Strategy Zoo / S0832
PriceMomentum_V0832
ARCHIVEDhybridllmSimplified entry to a robust momentum + trend filter (ret_20d>0.06 AND (close>50SMA with positive slope OR moderate 60d performance) AND reasonable 252d cumulative return) to reduce overfitting and redundancy; added multi-condition exit (20d stop, quick 5d stop, or close crossing below SMA50) for earlier loss-cutting; introduced regime gates to avoid trading in high volatility and extreme bubble regimes while allowing upside in uptrends/sideways markets; reduced base_position from 1.0 to 0.8 to lower drawdown risk.
Fitness
0.3112
Generation
38
Complexity
16
Created
2026-09-29
Lineage
Parents (1)
swapped indicator ret_20d -> ret_60d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0832 [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 (((close > sma_50 and sma_50_slope > 0.0) or ret_60d > -0.2) and cumret_252d > -0.25)):
position = 0.8
if long and (ret_20d < -0.08 or ret_5d < -0.03 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.5% | 22.5% | 1.8% | 7.4% |
| Total Return | 41.7% | 84.0% | 6.9% | 185.3% |
| Sharpe | 0.34 | 1.05 | 0.19 | 0.48 |
| Sortino | 0.26 | 0.97 | 0.12 | 0.37 |
| Calmar | 0.12 | 0.63 | 0.07 | 0.18 |
| Volatility | 17.0% | 21.6% | 18.5% | 18.4% |
| Max DD | -36.0% | -35.6% | -27.8% | -40.8% |
| Win Rate | 39.7% | 47.1% | 34.3% | 40.2% |
| Avg Win | 5.6% | 9.4% | 6.2% | 7.4% |
| Avg Loss | -3.0% | -3.9% | -2.7% | -3.1% |
| Payoff | 1.87 | 2.42 | 2.32 | 2.38 |
| Expectancy | 0.4% | 2.4% | 0.4% | 1.1% |
| Profit Factor | 1.23 | 2.15 | 1.21 | 1.60 |
| Trades | 63 | 34 | 35 | 132 |
| Avg Holding Days | 8.7 | 7.4 | 6.3 | 7.9 |
| Turnover | 12.7 | 18.1 | 15.1 | 14.4 |
| Exposure | 20.0% | 23.1% | 16.0% | 19.6% |
Growth of $100
PriceMomentum_V0832 vs TSLA Buy & Hold
PriceMomentum_V0832 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 | -2.5% | -0.17 | -11.3% | 8 |
| 2017 | 10.3% | 0.67 | -13.7% | 12 |
| 2018 | -11.8% | -1.50 | -12.2% | 3 |
| 2019 | 11.9% | 0.61 | -17.7% | 5 |
| 2020 | 62.1% | 2.51 | -7.1% | 6 |
| 2021 | 39.5% | 1.45 | -23.2% | 16 |
| 2022 | -21.1% | -1.16 | -35.6% | 12 |
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 | 273 | -0.1% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 29.6% | 1.07 | 39% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.0% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 433 | 24.0% | 1.42 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -14.1% | -0.63 | 21% |
| hidden test | NORMAL | 806 | 1.0% | 0.06 | 15% |
| hidden test | SIDEWAYS | 293 | -24.7% | -1.36 | 21% |
| hidden test | UPTREND | 371 | 28.4% | 1.16 | 24% |
| train | DOWNTREND | 518 | -1.0% | -0.23 | 1% |
| train | EXPENSIVE | 311 | 25.6% | 1.13 | 31% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 11.3% | 0.72 | 1% |
| train | LOW VOLATILITY | 745 | 19.2% | 1.10 | 39% |
| train | MEDIUM VOLATILITY | 568 | -18.6% | -1.04 | 18% |
| train | NORMAL | 1,601 | 1.7% | 0.11 | 19% |
| train | SIDEWAYS | 592 | -10.4% | -0.66 | 18% |
| train | UPTREND | 902 | 20.4% | 0.94 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 80.9% | 2.75 | 38% |
| validation | EXTREME | 144 | 30.6% | 2.27 | 2% |
| validation | HIGH VOLATILITY | 258 | 2.8% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 18.9% | 1.02 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 41.0% | 1.36 | 30% |
| validation | NORMAL | 474 | 3.3% | 0.16 | 25% |
| validation | SIDEWAYS | 206 | -26.2% | -1.24 | 24% |
| validation | UPTREND | 425 | 52.9% | 2.16 | 29% |
Trades (full period)
latest 100 of 132
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-04 | $433.59 | $418.45 | -0.57% | 8 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.47% | 17 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -4.21% | 2 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 19.64% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-12 | 2025-08-20 | $340.84 | $323.90 | -2.45% | 7 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -4.27% | 6 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-19 | 2025-05-22 | $342.09 | $341.04 | -3.67% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 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 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 3.48% | 9 | |
| 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 | |
| 2023-12-07 | 2024-01-04 | $242.64 | $237.93 | -0.39% | 19 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -2.75% | 6 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.54% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.57% | 6 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -2.74% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 6.10% | 10 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -6.62% | 4 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-24 | 2022-08-31 | $297.10 | $275.61 | -5.23% | 6 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.84% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.11% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -10.31% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-03-22 | 2022-04-07 | $331.33 | $352.42 | 10.68% | 13 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-08-24 | 2021-11-09 | $236.16 | $341.17 | 49.25% | 55 | |
| 2021-07-21 | 2021-08-17 | $218.43 | $221.90 | 3.00% | 20 | |
| 2021-07-12 | 2021-07-20 | $228.57 | $220.17 | -1.44% | 7 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.85% | 2 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.23% | 9 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.71% | 6 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.97% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2020-12-30 | 2021-01-11 | $231.59 | $270.40 | 24.93% | 8 | |
| 2020-12-10 | 2020-12-29 | $209.02 | $222.00 | 7.73% | 13 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-16 | 2020-10-21 | $146.56 | $140.88 | -4.97% | 4 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.24% | 3 | |
| 2019-12-03 | 2020-01-22 | $22.41 | $37.97 | 48.27% | 34 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 12.18% | 7 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 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 | |
| 2018-12-07 | 2018-12-18 | $23.86 | $22.47 | -3.36% | 8 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-23 | 2018-02-06 | $23.52 | $22.26 | -4.34% | 11 | |
| 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 | |
| 2017-08-29 | 2017-09-11 | $23.16 | $24.25 | -0.67% | 9 | |
| 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 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -2.15% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -4.37% | 5 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -2.78% | 10 | |
| 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 | 2017-02-24 | $14.65 | $17.13 | 13.05% | 40 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.31% | 27 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.08% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -3.67% | 12 | |
| 2016-03-31 | 2016-04-14 | $15.32 | $16.79 | 9.53% | 11 | |
| 2016-03-28 | 2016-03-30 | $15.35 | $15.13 | 0.68% | 3 | |
| 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 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.19% | 9 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 7.96% | 51 |