Strategy Zoo / S0853
PriceMomentum_V0853
ARCHIVEDmomentumllmReduced ret_20d threshold and added multi-factor entry (volume breakout OR high rel_volume + breakout_20) with trend slope confirmation to improve signal quality. Tightened stop to ret_20d < -8% and added MACD cross and near-52w-high profit exit to reduce large drawdowns and cap extreme rallies. Added volatility and bubble regime gates to avoid high-volatility / expensive regimes. Introduced position scaling: full size in low-volatility uptrends, reduced size in high-volatility or volatile-change regimes. Lowered base_position to 0.6 to be more defensive.
Fitness
0.1603
Generation
39
Complexity
16
Created
2026-09-29
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0853 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and (rel_volume > 1.2 or volume_breakout > 0.0) and (sma_50_slope > 0.0 or sma_200_slope > 0.0) and breakout_20 > 0.0):
position = 0.6
if long and (ret_20d < -0.08 or macd < macd_signal or dist_52w_high > 0.98):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 3.5% | 4.0% | 1.5% |
| Total Return | -2.8% | 10.7% | 15.8% | 24.6% |
| Sharpe | -0.06 | 0.47 | 0.55 | 0.27 |
| Sortino | -0.02 | 0.13 | 0.15 | 0.08 |
| Calmar | -0.04 | 0.34 | 0.40 | 0.15 |
| Volatility | 4.4% | 7.8% | 7.7% | 6.2% |
| Max DD | -10.0% | -10.3% | -10.0% | -10.3% |
| Win Rate | 50.0% | 66.7% | 80.0% | 58.3% |
| Avg Win | 1.7% | 5.6% | 5.2% | 3.3% |
| Avg Loss | -2.0% | -0.5% | -5.2% | -2.2% |
| Payoff | 0.86 | 10.00 | 1.00 | 1.49 |
| Expectancy | -0.1% | 3.6% | 3.1% | 1.0% |
| Profit Factor | 0.86 | 10.00 | 3.99 | 2.09 |
| Trades | 16 | 3 | 5 | 24 |
| Avg Holding Days | 6.8 | 13.3 | 7.8 | 7.8 |
| Turnover | 2.4 | 1.2 | 1.6 | 2.0 |
| Exposure | 2.7% | 2.9% | 2.2% | 2.6% |
Growth of $100
PriceMomentum_V0853 vs TSLA Buy & Hold
PriceMomentum_V0853 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 | 1.8% | 0.43 | -4.0% | 1 |
| 2017 | 7.1% | 2.08 | -0.5% | 1 |
| 2018 | -0.9% | -0.96 | -1.0% | 2 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 10.7% | 0.82 | -10.3% | 3 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 13.0% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.2% | -1.43 | 0% |
| hidden test | LOW VOLATILITY | 433 | 7.0% | 0.88 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | 14.1% | 1.84 | 1% |
| hidden test | NORMAL | 806 | 3.6% | 0.45 | 2% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 10.7% | 0.88 | 5% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.1% | 0.86 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 1.0% | 0.17 | 6% |
| train | MEDIUM VOLATILITY | 568 | -2.2% | -0.43 | 1% |
| train | NORMAL | 1,601 | -0.5% | -0.11 | 3% |
| train | SIDEWAYS | 592 | -1.6% | -0.83 | 0% |
| train | UPTREND | 902 | 0.5% | 0.07 | 6% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.8% | 0.72 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 12.5% | 1.32 | 2% |
| validation | NORMAL | 474 | 5.9% | 0.60 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 6.6% | 0.63 | 5% |
Trades (full period)
24 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 8.84% | 8 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 7.51% | 16 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 10.71% | 17 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.53% | 14 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -0.96% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.08% | 2 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 7.04% | 14 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.76% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -2.91% | 11 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.10% | 8 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 1.79% | 13 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -2.11% | 9 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -1.80% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |