Strategy Zoo / S0940
PriceMomentum_V0940
ARCHIVEDhybridllmSimplified and regularized entries: require breakout_20 plus moderate 20d momentum or a stronger pure-momentum leg with 20d > 12% and reasonable 252d cumulative performance to reduce overfitting. Added regime gates: only trade in UPTREND, non-high volatility, and NORMAL bubble to avoid stressed regimes. Improved exits: larger fixed stop (ret_20d < -3%), exit on close below sma_50, and hard drawdown cut (-8%) to limit max-drawdown. Reduced base_position from 1.0 to 0.6 to lower risk/turnover.
Fitness
0.3515
Generation
43
Complexity
15
Created
2026-09-30
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0940 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((ret_20d > 0.03 and breakout_20 == 1 and (close > sma_50 or sma_50_slope > 0.0)) or (ret_20d > 0.12 and cumret_252d > -0.1)):
position = 0.6
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 29.1% | -6.5% | 4.0% |
| Total Return | 5.1% | 115.2% | -22.2% | 79.1% |
| Sharpe | 0.11 | 1.51 | -0.52 | 0.37 |
| Sortino | 0.07 | 1.38 | -0.29 | 0.25 |
| Calmar | 0.03 | 1.38 | -0.21 | 0.11 |
| Volatility | 11.1% | 18.0% | 11.7% | 13.0% |
| Max DD | -19.1% | -21.1% | -31.5% | -36.2% |
| Win Rate | 44.2% | 44.4% | 46.8% | 45.1% |
| Avg Win | 1.5% | 5.5% | 1.5% | 2.5% |
| Avg Loss | -1.2% | -1.4% | -1.9% | -1.5% |
| Payoff | 1.24 | 3.96 | 0.80 | 1.71 |
| Expectancy | -0.0% | 1.7% | -0.3% | 0.3% |
| Profit Factor | 0.98 | 3.17 | 0.71 | 1.41 |
| Trades | 113 | 54 | 79 | 246 |
| Avg Holding Days | 3.7 | 4.1 | 2.3 | 3.4 |
| Turnover | 17.1 | 21.6 | 25.5 | 20.1 |
| Exposure | 9.6% | 13.1% | 6.7% | 9.6% |
Growth of $100
PriceMomentum_V0940 vs TSLA Buy & Hold
PriceMomentum_V0940 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 | 3.6% | 0.63 | -3.6% | 19 |
| 2017 | 4.4% | 0.42 | -9.5% | 22 |
| 2018 | -3.9% | -0.88 | -4.6% | 4 |
| 2019 | 5.3% | 0.73 | -4.5% | 12 |
| 2020 | 123.9% | 3.63 | -7.2% | 6 |
| 2021 | -0.1% | 0.09 | -21.1% | 25 |
| 2022 | -6.1% | -0.66 | -10.0% | 23 |
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 | -6.7% | -1.16 | 2% |
| hidden test | EXPENSIVE | 83 | -18.4% | -1.03 | 15% |
| hidden test | EXTREME | 48 | 19.9% | 1.05 | 9% |
| hidden test | HIGH VOLATILITY | 254 | -12.1% | -1.10 | 1% |
| hidden test | LOW VOLATILITY | 434 | 10.6% | 0.97 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.9% | -2.17 | 8% |
| hidden test | NORMAL | 807 | -6.3% | -0.62 | 6% |
| hidden test | SIDEWAYS | 293 | -16.6% | -1.45 | 5% |
| hidden test | UPTREND | 371 | 2.7% | 0.18 | 11% |
| train | DOWNTREND | 518 | -1.6% | -0.57 | 2% |
| train | EXPENSIVE | 311 | 14.3% | 0.80 | 19% |
| train | EXTREME | 100 | 31.5% | 1.83 | 17% |
| train | HIGH VOLATILITY | 699 | -0.5% | -0.06 | 1% |
| train | LOW VOLATILITY | 745 | 10.9% | 0.93 | 18% |
| train | MEDIUM VOLATILITY | 568 | -9.3% | -0.71 | 10% |
| train | NORMAL | 1,601 | -3.2% | -0.37 | 7% |
| train | SIDEWAYS | 592 | -1.7% | -0.25 | 4% |
| train | UPTREND | 902 | 4.9% | 0.32 | 18% |
| validation | DOWNTREND | 125 | -3.5% | -0.56 | 2% |
| validation | EXPENSIVE | 138 | 58.0% | 2.29 | 30% |
| validation | EXTREME | 144 | 100.1% | 4.35 | 14% |
| validation | HIGH VOLATILITY | 258 | 10.4% | 0.75 | 1% |
| validation | LOW VOLATILITY | 183 | 6.5% | 0.59 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 52.9% | 2.27 | 23% |
| validation | NORMAL | 474 | -4.0% | -0.32 | 8% |
| validation | SIDEWAYS | 206 | -19.3% | -2.46 | 6% |
| validation | UPTREND | 425 | 58.7% | 2.56 | 20% |
Trades (full period)
latest 100 of 246
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-24 | $380.12 | $377.94 | 0.07% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -3.67% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.14% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -0.88% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -2.86% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.12% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 0.95% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.68% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.32% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-15 | 2026-01-02 | $475.31 | $438.07 | -1.24% | 13 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -5.10% | 5 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -2.78% | 3 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.55% | 2 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.39% | 3 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.67% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.42% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.03% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 0.76% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.20% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.16% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.20% | 2 | |
| 2024-12-11 | 2024-12-19 | $424.77 | $436.17 | 5.85% | 7 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.48% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.08% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.58% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.33% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.01% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.32% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 0.76% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 0.90% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 0.94% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 2.36% | 2 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 2.79% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -0.62% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 1.74% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.69% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.58% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 1.24% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.09% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.21% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.12% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -4.05% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.05% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.03% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -3.02% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-04 | 2022-04-06 | $381.82 | $348.59 | 0.31% | 3 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.02% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.30% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 |