Strategy Zoo / S0882
PriceMomentum_V0882
ARCHIVEDhybridllmLowered the ret_20d entry threshold and added structure: require positive 50-day slope and either a 20-day breakout or positive 60-day momentum. Added regime gating to only trade in uptrends, normal bubble conditions and avoid high volatility (allow medium). Strengthened exits (20d loss < -2%, drawdown > 8%, or negative MACD histogram). Implemented position sizing rules: cut size in high vol (vol_pctile > 0.8 -> 0.4) and full size on breakouts. Reduced base position to 0.8 to limit drawdown.
Fitness
0.4521
Generation
40
Complexity
10
Created
2026-09-29
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0882 [hybrid]
if flat and (ret_20d > 0.12 and (breakout_20 > 0.5 or momentum_60 > 0.0) and sma_50_slope > 0.0):
position = 0.8
if long and (ret_20d < -0.02 or drawdown > 0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.8% | 42.6% | 5.3% | 15.4% |
| Total Return | 127.6% | 190.0% | 21.0% | 717.2% |
| Sharpe | 0.61 | 1.29 | 0.37 | 0.74 |
| Sortino | 0.47 | 1.11 | 0.25 | 0.57 |
| Calmar | 0.28 | 1.32 | 0.18 | 0.40 |
| Volatility | 20.2% | 31.2% | 18.5% | 22.6% |
| Max DD | -38.1% | -32.2% | -28.8% | -38.2% |
| Win Rate | 47.8% | 61.9% | 41.2% | 50.3% |
| Avg Win | 6.7% | 7.4% | 5.6% | 6.8% |
| Avg Loss | -2.9% | -3.8% | -2.7% | -3.0% |
| Payoff | 2.31 | 1.93 | 2.07 | 2.25 |
| Expectancy | 1.7% | 3.1% | 0.7% | 1.9% |
| Profit Factor | 2.12 | 3.14 | 1.45 | 2.28 |
| Trades | 67 | 42 | 34 | 143 |
| Avg Holding Days | 7.0 | 5.5 | 5.6 | 6.3 |
| Turnover | 13.5 | 22.4 | 14.6 | 15.6 |
| Exposure | 16.2% | 19.9% | 13.3% | 16.2% |
Growth of $100
PriceMomentum_V0882 vs TSLA Buy & Hold
PriceMomentum_V0882 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 | 5.1% | 0.65 | -6.3% | 3 |
| 2017 | 22.9% | 1.62 | -6.1% | 9 |
| 2018 | -21.4% | -1.32 | -26.6% | 7 |
| 2019 | 6.3% | 0.38 | -17.8% | 4 |
| 2020 | 191.3% | 2.51 | -23.1% | 22 |
| 2021 | 31.8% | 1.33 | -13.5% | 12 |
| 2022 | -24.8% | -2.13 | -25.8% | 7 |
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 | 7.7% | 0.28 | 31% |
| hidden test | EXTREME | 48 | 120.9% | 3.22 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 1.0% | 0.04 | 16% |
| hidden test | LOW VOLATILITY | 433 | 18.5% | 1.31 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.5% | -0.39 | 14% |
| hidden test | NORMAL | 806 | -0.0% | -0.00 | 10% |
| hidden test | SIDEWAYS | 293 | -19.6% | -1.51 | 8% |
| hidden test | UPTREND | 371 | 32.8% | 1.21 | 27% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 12.6% | 0.51 | 32% |
| train | EXTREME | 100 | 251.9% | 4.47 | 64% |
| train | HIGH VOLATILITY | 699 | 25.1% | 0.85 | 19% |
| train | LOW VOLATILITY | 745 | 4.8% | 0.39 | 21% |
| train | MEDIUM VOLATILITY | 568 | 6.4% | 0.49 | 7% |
| train | NORMAL | 1,601 | -2.7% | -0.20 | 10% |
| train | SIDEWAYS | 592 | -13.2% | -1.10 | 5% |
| train | UPTREND | 902 | 36.1% | 1.27 | 33% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.5% | 2.43 | 33% |
| validation | EXTREME | 144 | 154.8% | 2.74 | 46% |
| validation | HIGH VOLATILITY | 258 | 39.6% | 0.93 | 21% |
| validation | LOW VOLATILITY | 183 | 17.6% | 1.51 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 54.2% | 1.93 | 25% |
| validation | NORMAL | 474 | -5.3% | -0.32 | 8% |
| validation | SIDEWAYS | 206 | -3.9% | -0.50 | 3% |
| validation | UPTREND | 425 | 73.6% | 1.79 | 34% |
Trades (full period)
latest 100 of 143
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-14 | 2026-05-21 | $443.30 | $417.85 | -5.18% | 6 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 6.73% | 16 | |
| 2025-08-29 | 2025-09-03 | $333.87 | $334.09 | -4.01% | 3 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.04% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.02% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -2.80% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.57% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 13.06% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.32% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.60% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 12.21% | 16 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 3.64% | 21 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -3.42% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.42% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -1.79% | 2 | |
| 2024-06-28 | 2024-07-22 | $197.88 | $251.51 | 16.70% | 16 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.21% | 2 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -2.53% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -9.23% | 7 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.23% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.38% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.10% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -2.42% | 2 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 18.07% | 18 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.87% | 4 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 21.91% | 20 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.36% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.03% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -3.48% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 5.58% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.14% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 8.57% | 2 | |
| 2020-08-19 | 2020-09-08 | $125.24 | $110.07 | 8.75% | 14 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 2.87% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.78% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -3.44% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 21.05% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 5.42% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.29% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 5.58% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.20% | 2 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.04% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -10.40% | 2 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 74.41% | 45 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-23 | 2019-11-21 | $16.98 | $23.66 | 29.45% | 22 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -7.34% | 8 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-11-23 | 2018-11-26 | $21.72 | $23.07 | -3.08% | 2 | |
| 2018-11-08 | 2018-11-21 | $23.43 | $22.55 | -0.27% | 10 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -10.18% | 12 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -5.94% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -1.75% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.42% | 2 | |
| 2018-06-13 | 2018-06-26 | $22.99 | $22.80 | -2.37% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.25% | 13 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 8.65% | 17 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.92% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.48% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 0.95% | 13 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 4.52% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.25% | 2 | |
| 2016-12-29 | 2017-02-02 | $14.31 | $16.77 | 10.48% | 24 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.68% | 2 | |
| 2016-04-01 | 2016-04-14 | $15.84 | $16.79 | 8.43% | 10 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -7.34% | 4 |