Strategy Zoo / S0920
PriceMomentum_V0920
ARCHIVEDhybridllmSimplified and regularized entry into two robust branches (momentum + trend-follow), tightened and diversified exits (larger multi-condition stoploss, daily crash exit, RSI overbought, drawdown cap), added regime gates to trade only in UPTREND and not in HIGH volatility or bubble EXTREME, added position scaling rules to reduce size on high volatility and near 52w highs, reduced base position to lower overall risk — aiming to reduce overfitting and improve walk-forward stability.
Fitness
0.0709
Generation
42
Complexity
18
Created
2026-09-30
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.3135
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0920 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.06 and rel_volume > 1.2 and ret_1d > -0.03) or (close > sma_200 and sma_200_slope > 0.0 and sma_50_slope > 0.0 and ret_60d > 0.02)):
position = 0.8
if long and (ret_20d < -0.02 or ret_1d < -0.07 or rsi_14 > 80.0 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | -8.6% | -7.1% | -4.1% |
| Total Return | -7.3% | -23.5% | -23.9% | -46.0% |
| Sharpe | -0.00 | -0.42 | -0.46 | -0.22 |
| Sortino | -0.00 | -0.22 | -0.20 | -0.12 |
| Calmar | -0.04 | -0.24 | -0.20 | -0.08 |
| Volatility | 13.3% | 17.6% | 13.8% | 14.4% |
| Max DD | -25.4% | -35.4% | -35.6% | -51.1% |
| Win Rate | 44.3% | 40.6% | 50.0% | 45.0% |
| Avg Win | 2.9% | 4.9% | 2.6% | 3.2% |
| Avg Loss | -2.3% | -4.4% | -3.8% | -3.1% |
| Payoff | 1.24 | 1.11 | 0.69 | 1.01 |
| Expectancy | -0.0% | -0.6% | -0.6% | -0.3% |
| Profit Factor | 0.98 | 0.76 | 0.69 | 0.83 |
| Trades | 79 | 32 | 40 | 151 |
| Avg Holding Days | 5.1 | 4.3 | 3.0 | 4.4 |
| Turnover | 15.8 | 17.1 | 17.2 | 16.4 |
| Exposure | 12.8% | 11.1% | 6.9% | 10.9% |
Growth of $100
PriceMomentum_V0920 vs TSLA Buy & Hold
PriceMomentum_V0920 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 | -2.0% | -0.24 | -7.5% | 4 |
| 2017 | 22.7% | 2.53 | -4.0% | 14 |
| 2018 | -17.4% | -1.66 | -17.4% | 4 |
| 2019 | 5.9% | 0.73 | -5.9% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -2.4% | 0.01 | -23.4% | 26 |
| 2022 | -29.3% | -2.01 | -31.3% | 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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -24.3% | -1.68 | 1% |
| hidden test | LOW VOLATILITY | 434 | 1.4% | 0.12 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.6% | -0.10 | 9% |
| hidden test | NORMAL | 807 | -10.9% | -0.77 | 8% |
| hidden test | SIDEWAYS | 293 | -25.2% | -1.83 | 2% |
| hidden test | UPTREND | 371 | 3.8% | 0.21 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.9% | 1.48 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.0% | -0.10 | 1% |
| train | LOW VOLATILITY | 745 | 9.7% | 0.67 | 24% |
| train | MEDIUM VOLATILITY | 568 | -11.7% | -0.78 | 13% |
| train | NORMAL | 1,601 | -1.6% | -0.11 | 16% |
| train | SIDEWAYS | 592 | -9.5% | -1.47 | 1% |
| train | UPTREND | 902 | 6.1% | 0.32 | 28% |
| 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 | -2.8% | -0.17 | 1% |
| validation | LOW VOLATILITY | 183 | 18.3% | 1.51 | 24% |
| validation | MEDIUM VOLATILITY | 315 | -26.1% | -1.23 | 11% |
| validation | NORMAL | 474 | -11.8% | -0.53 | 18% |
| validation | SIDEWAYS | 206 | -28.2% | -1.95 | 2% |
| validation | UPTREND | 425 | 0.5% | 0.02 | 19% |
Trades (full period)
latest 100 of 151
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.55% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.65% | 2 | |
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -2.52% | 23 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.33% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.51% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.15% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.00% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.39% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.74% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -5.47% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.71% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 2.43% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -10.54% | 6 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.81% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.10% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 5.70% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.42% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.43% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.04% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.56% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.92% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.48% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.06% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-05 | 2023-06-08 | $217.61 | $234.86 | 3.79% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2022-01-03 | 2022-01-04 | $399.93 | $383.20 | 10.66% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.33% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.56% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 4.45% | 2 | |
| 2021-12-21 | 2021-12-22 | $312.84 | $336.29 | 3.27% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.33% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.30% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -4.14% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -3.78% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.63% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.92% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -13.23% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.58% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-08-24 | 2021-10-19 | $236.16 | $288.09 | 18.06% | 40 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.57% | 13 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.18% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -4.03% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 4.92% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -6.60% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -1.91% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.78% | 2 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2018-12-20 | 2018-12-21 | $21.03 | $21.32 | -4.38% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -2.18% | 16 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-10-23 | 2017-10-24 | $22.47 | $22.49 | -2.03% | 2 | |
| 2017-10-19 | 2017-10-20 | $23.45 | $23.01 | -1.90% | 2 | |
| 2017-10-17 | 2017-10-18 | $23.72 | $23.98 | 1.01% | 2 | |
| 2017-10-13 | 2017-10-16 | $23.70 | $23.37 | -0.18% | 2 | |
| 2017-10-10 | 2017-10-12 | $23.71 | $23.71 | 2.56% | 3 | |
| 2017-10-03 | 2017-10-05 | $23.21 | $23.69 | 2.99% | 3 | |
| 2017-09-29 | 2017-10-02 | $22.74 | $22.77 | 0.19% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-22 | 2017-03-23 | $17.00 | $16.99 | 1.22% | 2 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.03% | 2 | |
| 2017-03-16 | 2017-03-17 | $17.47 | $17.43 | 1.82% | 2 | |
| 2017-03-14 | 2017-03-15 | $17.20 | $17.05 | 3.68% | 2 | |
| 2017-03-10 | 2017-03-13 | $16.25 | $16.41 | -0.55% | 2 | |
| 2017-01-05 | 2017-01-24 | $15.12 | $16.97 | 7.51% | 13 | |
| 2016-08-19 | 2016-08-23 | $15.00 | $14.99 | -0.37% | 3 | |
| 2016-08-12 | 2016-08-18 | $15.04 | $14.90 | -0.75% | 5 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.78% | 21 | |
| 2015-08-04 | 2015-08-07 | $17.75 | $16.17 | -4.37% | 4 | |
| 2015-07-29 | 2015-08-03 | $17.59 | $17.33 | 0.24% | 4 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 2.69% | 53 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-10-21 | 2014-10-22 | $15.69 | $15.41 | 1.53% | 2 |