Strategy Zoo / S0836
PriceMomentum_V0836
ARCHIVEDhybridllmRestrained regime gates to avoid extreme/high-volatility/downttrend markets; tightened entry to require momentum plus trend confirmation or a volume-backed breakout with MACD filter; added multi-condition exit (softer absolute stop + MACD/mean-reversion trigger); introduced volatility-scaled sizing (full size in low vol, reduced in high vol) to improve robustness and reduce overfitting.
Fitness
0.3061
Generation
38
Complexity
18
Created
2026-09-29
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0836 [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 > 0.04 and sma_50_slope > 0.0 and vol_pctile < 0.9) or (breakout_20 == 1 and dist_sma_20 > -0.08 and macd_hist > 0.0 and vol_chg < 1.2 and rel_volume > 1.0)):
position = 0.8
if long and (ret_20d < -0.12 or macd_hist < -0.01 or dist_sma_20 < -0.2):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.0% | 28.8% | -1.6% | 3.9% |
| Total Return | -15.1% | 113.7% | -6.0% | 74.7% |
| Sharpe | -0.05 | 1.29 | -0.00 | 0.30 |
| Sortino | -0.04 | 1.14 | -0.00 | 0.23 |
| Calmar | -0.05 | 1.26 | -0.07 | 0.09 |
| Volatility | 15.8% | 21.5% | 18.0% | 17.7% |
| Max DD | -41.9% | -22.9% | -23.6% | -41.9% |
| Win Rate | 35.2% | 55.6% | 31.3% | 39.1% |
| Avg Win | 4.5% | 5.5% | 5.6% | 5.2% |
| Avg Loss | -2.6% | -2.5% | -2.5% | -2.6% |
| Payoff | 1.69 | 2.23 | 2.23 | 2.03 |
| Expectancy | -0.1% | 2.0% | 0.0% | 0.5% |
| Profit Factor | 0.92 | 2.78 | 1.02 | 1.31 |
| Trades | 91 | 45 | 48 | 184 |
| Avg Holding Days | 5.4 | 5.2 | 5.0 | 5.3 |
| Turnover | 18.3 | 24.0 | 20.7 | 20.0 |
| Exposure | 16.1% | 20.0% | 16.6% | 17.1% |
Growth of $100
PriceMomentum_V0836 vs TSLA Buy & Hold
PriceMomentum_V0836 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 | -14.7% | -1.48 | -17.7% | 11 |
| 2017 | 17.0% | 1.15 | -9.4% | 18 |
| 2018 | -10.1% | -1.27 | -11.4% | 6 |
| 2019 | 1.7% | 0.19 | -18.0% | 8 |
| 2020 | 75.6% | 2.76 | -6.4% | 10 |
| 2021 | 18.6% | 0.79 | -22.9% | 23 |
| 2022 | 2.4% | 0.23 | -17.6% | 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 | 273 | -2.9% | -1.39 | 1% |
| hidden test | EXPENSIVE | 83 | 23.3% | 0.89 | 27% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.6% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 433 | 22.4% | 1.21 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.4% | -1.70 | 19% |
| hidden test | NORMAL | 806 | -2.4% | -0.14 | 16% |
| hidden test | SIDEWAYS | 293 | -24.0% | -1.27 | 26% |
| hidden test | UPTREND | 371 | 20.9% | 0.91 | 20% |
| train | DOWNTREND | 518 | -1.0% | -0.23 | 1% |
| train | EXPENSIVE | 311 | 27.5% | 1.34 | 25% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.7% | 0.54 | 1% |
| train | LOW VOLATILITY | 745 | 8.0% | 0.55 | 30% |
| train | MEDIUM VOLATILITY | 568 | -24.1% | -1.42 | 16% |
| train | NORMAL | 1,601 | -6.9% | -0.46 | 15% |
| train | SIDEWAYS | 592 | -20.2% | -1.42 | 15% |
| train | UPTREND | 902 | 12.1% | 0.59 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 94.1% | 3.16 | 34% |
| validation | EXTREME | 144 | 37.7% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 13.6% | 0.78 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 63.7% | 2.20 | 28% |
| validation | NORMAL | 474 | 5.2% | 0.26 | 21% |
| validation | SIDEWAYS | 206 | -4.8% | -0.28 | 18% |
| validation | UPTREND | 425 | 51.4% | 1.99 | 27% |
Trades (full period)
latest 100 of 184
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 2.19% | 8 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 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 | |
| 2024-09-24 | 2024-10-04 | $254.27 | $250.08 | -3.13% | 9 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.01% | 4 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 25.07% | 19 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 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 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.11% | 2 | |
| 2023-07-05 | 2023-07-10 | $282.48 | $269.61 | -1.70% | 4 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.83% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.08% | 10 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 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 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 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 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -4.36% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.97% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.93% | 2 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 33.52% | 24 | |
| 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 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 |