Strategy Zoo / S0876
PriceMomentum_V0876
ARCHIVEDhybridllmSimplified and regime-aware momentum entry: require 20d momentum, positive 1y cumulative filter, and confirmation via sma_50 cross OR volume breakout OR stronger 20d move, plus sma_50 slope>0 to favor rising short-term trend. Tightened cumret requirement. Improved exits: added larger 20d stop, close below sma_50 exit, and a drawdown-based stop for risk control. Added volatility-based position sizing (scale down in high vol, full size in low vol). Adjusted regime gates to avoid downtrends and high-volatility/extreme-bubble environments to reduce drawdowns.
Fitness
0.2917
Generation
40
Complexity
15
Created
2026-09-29
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0876 [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 cumret_252d > -0.15 and (close > sma_50 or rel_volume > 1.2 or ret_20d > 0.085) and sma_50_slope > 0.0):
position = 0.7
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.4% | 19.5% | -2.5% | 5.1% |
| Total Return | 30.2% | 70.5% | -8.8% | 106.7% |
| Sharpe | 0.30 | 1.02 | -0.08 | 0.39 |
| Sortino | 0.20 | 0.78 | -0.04 | 0.26 |
| Calmar | 0.09 | 0.53 | -0.08 | 0.12 |
| Volatility | 14.9% | 19.2% | 15.9% | 16.1% |
| Max DD | -37.1% | -37.1% | -31.6% | -43.8% |
| Win Rate | 43.3% | 40.0% | 33.3% | 40.7% |
| Avg Win | 7.1% | 17.7% | 12.1% | 11.4% |
| Avg Loss | -4.2% | -4.4% | -6.8% | -4.7% |
| Payoff | 1.70 | 4.04 | 1.77 | 2.42 |
| Expectancy | 0.7% | 4.4% | -0.5% | 1.9% |
| Profit Factor | 1.30 | 2.69 | 0.89 | 1.67 |
| Trades | 30 | 15 | 9 | 54 |
| Avg Holding Days | 15.4 | 14.0 | 19.1 | 16.1 |
| Turnover | 5.3 | 7.0 | 3.4 | 5.1 |
| Exposure | 16.0% | 18.1% | 12.2% | 15.5% |
Growth of $100
PriceMomentum_V0876 vs TSLA Buy & Hold
PriceMomentum_V0876 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 | -2.8% | -0.28 | -12.7% | 2 |
| 2017 | 9.1% | 0.63 | -13.5% | 10 |
| 2018 | -12.5% | -1.23 | -13.1% | 3 |
| 2019 | 5.0% | 0.35 | -17.0% | 3 |
| 2020 | 57.8% | 2.58 | -7.5% | 5 |
| 2021 | 39.7% | 1.60 | -16.5% | 5 |
| 2022 | -24.7% | -1.72 | -26.6% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 50.5% | 1.80 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -21.8% | -1.69 | 1% |
| hidden test | LOW VOLATILITY | 433 | 18.3% | 1.33 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -14.1% | -0.67 | 17% |
| hidden test | NORMAL | 806 | -6.6% | -0.46 | 10% |
| hidden test | SIDEWAYS | 293 | -16.2% | -1.30 | 7% |
| hidden test | UPTREND | 371 | 9.8% | 0.43 | 25% |
| train | DOWNTREND | 518 | -0.3% | -0.79 | 0% |
| train | EXPENSIVE | 311 | 29.6% | 1.39 | 29% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 2.9% | 0.20 | 2% |
| train | LOW VOLATILITY | 745 | 22.2% | 1.47 | 31% |
| train | MEDIUM VOLATILITY | 568 | -17.1% | -1.18 | 14% |
| train | NORMAL | 1,601 | -0.7% | -0.05 | 14% |
| train | SIDEWAYS | 592 | -10.1% | -1.00 | 7% |
| train | UPTREND | 902 | 16.6% | 0.80 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 81.0% | 3.00 | 38% |
| validation | EXTREME | 144 | 33.1% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 4.9% | 0.31 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 48.9% | 1.89 | 24% |
| validation | NORMAL | 474 | -2.3% | -0.13 | 17% |
| validation | SIDEWAYS | 206 | -24.2% | -1.74 | 7% |
| validation | UPTREND | 425 | 46.6% | 1.98 | 29% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -8.70% | 17 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.26% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.98% | 59 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -13.28% | 14 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -8.95% | 8 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-07-03 | 2024-07-12 | $246.39 | $248.23 | 2.95% | 7 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -3.94% | 6 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 20.41% | 44 | |
| 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 | -2.17% | 20 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.93% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.82% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 29.89% | 71 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.50% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 30.32% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.88% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 35.76% | 40 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 11.24% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -6.93% | 10 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -9.66% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.88% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.07% | 15 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -6.61% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -6.70% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.51% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.13% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 8.42% | 42 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.28% | 21 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.39% | 28 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-04-29 | 2015-07-28 | $15.50 | $17.65 | 6.85% | 63 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.65% | 6 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.53% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -3.87% | 18 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.73% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 18.38% | 9 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.49% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.59% | 21 | |
| 2012-11-12 | 2013-01-11 | $2.07 | $2.19 | 7.30% | 42 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.06% | 33 |