Strategy Zoo / S0879
PriceMomentum_V0879
ARCHIVEDhybridllmReduced base position to 0.7 to lower risk; added volatility filter (vol_pctile<0.75) in entry to avoid extreme volatility; relaxed and simplified momentum regime (ret_20d>6%) with trend confirmation (price>200sma & sma_200_slope>0) or softer 60d momentum; loosened cumulative drawdown requirement; expanded exit rules to include short-term stop (ret_5d<-5%), milder 20d stop (ret_20d<-8%), and an absolute drawdown stop (>12%). Restricted regimes to avoid downturns and high/bubble regimes for robustness.
Fitness
0.1255
Generation
40
Complexity
17
Created
2026-09-29
Lineage
Parents (1)
swapped indicator ret_20d -> ret_60d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0879 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and (((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2) and cumret_252d > -0.25 and vol_pctile < 0.75)):
position = 0.7
if long and (ret_5d < -0.05 or ret_20d < -0.08 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | -2.8% | 3.7% | 0.8% |
| Total Return | 6.4% | -8.2% | 14.5% | 11.9% |
| Sharpe | 0.12 | -0.10 | 0.31 | 0.13 |
| Sortino | 0.08 | -0.07 | 0.18 | 0.08 |
| Calmar | 0.02 | -0.09 | 0.16 | 0.02 |
| Volatility | 13.8% | 15.6% | 15.4% | 14.6% |
| Max DD | -41.1% | -33.0% | -22.8% | -41.1% |
| Win Rate | 43.2% | 33.3% | 41.7% | 40.5% |
| Avg Win | 6.0% | 7.6% | 6.1% | 6.3% |
| Avg Loss | -4.0% | -4.1% | -3.1% | -3.7% |
| Payoff | 1.51 | 1.88 | 1.98 | 1.70 |
| Expectancy | 0.3% | -0.2% | 0.7% | 0.3% |
| Profit Factor | 1.15 | 0.94 | 1.42 | 1.16 |
| Trades | 37 | 18 | 24 | 79 |
| Avg Holding Days | 12.6 | 9.9 | 7.9 | 10.6 |
| Turnover | 6.5 | 8.4 | 9.0 | 7.5 |
| Exposure | 14.9% | 14.9% | 12.3% | 14.3% |
Growth of $100
PriceMomentum_V0879 vs TSLA Buy & Hold
PriceMomentum_V0879 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 | -17.2% | -1.39 | -23.2% | 6 |
| 2017 | 10.9% | 1.68 | -3.8% | 3 |
| 2018 | -15.7% | -1.68 | -16.0% | 3 |
| 2019 | 3.5% | 0.28 | -15.6% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 14.6% | 0.75 | -16.0% | 8 |
| 2022 | -19.9% | -1.24 | -33.0% | 10 |
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 | -1.1% | -1.02 | 0% |
| hidden test | EXPENSIVE | 83 | 30.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.3% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 433 | 17.6% | 1.21 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.2% | 0.01 | 12% |
| hidden test | NORMAL | 806 | 2.6% | 0.16 | 14% |
| hidden test | SIDEWAYS | 293 | -12.7% | -0.78 | 20% |
| hidden test | UPTREND | 371 | 23.1% | 1.17 | 15% |
| train | DOWNTREND | 518 | -3.2% | -0.68 | 1% |
| train | EXPENSIVE | 311 | 7.4% | 1.59 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.2% | 0.01 | 1% |
| train | LOW VOLATILITY | 745 | 16.8% | 1.15 | 31% |
| train | MEDIUM VOLATILITY | 568 | -16.2% | -1.22 | 12% |
| train | NORMAL | 1,601 | 0.7% | 0.05 | 19% |
| train | SIDEWAYS | 592 | -13.9% | -0.92 | 17% |
| train | UPTREND | 902 | 14.8% | 0.92 | 22% |
| 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 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 8.3% | 0.52 | 37% |
| validation | MEDIUM VOLATILITY | 315 | -4.0% | -0.21 | 14% |
| validation | NORMAL | 474 | -2.6% | -0.13 | 24% |
| validation | SIDEWAYS | 206 | -23.7% | -1.21 | 24% |
| validation | UPTREND | 425 | 8.6% | 0.55 | 15% |
Trades (full period)
79 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-05 | $433.59 | $391.00 | -1.35% | 9 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.36% | 8 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -0.75% | 12 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 11.24% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.27% | 8 | |
| 2025-07-31 | 2025-08-05 | $308.27 | $308.72 | -2.27% | 4 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -10.11% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.58% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -7.82% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 15.58% | 11 | |
| 2023-11-17 | 2024-01-04 | $234.30 | $237.93 | 1.46% | 32 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.46% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.39% | 2 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 3.58% | 17 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -5.80% | 4 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -7.79% | 4 | |
| 2022-08-24 | 2022-08-31 | $297.10 | $275.61 | -4.59% | 6 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.49% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.98% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -3.38% | 7 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -9.02% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 7.88% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 30.22% | 56 | |
| 2021-07-21 | 2021-08-18 | $218.43 | $229.66 | 0.50% | 21 | |
| 2021-07-09 | 2021-07-20 | $218.98 | $220.17 | -0.81% | 8 | |
| 2021-06-14 | 2021-07-08 | $205.90 | $217.60 | 3.90% | 18 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.56% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.82% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.12% | 6 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 9.47% | 11 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 10.68% | 7 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.10% | 2 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -6.61% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2018-12-07 | 2018-12-19 | $23.86 | $22.20 | -5.15% | 9 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -7.35% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -1.86% | 3 | |
| 2016-07-22 | 2016-08-31 | $14.82 | $14.13 | -3.01% | 29 | |
| 2016-06-16 | 2016-06-23 | $14.53 | $13.09 | -6.87% | 6 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -5.40% | 6 | |
| 2016-03-28 | 2016-05-02 | $15.35 | $16.12 | 3.94% | 26 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.18% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-07-15 | 2015-07-28 | $17.54 | $17.65 | -3.42% | 10 | |
| 2015-04-28 | 2015-07-13 | $15.37 | $17.48 | 8.22% | 53 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.65% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.42% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-07-11 | 2014-09-16 | $14.54 | $17.38 | 10.88% | 47 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.13% | 2 | |
| 2014-05-28 | 2014-07-08 | $14.02 | $14.60 | 3.66% | 29 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -7.51% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.39% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2012-11-06 | 2013-01-24 | $2.08 | $2.47 | 9.83% | 54 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.68% | 4 | |
| 2012-07-03 | 2012-07-23 | $2.04 | $2.04 | 3.19% | 14 | |
| 2012-06-29 | 2012-07-02 | $2.09 | $2.03 | -0.41% | 2 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.18% | 5 | |
| 2012-02-15 | 2012-04-05 | $2.24 | $2.30 | 3.97% | 36 |