Strategy Zoo / S0917
PriceMomentum_V0917
ARCHIVEDhybridllmRelaxed entry threshold (ret_20d 3.5% vs 5%), added momentum/breakout confirmation (macd_hist OR breakout_20) and excluded extreme volatility (vol_pctile < 0.9). Strengthened exits into a multi-condition rule (20d and 5d loss stops plus RSI overbought) to cut losses and lock gains. Added regime gates to only trade in UPTREND and non-high volatility, non-bubble regimes. Reduced base position to 0.85 to lower risk and improve validation robustness.
Fitness
0.1303
Generation
42
Complexity
13
Created
2026-09-30
Lineage
Parents (1)
logic of PriceMomentum_V0567 with risk overlay of PriceMomentum_V0730
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0917 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.035 and (breakout_20 > 0.5 or macd_hist > 0.0) and vol_pctile < 0.9):
position = 0.85
if long and (ret_20d < -0.015 or ret_5d < -0.03 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.2% | -2.7% | 0.7% | 0.3% |
| Total Return | 10.2% | -7.9% | 2.8% | 4.3% |
| Sharpe | 0.18 | -0.21 | 0.12 | 0.08 |
| Sortino | 0.08 | -0.09 | 0.05 | 0.03 |
| Calmar | 0.07 | -0.10 | 0.04 | 0.01 |
| Volatility | 9.4% | 10.4% | 12.3% | 10.4% |
| Max DD | -18.4% | -27.8% | -20.6% | -36.8% |
| Win Rate | 53.3% | 40.0% | 56.5% | 51.5% |
| Avg Win | 3.4% | 5.1% | 3.3% | 3.7% |
| Avg Loss | -3.0% | -4.0% | -3.8% | -3.5% |
| Payoff | 1.15 | 1.25 | 0.87 | 1.04 |
| Expectancy | 0.4% | -0.4% | 0.2% | 0.2% |
| Profit Factor | 1.31 | 0.84 | 1.13 | 1.10 |
| Trades | 30 | 15 | 23 | 68 |
| Avg Holding Days | 6.5 | 4.9 | 3.3 | 5.1 |
| Turnover | 6.4 | 8.5 | 10.5 | 7.9 |
| Exposure | 7.0% | 6.6% | 4.7% | 6.3% |
Growth of $100
PriceMomentum_V0917 vs TSLA Buy & Hold
PriceMomentum_V0917 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 | -2.7% | -0.37 | -5.8% | 4 |
| 2017 | 6.0% | 1.53 | -0.8% | 6 |
| 2018 | -7.9% | -1.22 | -7.9% | 2 |
| 2019 | 3.6% | 0.66 | -1.7% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 19.9% | 1.26 | -6.1% | 10 |
| 2022 | -23.2% | -2.76 | -23.1% | 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 | 274 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 18.2% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.3% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 434 | 3.4% | 0.32 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | 8.2% | 0.53 | 7% |
| hidden test | NORMAL | 807 | -0.1% | -0.01 | 5% |
| hidden test | SIDEWAYS | 293 | -4.7% | -1.50 | 1% |
| hidden test | UPTREND | 371 | 7.5% | 0.39 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.8% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.9% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 5.9% | 0.52 | 16% |
| train | MEDIUM VOLATILITY | 568 | -7.8% | -0.96 | 3% |
| train | NORMAL | 1,601 | 0.8% | 0.07 | 9% |
| train | SIDEWAYS | 592 | -4.6% | -1.23 | 1% |
| train | UPTREND | 902 | 6.7% | 0.49 | 15% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 3.4% | 0.29 | 22% |
| validation | MEDIUM VOLATILITY | 315 | -7.2% | -0.54 | 3% |
| validation | NORMAL | 474 | -3.5% | -0.27 | 11% |
| validation | SIDEWAYS | 206 | -13.7% | -1.80 | 1% |
| validation | UPTREND | 425 | 2.7% | 0.21 | 11% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.38% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.30% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.08% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.04% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.71% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 1.03% | 3 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.02% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.51% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.86% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.04% | 4 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -7.34% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.98% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.60% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 8.49% | 2 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -8.19% | 4 | |
| 2023-07-05 | 2023-07-12 | $282.48 | $271.99 | -3.21% | 6 | |
| 2023-06-21 | 2023-06-27 | $259.46 | $250.21 | -10.55% | 5 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.37% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.80% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.72% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.72% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.27% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.47% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.81% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.65% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.80% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.72% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.58% | 3 | |
| 2021-11-08 | 2021-11-09 | $387.65 | $341.17 | -4.28% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.95% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.74% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.74% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.45% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 10.58% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.60% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.74% | 2 | |
| 2021-09-01 | 2021-10-18 | $244.70 | $290.04 | 12.13% | 33 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.11% | 9 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.98% | 3 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.31% | 2 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -2.81% | 9 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.26% | 4 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.27% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.77% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.17% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.83% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.21% | 5 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.59% | 3 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -2.66% | 18 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.99% | 2 | |
| 2016-04-07 | 2016-04-14 | $17.15 | $16.79 | -3.65% | 6 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.75% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -5.24% | 5 | |
| 2015-05-19 | 2015-07-09 | $16.48 | $17.19 | 2.02% | 36 | |
| 2015-05-14 | 2015-05-18 | $16.27 | $16.58 | 1.80% | 3 | |
| 2015-05-11 | 2015-05-13 | $15.97 | $16.21 | 2.74% | 3 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.80% | 3 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -7.36% | 7 | |
| 2014-09-04 | 2014-09-05 | $19.07 | $18.49 | 1.29% | 2 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 15.90% | 21 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.20% | 9 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 13.43% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.84% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.59% | 8 | |
| 2012-03-13 | 2012-03-21 | $2.41 | $2.34 | -2.64% | 7 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.66% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.31% | 2 |