Strategy Zoo / S0904
PriceMomentum_V0904
ARCHIVEDhybridllmLowered the ret_20d entry threshold to capture more signals; added a flexible price-structure entry (price > sma_50 OR 20-day breakout) to work across regimes; relaxed cumulative-252d filter to avoid over-pruning; broadened trend gate to include SIDEWAYS and limit to low/medium volatility; improved exits to include a milder momentum stop, a sma_50 price exit, and a drawdown guard; reduced base position to 0.8 to lower risk and improve validation robustness.
Fitness
0.3400
Generation
41
Complexity
12
Created
2026-09-30
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0981; changed ret_20d threshold -0.0981 -> -0.1688
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0904 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
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 > -0.4):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | 28.4% | -3.7% | 4.9% |
| Total Return | 6.9% | 111.9% | -13.1% | 101.6% |
| Sharpe | 0.14 | 1.11 | -0.06 | 0.33 |
| Sortino | 0.12 | 1.06 | -0.05 | 0.28 |
| Calmar | 0.02 | 1.03 | -0.11 | 0.12 |
| Volatility | 19.9% | 25.6% | 22.0% | 21.7% |
| Max DD | -41.8% | -27.7% | -32.9% | -41.8% |
| Win Rate | 30.0% | 42.9% | 27.3% | 31.4% |
| Avg Win | 9.3% | 25.0% | 13.9% | 14.6% |
| Avg Loss | -3.8% | -6.6% | -5.1% | -4.5% |
| Payoff | 2.45 | 3.78 | 2.72 | 3.21 |
| Expectancy | 0.1% | 6.9% | 0.1% | 1.5% |
| Profit Factor | 1.05 | 2.83 | 1.02 | 1.47 |
| Trades | 50 | 14 | 22 | 86 |
| Avg Holding Days | 13.6 | 20.7 | 13.0 | 14.9 |
| Turnover | 10.1 | 7.5 | 9.7 | 9.4 |
| Exposure | 26.1% | 29.2% | 23.9% | 26.2% |
Growth of $100
PriceMomentum_V0904 vs TSLA Buy & Hold
PriceMomentum_V0904 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 | 7.4% | 0.61 | -12.6% | 4 |
| 2017 | 12.9% | 0.71 | -13.3% | 12 |
| 2018 | -19.4% | -1.65 | -19.4% | 4 |
| 2019 | 8.8% | 0.47 | -22.0% | 5 |
| 2020 | 79.1% | 2.71 | -9.7% | 4 |
| 2021 | 14.4% | 0.60 | -27.7% | 7 |
| 2022 | 0.4% | 0.13 | -19.1% | 3 |
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 | 274 | -14.6% | -1.27 | 9% |
| hidden test | EXPENSIVE | 83 | 57.8% | 1.80 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.0% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 434 | 27.7% | 1.34 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.8% | -1.38 | 32% |
| hidden test | NORMAL | 807 | -7.5% | -0.35 | 23% |
| hidden test | SIDEWAYS | 293 | -17.7% | -0.82 | 28% |
| hidden test | UPTREND | 371 | 21.4% | 0.78 | 31% |
| train | DOWNTREND | 518 | -9.6% | -0.81 | 9% |
| train | EXPENSIVE | 311 | 37.1% | 1.47 | 38% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -2.1% | -0.11 | 2% |
| train | LOW VOLATILITY | 745 | 29.6% | 1.47 | 47% |
| train | MEDIUM VOLATILITY | 568 | -26.4% | -1.27 | 27% |
| train | NORMAL | 1,601 | -4.3% | -0.22 | 25% |
| train | SIDEWAYS | 592 | -11.2% | -0.62 | 21% |
| train | UPTREND | 902 | 19.1% | 0.79 | 39% |
| validation | DOWNTREND | 125 | 35.4% | 2.27 | 6% |
| validation | EXPENSIVE | 138 | 104.0% | 3.17 | 47% |
| validation | EXTREME | 144 | 37.8% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 14.3% | 0.66 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 67.3% | 1.93 | 38% |
| validation | NORMAL | 474 | 3.4% | 0.13 | 32% |
| validation | SIDEWAYS | 206 | -23.7% | -1.02 | 29% |
| validation | UPTREND | 425 | 51.4% | 1.79 | 36% |
Trades (full period)
87 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | -3.39% | 15 | OPEN |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.03% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 14.70% | 59 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.94% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 25.07% | 19 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.88% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.22% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-09 | 2023-10-16 | $259.67 | $253.92 | -3.04% | 6 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-05-19 | 2023-08-03 | $180.14 | $259.32 | 33.95% | 52 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -13.68% | 9 | |
| 2022-09-12 | 2022-09-26 | $304.42 | $276.01 | -6.64% | 11 | |
| 2022-07-19 | 2022-09-01 | $245.53 | $277.16 | 11.61% | 33 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -3.69% | 26 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -7.85% | 4 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-06-24 | 2021-11-10 | $226.61 | $355.98 | 43.27% | 98 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -4.21% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -9.60% | 29 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 35.18% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-10-13 | 2020-10-29 | $148.88 | $136.94 | -6.73% | 13 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 41.61% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-27 | 2019-10-07 | $16.14 | $15.85 | -3.83% | 7 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 1.99% | 19 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -6.74% | 2 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -7.21% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2018-01-03 | 2018-01-04 | $21.15 | $20.97 | -0.98% | 2 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-08-30 | 2017-09-26 | $23.55 | $23.02 | -0.63% | 19 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.81% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -7.64% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 18.99% | 51 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.31% | 27 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-17 | 2016-05-04 | $15.09 | $14.84 | 3.71% | 34 | |
| 2015-12-17 | 2016-01-05 | $15.56 | $14.90 | -3.91% | 12 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.90% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 19.31% | 79 | |
| 2015-02-20 | 2015-02-24 | $14.47 | $13.61 | -1.79% | 3 | |
| 2015-02-06 | 2015-02-13 | $14.49 | $13.58 | -6.74% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-06-16 | 2014-09-23 | $14.97 | $16.69 | 16.79% | 70 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -5.39% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -5.63% | 7 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -1.12% | 34 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.89% | 21 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.52% | 47 | |
| 2012-10-09 | 2012-10-10 | $1.89 | $1.89 | -2.56% | 2 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -12.24% | 7 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -1.50% | 13 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.02% | 38 |