8.0 |
| Turnover | 3.2 | 6.8 | 6.5 | 4.7 |
| Exposure | 7.5% | 7.0% | 4.4% | 6.6% |
Growth of $100
PriceMomentum_V0809 vs TSLA Buy & Hold
PriceMomentum_V0809 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 | -2.4% | -0.36 | -6.5% | 3 |
| 2017 | 5.7% | 1.78 | -0.6% | 2 |
| 2018 | -5.3% | -0.93 | -6.5% | 2 |
| 2019 | 4.4% | 0.73 | -4.5% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.7% | 0.45 | -15.1% | 11 |
| 2022 | -18.1% | -2.10 | -19.9% | 6 |
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 | 25.5% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.5% | -1.21 | 1% |
| hidden test | LOW VOLATILITY | 432 | 1.3% | 0.19 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 6.6% | 0.52 | 6% |
| hidden test | NORMAL | 805 | -4.4% | -0.42 | 5% |
| hidden test | SIDEWAYS | 293 | -8.3% | -1.03 | 1% |
| hidden test | UPTREND | 371 | 2.6% | 0.18 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.1% | 1.14 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.5% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 7.9% | 0.76 | 17% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -1.04 | 5% |
| train | NORMAL | 1,601 | 0.6% | 0.07 | 9% |
| train | SIDEWAYS | 592 | -2.8% | -1.11 | 1% |
| train | UPTREND | 902 | 4.4% | 0.36 | 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 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 6.6% | 0.64 | 20% |
| validation | MEDIUM VOLATILITY | 315 | -10.1% | -0.85 | 5% |
| validation | NORMAL | 474 | -6.8% | -0.53 | 11% |
| validation | SIDEWAYS | 206 | -11.9% | -1.97 | 1% |
| validation | UPTREND | 425 | -1.9% | -0.15 | 12% |
Trades (full period)
58 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -2.77% | 14 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-06-03 | 2025-06-06 | $344.27 | $295.14 | -10.36% | 4 | |
| 2025-05-23 | 2025-05-28 | $339.34 | $356.90 | 3.73% | 3 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -7.95% | 6 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 0.90% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.39% | 2 | |
| 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 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-01-03 | 2024-01-08 | $238.45 | $240.45 | -2.76% | 4 | |
| 2023-07-25 | 2023-08-02 | $265.28 | $254.11 | -1.87% | 7 | |
| 2023-06-28 | 2023-07-24 | $256.24 | $269.06 | 2.44% | 18 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-05 | 2023-06-08 | $217.61 | $234.86 | 2.83% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -2.59% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -9.05% | 12 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -10.00% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.67% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.94% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.94% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.02% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 7.47% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 1.94% | 3 | |
| 2021-08-24 | 2021-10-19 | $236.16 | $288.09 | 13.32% | 40 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -2.66% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 4.45% | 17 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.59% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.10% | 4 | |
| 2017-01-05 | 2017-01-24 | $15.12 | $16.97 | 5.59% | 13 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -1.77% | 17 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.29% | 21 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-05-11 | 2015-07-27 | $15.97 | $16.87 | 7.24% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.27% | 3 | |
| 2014-09-04 | 2014-09-16 | $19.07 | $17.38 | -5.94% | 9 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 11.05% | 21 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -2.66% | 17 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -4.92% | 5 | |
| 2013-02-13 | 2013-02-14 | $2.56 | $2.55 | 0.77% | 2 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -2.18% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.04% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -1.69% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |