Strategy Zoo / S0854
PriceMomentum_V0854
ARCHIVEDhybridllmSimplified and de-duplicated entry logic; added volatility gate and allowed SIDEWAYS trend to avoid zero-trade regimes; tightened entry momentum (ret_20d>0.06) plus breakout or price>200sma with mild slope filter; added vol_pctile cap to avoid extreme volatility; broadened cumret tolerance to reduce overfitting; replaced tiny fragile stop with a multi-way exit (20d and 1d stops, RSI overbought, and drawdown cap); reduced base position to 0.7 to lower risk.
Fitness
0.2192
Generation
39
Complexity
17
Created
2026-09-29
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.002
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0854 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > -0.001) or ret_20d > 0.06 or breakout_20 > 0.0) and vol_pctile < 0.85 and cumret_252d > -0.5):
position = 0.7
if long and (ret_20d < -0.06 or ret_1d < -0.08 or rsi_14 > 85.0 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.6% | 23.3% | -7.5% | 1.1% |
| Total Return | -18.7% | 87.6% | -25.1% | 16.6% |
| Sharpe | -0.02 | 0.97 | -0.25 | 0.16 |
| Sortino | -0.02 | 1.05 | -0.24 | 0.15 |
| Calmar | -0.05 | 0.77 | -0.20 | 0.02 |
| Volatility | 20.5% | 24.7% | 21.9% | 21.7% |
| Max DD | -48.2% | -30.4% | -37.8% | -48.2% |
| Win Rate | 42.5% | 45.6% | 39.4% | 42.3% |
| Avg Win | 4.2% | 7.0% | 3.4% | 4.7% |
| Avg Loss | -3.2% | -3.2% | -2.7% | -3.0% |
| Payoff | 1.32 | 2.20 | 1.26 | 1.56 |
| Expectancy | -0.0% | 1.5% | -0.3% | 0.2% |
| Profit Factor | 0.98 | 1.85 | 0.82 | 1.14 |
| Trades | 106 | 57 | 71 | 234 |
| Avg Holding Days | 8.3 | 6.6 | 6.4 | 7.3 |
| Turnover | 18.7 | 26.6 | 26.7 | 22.3 |
| Exposure | 27.2% | 29.5% | 28.5% | 28.0% |
Growth of $100
PriceMomentum_V0854 vs TSLA Buy & Hold
PriceMomentum_V0854 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 | -17.8% | -1.34 | -20.6% | 7 |
| 2017 | 20.7% | 1.05 | -14.2% | 19 |
| 2018 | -10.0% | -0.82 | -13.5% | 3 |
| 2019 | 10.9% | 0.61 | -16.4% | 5 |
| 2020 | 85.5% | 2.98 | -8.5% | 9 |
| 2021 | 3.3% | 0.26 | -30.4% | 30 |
| 2022 | -13.0% | -0.61 | -24.6% | 17 |
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 | -10.7% | -2.30 | 2% |
| hidden test | EXPENSIVE | 83 | 28.2% | 0.92 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.9% | -0.94 | 2% |
| hidden test | LOW VOLATILITY | 433 | 13.3% | 0.66 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.0% | -0.97 | 36% |
| hidden test | NORMAL | 806 | -9.1% | -0.43 | 28% |
| hidden test | SIDEWAYS | 293 | -36.3% | -1.48 | 41% |
| hidden test | UPTREND | 371 | 23.0% | 0.86 | 38% |
| train | DOWNTREND | 518 | -12.6% | -1.12 | 1% |
| train | EXPENSIVE | 311 | 47.0% | 1.70 | 37% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -5.5% | -0.27 | 3% |
| train | LOW VOLATILITY | 745 | 20.5% | 1.13 | 44% |
| train | MEDIUM VOLATILITY | 568 | -21.9% | -0.96 | 36% |
| train | NORMAL | 1,601 | -10.3% | -0.53 | 27% |
| train | SIDEWAYS | 592 | -15.0% | -0.73 | 28% |
| train | UPTREND | 902 | 16.0% | 0.66 | 42% |
| validation | DOWNTREND | 125 | -3.9% | -1.73 | 1% |
| validation | EXPENSIVE | 138 | 106.8% | 3.47 | 47% |
| validation | EXTREME | 144 | 37.2% | 2.85 | 2% |
| validation | HIGH VOLATILITY | 258 | 3.2% | 0.25 | 1% |
| validation | LOW VOLATILITY | 183 | 14.8% | 0.70 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 46.4% | 1.42 | 40% |
| validation | NORMAL | 474 | -4.1% | -0.16 | 33% |
| validation | SIDEWAYS | 206 | -7.0% | -0.27 | 37% |
| validation | UPTREND | 425 | 47.2% | 1.71 | 34% |
Trades (full period)
latest 100 of 234
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -2.51% | 23 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.63% | 3 | |
| 2026-03-04 | 2026-03-13 | $405.94 | $391.20 | 0.35% | 8 | |
| 2026-02-24 | 2026-03-03 | $409.38 | $392.43 | 0.49% | 6 | |
| 2026-02-19 | 2026-02-23 | $411.71 | $399.83 | -0.05% | 3 | |
| 2026-02-11 | 2026-02-18 | $428.27 | $411.32 | -2.54% | 5 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 0.92% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -1.66% | 2 | |
| 2026-02-02 | 2026-02-04 | $421.81 | $406.01 | -1.51% | 3 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -2.56% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -0.83% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.19% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 1.89% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.31% | 2 | |
| 2025-12-04 | 2026-01-15 | $454.53 | $438.57 | -1.17% | 29 | |
| 2025-11-28 | 2025-12-03 | $430.17 | $446.74 | 0.30% | 4 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.87% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.34% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.65% | 2 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.98% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-07-29 | 2025-08-06 | $321.20 | $319.91 | -3.77% | 7 | |
| 2025-07-15 | 2025-07-25 | $310.78 | $316.06 | -2.61% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -13.28% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -3.24% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.60% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -2.91% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -1.65% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.33% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.48% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.90% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -4.57% | 2 | |
| 2025-02-06 | 2025-02-10 | $374.32 | $350.73 | -3.21% | 3 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -1.53% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -0.73% | 2 | |
| 2024-10-15 | 2024-10-18 | $219.57 | $220.70 | 0.41% | 4 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.04% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-08-30 | 2024-09-09 | $214.11 | $216.27 | 1.51% | 6 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.05% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.46% | 2 | |
| 2024-06-18 | 2024-07-08 | $184.86 | $252.94 | 22.95% | 13 | |
| 2023-11-16 | 2024-01-16 | $233.59 | $219.91 | -6.96% | 40 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.16% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.36% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -1.46% | 2 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -2.72% | 2 | |
| 2023-10-16 | 2023-10-19 | $253.92 | $220.11 | -2.47% | 4 | |
| 2023-09-29 | 2023-10-13 | $250.22 | $251.12 | 3.43% | 11 | |
| 2023-08-29 | 2023-09-28 | $257.18 | $246.38 | 0.62% | 22 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.46% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 0.96% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 4.99% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.12% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-07-24 | 2023-08-02 | $269.06 | $254.11 | 0.19% | 8 | |
| 2023-06-21 | 2023-07-21 | $259.46 | $260.02 | -2.81% | 22 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 0.88% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.35% | 2 | |
| 2023-05-31 | 2023-06-12 | $203.93 | $249.83 | 14.51% | 9 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -9.30% | 13 | |
| 2023-02-28 | 2023-03-09 | $205.71 | $172.92 | -8.87% | 8 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -4.65% | 22 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.77% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -1.82% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -3.37% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.63% | 2 | |
| 2022-02-18 | 2022-02-22 | $285.66 | $273.84 | -1.69% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.07% | 2 | |
| 2022-02-14 | 2022-02-15 | $291.92 | $307.48 | 1.14% | 2 | |
| 2022-02-10 | 2022-02-11 | $301.52 | $286.67 | -2.20% | 2 | |
| 2022-02-08 | 2022-02-09 | $307.33 | $310.67 | 0.99% | 2 | |
| 2022-02-04 | 2022-02-07 | $307.77 | $302.45 | 2.39% | 2 | |
| 2022-02-02 | 2022-02-03 | $301.89 | $297.05 | -2.06% | 2 | |
| 2022-01-26 | 2022-01-27 | $312.47 | $276.37 | 1.31% | 2 | |
| 2022-01-24 | 2022-01-25 | $310.00 | $306.13 | -1.17% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-23 | 2022-01-04 | $355.67 | $383.20 | 12.98% | 8 | |
| 2021-12-21 | 2021-12-22 | $312.84 | $336.29 | 2.86% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.29% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.14% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.62% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-12-07 | 2021-12-08 | $350.58 | $356.32 | 2.82% | 2 | |
| 2021-12-03 | 2021-12-06 | $338.32 | $336.34 | -4.63% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -3.84% | 7 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -11.62% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.79% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.26% | 2 |