Strategy Zoo / S0922
PriceMomentum_V0922
ARCHIVEDhybridllmSimplified and regularized entry: require price > sma_50, 20d momentum > 4%, trend support (sma_50 or sma_200 slope positive), RSI <75 and avoid extreme vol (vol_pctile <0.85). Stronger, multi-condition exit: 20d stop (-6%), close below sma_50, or extreme RSI. Added regime gates to avoid selling in downtrends/high-volatility/bubble states (only UPTREND/SIDEWAYS, LOW/MEDIUM volatility, NORMAL bubble). Position sizing scaled by recent volatility (full size in low vol, medium size in moderate vol) and reduced base position to lower risk and improve out-of-sample robustness.
Fitness
0.0530
Generation
42
Complexity
15
Created
2026-09-30
Lineage
Parents (1)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0922 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (close > sma_50 and ret_20d > 0.04 and (sma_50_slope > 0.0 or sma_200_slope > 0.0) and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 0.4
if long and (ret_20d < -0.06 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.8% | -5.4% | -2.4% | -2.1% |
| Total Return | -6.0% | -15.2% | -8.7% | -27.3% |
| Sharpe | -0.06 | -0.62 | -0.23 | -0.23 |
| Sortino | -0.04 | -0.36 | -0.14 | -0.14 |
| Calmar | -0.03 | -0.34 | -0.21 | -0.06 |
| Volatility | 7.8% | 8.3% | 8.8% | 8.1% |
| Max DD | -23.4% | -15.9% | -11.4% | -36.5% |
| Win Rate | 38.2% | 10.0% | 35.0% | 32.8% |
| Avg Win | 3.2% | 8.6% | 4.2% | 3.8% |
| Avg Loss | -2.2% | -2.7% | -2.8% | -2.5% |
| Payoff | 1.46 | 3.18 | 1.49 | 1.52 |
| Expectancy | -0.1% | -1.6% | -0.4% | -0.4% |
| Profit Factor | 0.90 | 0.35 | 0.80 | 0.74 |
| Trades | 34 | 10 | 20 | 64 |
| Avg Holding Days | 12.9 | 16.5 | 9.7 | 12.4 |
| Turnover | 3.4 | 2.7 | 4.3 | 3.5 |
| Exposure | 8.0% | 8.2% | 7.4% | 7.9% |
Growth of $100
PriceMomentum_V0922 vs TSLA Buy & Hold
PriceMomentum_V0922 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 | -1.2% | -0.21 | -7.1% | 2 |
| 2017 | 5.4% | 1.55 | -2.2% | 3 |
| 2018 | -9.6% | -1.58 | -10.0% | 3 |
| 2019 | 0.5% | 0.10 | -9.9% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -8.6% | -0.86 | -9.6% | 7 |
| 2022 | -7.3% | -0.67 | -15.1% | 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 | -1.4% | -1.38 | 0% |
| hidden test | EXPENSIVE | 83 | 17.1% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -3.6% | -0.47 | 1% |
| hidden test | LOW VOLATILITY | 434 | 6.7% | 0.79 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.6% | -1.53 | 7% |
| hidden test | NORMAL | 807 | -4.1% | -0.45 | 8% |
| hidden test | SIDEWAYS | 293 | -12.4% | -1.18 | 13% |
| hidden test | UPTREND | 371 | 5.7% | 0.55 | 8% |
| train | DOWNTREND | 518 | -1.6% | -1.02 | 0% |
| train | EXPENSIVE | 311 | 3.2% | 1.29 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.5% | -0.06 | 0% |
| train | LOW VOLATILITY | 745 | 7.1% | 0.86 | 16% |
| train | MEDIUM VOLATILITY | 568 | -10.4% | -1.40 | 7% |
| train | NORMAL | 1,601 | -1.2% | -0.14 | 10% |
| train | SIDEWAYS | 592 | -7.1% | -0.89 | 8% |
| train | UPTREND | 902 | 4.5% | 0.47 | 13% |
| 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 | -4.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.2% | 0.13 | 21% |
| validation | MEDIUM VOLATILITY | 315 | -9.2% | -0.92 | 7% |
| validation | NORMAL | 474 | -8.2% | -0.79 | 13% |
| validation | SIDEWAYS | 206 | -16.4% | -1.46 | 13% |
| validation | UPTREND | 425 | -1.2% | -0.16 | 8% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -1.92% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -0.89% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -1.83% | 14 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 6.36% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -0.76% | 9 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -7.35% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 3.28% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 2.62% | 2 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -5.15% | 8 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 2.31% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.46% | 2 | |
| 2024-06-14 | 2024-07-03 | $178.01 | $246.39 | 10.11% | 13 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -1.88% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.24% | 2 | |
| 2023-10-09 | 2023-10-13 | $259.67 | $251.12 | -0.33% | 5 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -2.71% | 9 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.53% | 29 | |
| 2023-05-31 | 2023-06-08 | $203.93 | $234.86 | 4.45% | 7 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -4.39% | 4 | |
| 2023-02-28 | 2023-03-09 | $205.71 | $172.92 | -5.12% | 8 | |
| 2022-09-12 | 2022-09-26 | $304.42 | $276.01 | -3.32% | 11 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -2.60% | 22 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -1.49% | 26 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -2.52% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -2.17% | 7 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -4.87% | 2 | |
| 2021-08-03 | 2021-10-19 | $236.58 | $288.09 | 8.63% | 55 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -0.70% | 24 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -2.11% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -4.62% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 2.99% | 17 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 6.46% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -3.98% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -4.54% | 5 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -3.59% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -2.28% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -4.03% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.50% | 10 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.29% | 2 | |
| 2016-12-30 | 2017-01-24 | $14.25 | $16.97 | 6.07% | 16 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -1.81% | 25 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.87% | 28 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -2.49% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -3.63% | 2 | |
| 2015-04-29 | 2015-07-28 | $15.50 | $17.65 | 4.00% | 63 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -0.94% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -2.53% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.37% | 9 | |
| 2014-09-08 | 2014-09-23 | $18.81 | $16.69 | -4.01% | 12 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 7.27% | 21 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 2.18% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.27% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.21% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.38% | 5 | |
| 2014-01-13 | 2014-01-14 | $9.29 | $10.75 | -1.83% | 2 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 0.56% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 6.70% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -3.26% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.04% | 3 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 1.87% | 47 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -0.64% | 13 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -2.05% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 2.42% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.23% | 38 |