Strategy Zoo / S0810
PriceMomentum_V0810
ARCHIVEDhybridllmSimplified and regularized entry rules (keep momentum+volume breakout and a clean 200SMA trend filter), tightened the yearly-cumret filter to avoid prolonged weak regimes, added robust multi-condition exits (20d drawdown stop, 1d stop, and SMA50 breakdown) to limit large drawdowns, restricted regimes to avoid high volatility and bubble states, and reduced base position from 1.0 to 0.6 to lower risk and leverage.
Fitness
0.1044
Generation
37
Complexity
15
Created
2026-09-26
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0810 [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 > 0.05 and rel_volume > 1.2) or (close > sma_200 and sma_200_slope > 0.0 and cumret_252d > -0.15)):
position = 0.6
if long and (ret_20d < -0.02 or ret_1d < -0.03 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.6% | 4.9% | -8.6% | -3.8% |
| Total Return | -31.4% | 15.3% | -28.5% | -43.4% |
| Sharpe | -0.28 | 0.37 | -0.60 | -0.20 |
| Sortino | -0.19 | 0.34 | -0.45 | -0.15 |
| Calmar | -0.11 | 0.25 | -0.21 | -0.09 |
| Volatility | 13.6% | 16.3% | 13.5% | 14.1% |
| Max DD | -42.0% | -19.7% | -40.2% | -43.6% |
| Win Rate | 38.1% | 36.2% | 35.2% | 36.8% |
| Avg Win | 2.5% | 4.1% | 2.4% | 2.8% |
| Avg Loss | -1.8% | -1.8% | -1.8% | -1.8% |
| Payoff | 1.33 | 2.25 | 1.34 | 1.54 |
| Expectancy | -0.2% | 0.3% | -0.3% | -0.1% |
| Profit Factor | 0.82 | 1.28 | 0.72 | 0.90 |
| Trades | 147 | 69 | 91 | 307 |
| Avg Holding Days | 4.2 | 3.7 | 3.3 | 3.8 |
| Turnover | 22.1 | 27.6 | 29.4 | 25.1 |
| Exposure | 14.1% | 14.8% | 13.2% | 14.0% |
Growth of $100
PriceMomentum_V0810 vs TSLA Buy & Hold
PriceMomentum_V0810 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 | -1.0% | -0.12 | -9.2% | 9 |
| 2017 | 12.0% | 1.29 | -8.9% | 21 |
| 2018 | -9.3% | -1.08 | -12.7% | 5 |
| 2019 | -2.2% | -0.05 | -17.9% | 7 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.2% | 0.62 | -19.7% | 47 |
| 2022 | -4.8% | -0.26 | -16.0% | 21 |
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 | -6.1% | -1.87 | 1% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.90 | 1% |
| hidden test | LOW VOLATILITY | 432 | -5.8% | -0.40 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.7% | -0.77 | 12% |
| hidden test | NORMAL | 805 | -12.1% | -0.86 | 15% |
| hidden test | SIDEWAYS | 293 | -28.8% | -1.81 | 23% |
| hidden test | UPTREND | 371 | 6.7% | 0.42 | 14% |
| train | DOWNTREND | 518 | -10.5% | -1.07 | 1% |
| train | EXPENSIVE | 311 | 7.6% | 1.80 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -4.2% | -0.31 | 1% |
| train | LOW VOLATILITY | 745 | 5.7% | 0.46 | 24% |
| train | MEDIUM VOLATILITY | 568 | -15.7% | -1.04 | 17% |
| train | NORMAL | 1,601 | -6.2% | -0.41 | 18% |
| train | SIDEWAYS | 592 | -17.7% | -1.28 | 15% |
| train | UPTREND | 902 | 9.2% | 0.61 | 21% |
| validation | DOWNTREND | 125 | -7.1% | -2.13 | 1% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 21.2% | 1.49 | 1% |
| validation | LOW VOLATILITY | 183 | 9.4% | 0.69 | 33% |
| validation | MEDIUM VOLATILITY | 315 | -8.3% | -0.43 | 16% |
| validation | NORMAL | 474 | 9.7% | 0.47 | 24% |
| validation | SIDEWAYS | 206 | -16.8% | -0.95 | 24% |
| validation | UPTREND | 425 | 21.0% | 1.18 | 15% |
Trades (full period)
latest 100 of 307
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -4.77% | 4 | |
| 2026-05-19 | 2026-06-02 | $404.11 | $423.74 | 0.79% | 10 | |
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 1.48% | 7 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.44% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.00% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.04% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.42% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 1.94% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 1.31% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.10% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.02% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.07% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.31% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 0.79% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -1.42% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.10% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 1.87% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.04% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -1.97% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 2.37% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -2.62% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.21% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.18% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.49% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -2.60% | 2 | |
| 2025-12-31 | 2026-01-05 | $449.72 | $451.67 | -2.28% | 3 | |
| 2025-12-19 | 2025-12-30 | $481.20 | $454.43 | -3.07% | 7 | |
| 2025-12-10 | 2025-12-18 | $451.45 | $483.37 | 2.89% | 7 | |
| 2025-12-04 | 2025-12-09 | $454.53 | $445.17 | -1.07% | 4 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.25% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.38% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.75% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.29% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.56% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.10% | 2 | |
| 2025-09-04 | 2025-09-15 | $338.53 | $410.04 | 10.73% | 8 | |
| 2025-08-25 | 2025-09-02 | $346.60 | $329.36 | -1.18% | 6 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.04% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.33% | 3 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -2.62% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -2.78% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.23% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -2.50% | 2 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -6.72% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 2.63% | 9 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 13.31% | 11 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.00% | 3 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -1.84% | 2 | |
| 2024-01-05 | 2024-01-10 | $237.49 | $233.94 | -0.86% | 4 | |
| 2024-01-02 | 2024-01-04 | $248.42 | $237.93 | -2.54% | 3 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.41% | 5 | |
| 2023-11-29 | 2023-12-21 | $244.14 | $254.50 | 0.05% | 17 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 3.55% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.14% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.31% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -1.26% | 2 | |
| 2023-10-19 | 2023-10-20 | $220.11 | $211.99 | -5.70% | 2 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.10% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -1.92% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.26% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.46% | 4 | |
| 2023-10-02 | 2023-10-04 | $251.60 | $261.16 | -1.00% | 3 | |
| 2023-09-28 | 2023-09-29 | $246.38 | $250.22 | 1.35% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -0.82% | 2 | |
| 2023-09-20 | 2023-09-22 | $262.59 | $244.88 | -2.56% | 3 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -1.92% | 6 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.78% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -1.92% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.11% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.55% | 2 | |
| 2023-06-01 | 2023-06-22 | $207.52 | $264.61 | 15.60% | 15 | |
| 2022-08-16 | 2022-08-29 | $306.56 | $284.82 | -4.26% | 10 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -1.90% | 5 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 2.74% | 2 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -8.01% | 4 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -1.71% | 3 | |
| 2022-04-12 | 2022-04-18 | $328.98 | $334.76 | 0.47% | 4 | |
| 2022-04-07 | 2022-04-11 | $352.42 | $325.31 | -1.27% | 3 | |
| 2022-03-18 | 2022-04-06 | $301.80 | $348.59 | 14.57% | 14 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -1.56% | 2 |