Strategy Zoo / S0857
PriceMomentum_V0857
ARCHIVEDhybridllmSimplified and de-noised entry rules: replaced nested ret_20d thresholds with a clearer momentum arm (ret_20d>4% + sma_50 cross or 20-day breakout) plus a volatility-filtered breakout arm. Added regime gates to avoid clear downtrends and extreme bubbles. Strengthened exits: larger fixed short-term stop (ret_20d<-3%), explicit drawdown cap, and high-RSI exit to cut overheated positions. Reduced base risk and introduced graded position sizing by volatility and bubble regime to improve generalization and limit drawdowns.
Fitness
0.1779
Generation
39
Complexity
21
Created
2026-09-29
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0857 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.04 and (close > sma_50 or breakout_20 > 0.5) and cumret_252d > -0.25) or (breakout_20 > 0.5 and vol_pctile < 0.8)):
position = 0.7
if long and (ret_20d < -0.03 or drawdown > 0.12 or rsi_14 > 75.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.bubble == "EXPENSIVE": position *= 0.5
if regime.bubble == "EXTREME": position *= 0.2Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | 3.4% | -2.0% | 0.7% |
| Total Return | 6.9% | 10.5% | -7.3% | 10.6% |
| Sharpe | 0.13 | 0.31 | -0.05 | 0.12 |
| Sortino | 0.11 | 0.26 | -0.04 | 0.10 |
| Calmar | 0.02 | 0.14 | -0.12 | 0.02 |
| Volatility | 14.1% | 13.8% | 15.8% | 14.5% |
| Max DD | -44.0% | -25.0% | -16.8% | -44.0% |
| Win Rate | 52.8% | 54.8% | 54.5% | 53.9% |
| Avg Win | 2.7% | 3.2% | 2.7% | 2.8% |
| Avg Loss | -2.7% | -3.0% | -3.6% | -2.9% |
| Payoff | 1.00 | 1.08 | 0.77 | 0.95 |
| Expectancy | 0.1% | 0.4% | -0.1% | 0.2% |
| Profit Factor | 1.12 | 1.32 | 0.92 | 1.11 |
| Trades | 89 | 31 | 33 | 154 |
| Avg Holding Days | 9.8 | 9.4 | 10.3 | 9.8 |
| Turnover | 11.1 | 9.4 | 10.6 | 10.6 |
| Exposure | 18.0% | 16.1% | 16.8% | 17.3% |
Growth of $100
PriceMomentum_V0857 vs TSLA Buy & Hold
PriceMomentum_V0857 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 | -16.3% | -1.43 | -19.4% | 8 |
| 2017 | 4.7% | 0.59 | -6.7% | 21 |
| 2018 | -10.4% | -0.93 | -15.2% | 8 |
| 2019 | 11.0% | 0.64 | -13.1% | 14 |
| 2020 | 22.0% | 3.01 | -3.0% | 12 |
| 2021 | 8.1% | 0.52 | -14.6% | 14 |
| 2022 | -17.0% | -1.27 | -22.4% | 5 |
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 | -2.1% | -1.39 | 0% |
| hidden test | EXPENSIVE | 83 | 45.2% | 2.88 | 17% |
| hidden test | EXTREME | 48 | 13.2% | 4.34 | 1% |
| hidden test | HIGH VOLATILITY | 254 | -4.8% | -0.38 | 5% |
| hidden test | LOW VOLATILITY | 433 | 13.9% | 0.88 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.2% | -1.22 | 16% |
| hidden test | NORMAL | 806 | -6.4% | -0.39 | 18% |
| hidden test | SIDEWAYS | 293 | -16.6% | -0.96 | 26% |
| hidden test | UPTREND | 371 | 12.6% | 0.64 | 21% |
| train | DOWNTREND | 518 | -4.3% | -0.97 | 1% |
| train | EXPENSIVE | 311 | 19.7% | 1.97 | 16% |
| train | EXTREME | 100 | 13.6% | 3.36 | 1% |
| train | HIGH VOLATILITY | 699 | 1.5% | 0.10 | 7% |
| train | LOW VOLATILITY | 745 | 15.7% | 1.05 | 32% |
| train | MEDIUM VOLATILITY | 568 | -15.9% | -1.27 | 14% |
| train | NORMAL | 1,601 | -2.4% | -0.16 | 19% |
| train | SIDEWAYS | 592 | -16.6% | -1.11 | 20% |
| train | UPTREND | 902 | 17.4% | 1.03 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 31.1% | 3.20 | 13% |
| validation | EXTREME | 144 | 10.9% | 2.60 | 1% |
| validation | HIGH VOLATILITY | 258 | -3.1% | -0.43 | 2% |
| validation | LOW VOLATILITY | 183 | -0.7% | -0.05 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 13.3% | 0.80 | 16% |
| validation | NORMAL | 474 | -5.5% | -0.34 | 22% |
| validation | SIDEWAYS | 206 | -22.6% | -1.40 | 21% |
| validation | UPTREND | 425 | 18.6% | 1.28 | 19% |
Trades (full period)
latest 100 of 154
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -3.77% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.52% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.09% | 2 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -3.42% | 21 | |
| 2025-09-26 | 2025-11-14 | $440.40 | $404.35 | -3.37% | 36 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 0.64% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 0.70% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.28% | 2 | |
| 2025-08-25 | 2025-09-16 | $346.60 | $421.62 | 12.63% | 16 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-05-12 | 2025-06-13 | $318.38 | $325.31 | 1.71% | 24 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 0.98% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 0.64% | 5 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 0.44% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.33% | 4 | |
| 2024-11-07 | 2024-11-11 | $296.91 | $350.00 | 1.34% | 3 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -6.81% | 27 | |
| 2024-07-11 | 2024-08-02 | $241.03 | $207.67 | -6.37% | 17 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.72% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.92% | 2 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 15.88% | 11 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -1.45% | 37 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.37% | 2 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -6.15% | 13 | |
| 2023-06-21 | 2023-08-02 | $259.46 | $254.11 | -2.34% | 30 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.29% | 4 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -7.97% | 13 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -4.63% | 18 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.89% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.53% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.09% | 27 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -4.74% | 14 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.08% | 2 | |
| 2021-11-08 | 2021-12-01 | $387.65 | $365.00 | -5.81% | 17 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.55% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.58% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.84% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 8.72% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.14% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.61% | 2 | |
| 2021-08-02 | 2021-10-18 | $236.56 | $290.04 | 15.42% | 55 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.47% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -8.88% | 20 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.66% | 22 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 7.84% | 20 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 3.08% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 0.45% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 5.91% | 6 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -1.39% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 0.15% | 10 | |
| 2020-09-09 | 2020-09-15 | $122.09 | $149.92 | 3.10% | 5 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 1.20% | 4 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 1.33% | 4 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 0.56% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.30% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 1.65% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 0.60% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 1.24% | 3 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.12% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.43% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.06% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 1.24% | 2 | |
| 2019-11-20 | 2019-12-17 | $23.48 | $25.27 | 4.84% | 19 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.20% | 2 | |
| 2019-11-14 | 2019-11-15 | $23.29 | $23.48 | 0.18% | 2 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 0.29% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.07% | 2 | |
| 2019-10-30 | 2019-11-07 | $21.00 | $22.37 | 0.75% | 7 | |
| 2019-10-28 | 2019-10-29 | $21.85 | $21.08 | -0.08% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.65% | 9 | |
| 2019-09-11 | 2019-09-27 | $16.47 | $16.14 | -0.57% | 13 | |
| 2019-07-22 | 2019-08-12 | $17.05 | $15.27 | -7.37% | 16 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.95% | 36 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -3.23% | 21 | |
| 2018-06-20 | 2018-07-06 | $24.15 | $20.59 | -3.11% | 12 | |
| 2018-06-18 | 2018-06-19 | $24.72 | $23.50 | 0.82% | 2 | |
| 2018-06-12 | 2018-06-15 | $22.85 | $23.88 | 1.81% | 4 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -3.17% | 5 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -1.53% | 5 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -4.16% | 23 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.43% | 10 | |
| 2017-09-14 | 2017-09-29 | $25.18 | $22.74 | -2.72% | 12 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.35% | 24 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -2.36% | 4 | |
| 2017-06-12 | 2017-06-14 | $23.93 | $25.38 | 1.22% | 3 | |
| 2017-05-31 | 2017-06-09 | $22.73 | $23.82 | 2.54% | 8 | |
| 2017-04-12 | 2017-05-24 | $19.79 | $20.68 | -0.88% | 30 | |
| 2017-04-05 | 2017-04-11 | $19.67 | $20.58 | 0.46% | 5 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 4.06% | 7 | |
| 2017-02-16 | 2017-03-08 | $17.93 | $16.46 | -3.73% | 14 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.02% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.07% | 2 | |
| 2017-02-08 | 2017-02-09 | $17.47 | $17.95 | 0.56% | 2 |