Strategy Zoo / S0813
PriceMomentum_V0813
ARCHIVEDhybridllmSimplified and tightened entry: require stronger 20d momentum + confirmation from being above/tilting 50SMA and positive MACD; avoid long-term severely negative stocks (cumret_252d > -25%). Added multi-condition exit: faster exit on moderate 20d loss, break below 50SMA, or combined MACD/RSI weakness. Added volatility gate to avoid HIGH_VOLATILITY and restricted to UPTREND/SIDEWAYS (exclude severe downtrend regime). Reduced base position to 0.8 for risk control.
Fitness
0.2696
Generation
37
Complexity
16
Created
2026-09-26
Lineage
Parents (1)
logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0813 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.06 and (dist_sma_50 > 0.0 or sma_50_slope > 0.0) and cumret_252d > -0.25 and macd_hist > 0.0):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or (macd_hist < 0.0 and rsi_14 < 45.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.3% | 21.3% | 1.7% | 4.8% |
| Total Return | 2.7% | 78.6% | 6.4% | 99.8% |
| Sharpe | 0.11 | 0.97 | 0.18 | 0.34 |
| Sortino | 0.08 | 0.83 | 0.13 | 0.26 |
| Calmar | 0.01 | 0.71 | 0.06 | 0.12 |
| Volatility | 17.7% | 22.7% | 20.3% | 19.5% |
| Max DD | -38.9% | -30.2% | -29.7% | -38.9% |
| Win Rate | 36.6% | 45.5% | 33.3% | 37.3% |
| Avg Win | 6.7% | 22.1% | 12.6% | 11.4% |
| Avg Loss | -3.7% | -6.3% | -5.0% | -4.4% |
| Payoff | 1.79 | 3.50 | 2.51 | 2.59 |
| Expectancy | 0.1% | 6.6% | 0.9% | 1.5% |
| Profit Factor | 1.03 | 2.91 | 1.25 | 1.54 |
| Trades | 41 | 11 | 15 | 67 |
| Avg Holding Days | 12.9 | 21.3 | 15.7 | 15.1 |
| Turnover | 8.3 | 5.9 | 6.5 | 7.3 |
| Exposure | 19.8% | 23.6% | 18.9% | 20.4% |
Growth of $100
PriceMomentum_V0813 vs TSLA Buy & Hold
PriceMomentum_V0813 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% | -0.42 | -13.1% | 4 |
| 2017 | 14.1% | 0.86 | -10.2% | 10 |
| 2018 | -17.7% | -1.70 | -18.1% | 3 |
| 2019 | 1.4% | 0.17 | -19.3% | 3 |
| 2020 | 57.6% | 2.35 | -7.9% | 3 |
| 2021 | 32.5% | 1.19 | -18.9% | 5 |
| 2022 | -17.0% | -0.81 | -30.2% | 3 |
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 | -1.2% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 57.8% | 1.80 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.9% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 432 | 24.2% | 1.35 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -13.7% | -0.52 | 26% |
| hidden test | NORMAL | 805 | -1.6% | -0.08 | 17% |
| hidden test | SIDEWAYS | 293 | -18.4% | -1.00 | 22% |
| hidden test | UPTREND | 371 | 24.9% | 0.90 | 30% |
| train | DOWNTREND | 518 | -5.4% | -1.28 | 1% |
| train | EXPENSIVE | 311 | 33.3% | 1.44 | 30% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.5% | 0.57 | 2% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.05 | 39% |
| train | MEDIUM VOLATILITY | 568 | -29.9% | -1.63 | 17% |
| train | NORMAL | 1,601 | -4.7% | -0.28 | 19% |
| train | SIDEWAYS | 592 | -18.3% | -1.13 | 17% |
| train | UPTREND | 902 | 19.3% | 0.85 | 33% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 87.0% | 2.85 | 43% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -3.4% | -0.17 | 44% |
| validation | MEDIUM VOLATILITY | 315 | 62.3% | 2.05 | 31% |
| validation | NORMAL | 474 | 0.3% | 0.01 | 24% |
| validation | SIDEWAYS | 206 | -14.9% | -0.66 | 26% |
| validation | UPTREND | 425 | 46.2% | 1.80 | 29% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 14.70% | 59 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.73% | 8 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.94% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2023-11-29 | 2024-01-04 | $244.14 | $237.93 | -2.77% | 25 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 20.79% | 45 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -8.87% | 4 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -5.35% | 22 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -3.69% | 26 | |
| 2021-09-09 | 2021-11-10 | $251.62 | $355.98 | 28.06% | 45 | |
| 2021-06-24 | 2021-08-18 | $226.61 | $229.66 | 1.08% | 39 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2021-01-12 | 2021-02-22 | $283.15 | $238.17 | -2.97% | 28 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 35.18% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-10-16 | 2020-10-29 | $146.56 | $136.94 | -7.84% | 10 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 33.52% | 24 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 12.18% | 7 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -7.54% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-13 | 2018-12-19 | $25.12 | $22.20 | -6.62% | 5 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -8.41% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-15 | 2017-05-19 | $21.06 | $20.72 | -3.04% | 5 | |
| 2017-05-02 | 2017-05-10 | $21.26 | $21.68 | -0.49% | 7 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.60% | 42 | |
| 2016-07-22 | 2016-08-26 | $14.82 | $14.67 | 0.04% | 26 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.54% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.90% | 7 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 7.37% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-16 | 2014-07-18 | $14.97 | $14.67 | 3.44% | 24 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -5.63% | 7 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -1.12% | 34 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-01-25 | 2013-02-22 | $2.47 | $2.41 | -4.00% | 20 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.52% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -4.20% | 4 | |
| 2012-07-13 | 2012-07-24 | $2.28 | $1.99 | -5.07% | 8 | |
| 2012-06-29 | 2012-07-03 | $2.09 | $2.04 | -2.73% | 3 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.02% | 38 |