Strategy Zoo / S0944
PriceMomentum_V0944
ARCHIVEDhybridllmAdded trend + volatility regime gating; simplified entry into three clear momentum/breakout branches with volume and trend confirmation; tightened and diversified exits (fixed negative 20d return, stop on drawdown, and SMA50 cross); reduced base position to 60% to limit drawdown risk.
Fitness
0.4319
Generation
43
Complexity
17
Created
2026-09-30
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0944 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((breakout_50 == 1 and ret_20d > 0.015 and rel_volume > 1.2 and sma_50 > sma_200) or (ret_20d > 0.08 and sma_200_slope > 0.0) or (breakout_20 == 1 and ret_20d > 0.03)):
position = 0.6
if long and (ret_20d < -0.02 or drawdown > 0.06 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.7% | 38.6% | -2.3% | 8.5% |
| Total Return | 33.4% | 166.4% | -8.2% | 232.0% |
| Sharpe | 0.32 | 1.68 | -0.06 | 0.57 |
| Sortino | 0.25 | 1.70 | -0.04 | 0.48 |
| Calmar | 0.10 | 1.89 | -0.08 | 0.24 |
| Volatility | 14.9% | 20.7% | 16.5% | 16.7% |
| Max DD | -35.2% | -20.4% | -27.8% | -35.2% |
| Win Rate | 42.2% | 52.9% | 38.5% | 43.2% |
| Avg Win | 5.4% | 15.6% | 6.2% | 8.4% |
| Avg Loss | -3.0% | -3.1% | -3.7% | -3.2% |
| Payoff | 1.81 | 4.98 | 1.66 | 2.60 |
| Expectancy | 0.6% | 6.8% | 0.1% | 1.8% |
| Profit Factor | 1.32 | 5.61 | 1.04 | 1.98 |
| Trades | 45 | 17 | 26 | 88 |
| Avg Holding Days | 14.1 | 17.2 | 10.9 | 14.1 |
| Turnover | 6.8 | 6.8 | 8.5 | 7.2 |
| Exposure | 18.3% | 21.9% | 16.8% | 18.7% |
Growth of $100
PriceMomentum_V0944 vs TSLA Buy & Hold
PriceMomentum_V0944 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 | 6.4% | 0.73 | -8.9% | 4 |
| 2017 | 2.8% | 0.26 | -16.8% | 11 |
| 2018 | -12.6% | -1.55 | -13.2% | 3 |
| 2019 | 9.2% | 0.58 | -14.4% | 4 |
| 2020 | 121.0% | 3.50 | -6.5% | 6 |
| 2021 | 22.5% | 1.07 | -15.8% | 6 |
| 2022 | -3.9% | -0.15 | -20.4% | 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 | -12.3% | -1.49 | 5% |
| hidden test | EXPENSIVE | 83 | 43.3% | 1.80 | 35% |
| hidden test | EXTREME | 48 | 17.7% | 0.93 | 10% |
| hidden test | HIGH VOLATILITY | 254 | -12.6% | -0.99 | 1% |
| hidden test | LOW VOLATILITY | 434 | 23.8% | 1.56 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -32.0% | -1.51 | 22% |
| hidden test | NORMAL | 807 | -6.6% | -0.43 | 15% |
| hidden test | SIDEWAYS | 293 | -13.6% | -0.92 | 18% |
| hidden test | UPTREND | 371 | 17.4% | 0.81 | 24% |
| train | DOWNTREND | 518 | -1.8% | -0.25 | 6% |
| train | EXPENSIVE | 311 | 17.4% | 0.87 | 26% |
| train | EXTREME | 100 | 31.5% | 1.83 | 17% |
| train | HIGH VOLATILITY | 699 | -0.9% | -0.06 | 2% |
| train | LOW VOLATILITY | 745 | 23.1% | 1.56 | 34% |
| train | MEDIUM VOLATILITY | 568 | -12.4% | -0.78 | 18% |
| train | NORMAL | 1,601 | 0.6% | 0.04 | 17% |
| train | SIDEWAYS | 592 | -7.4% | -0.57 | 14% |
| train | UPTREND | 902 | 16.4% | 0.87 | 28% |
| validation | DOWNTREND | 125 | 3.1% | 0.31 | 3% |
| validation | EXPENSIVE | 138 | 55.7% | 2.12 | 33% |
| validation | EXTREME | 144 | 106.6% | 4.56 | 14% |
| validation | HIGH VOLATILITY | 258 | 12.6% | 0.89 | 2% |
| validation | LOW VOLATILITY | 183 | 13.5% | 0.88 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 65.4% | 2.43 | 31% |
| validation | NORMAL | 474 | 6.9% | 0.39 | 21% |
| validation | SIDEWAYS | 206 | -9.9% | -0.61 | 18% |
| validation | UPTREND | 425 | 65.8% | 2.68 | 29% |
Trades (full period)
89 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | — | $380.12 | — | -4.22% | 5 | OPEN |
| 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 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.14% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.25% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -2.77% | 14 | |
| 2025-08-26 | 2025-11-14 | $351.67 | $404.35 | 9.95% | 58 | |
| 2025-08-07 | 2025-08-21 | $322.27 | $320.11 | 0.66% | 11 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -11.41% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.09% | 9 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -7.88% | 15 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 13.31% | 11 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.00% | 3 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -4.41% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.17% | 2 | |
| 2024-02-27 | 2024-02-28 | $199.73 | $202.04 | -0.02% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 26.93% | 51 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.54% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 3.73% | 27 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -4.05% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.49% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 25.37% | 71 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.24% | 22 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.89% | 13 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 44.75% | 58 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.47% | 6 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -4.12% | 4 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 7.42% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 3.73% | 2 | |
| 2020-06-01 | 2020-07-06 | $59.87 | $91.44 | 25.36% | 25 | |
| 2019-11-22 | 2020-01-31 | $22.20 | $43.37 | 43.25% | 47 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -5.95% | 10 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.66% | 18 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -5.06% | 2 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -3.68% | 11 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.05% | 15 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.21% | 11 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -5.36% | 8 | |
| 2017-08-30 | 2017-09-07 | $23.55 | $23.37 | -0.60% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -2.20% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.96% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.03% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.10% | 6 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 14.07% | 51 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.76% | 2 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -1.87% | 18 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-03-17 | 2016-05-03 | $15.09 | $15.49 | 5.36% | 33 | |
| 2015-12-17 | 2016-01-05 | $15.56 | $14.90 | -2.90% | 12 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -3.72% | 6 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 14.36% | 79 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -4.40% | 8 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.79% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.07% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.93% | 30 | |
| 2014-06-16 | 2014-07-16 | $14.97 | $14.48 | 3.87% | 22 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.06% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.66% | 9 | |
| 2014-01-08 | 2014-01-14 | $10.09 | $10.75 | -4.16% | 5 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.22% | 32 | |
| 2013-06-28 | 2013-07-17 | $7.16 | $8.02 | 0.21% | 13 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.66% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.32% | 21 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 4.08% | 45 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -4.81% | 5 | |
| 2012-07-05 | 2012-07-20 | $2.08 | $2.12 | 3.16% | 12 | |
| 2012-07-02 | 2012-07-03 | $2.03 | $2.04 | -1.83% | 2 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.18% | 38 |