Strategy Zoo / S0947
PriceMomentum_V0947
ARCHIVEDhybridllmAdded regime gate to avoid clear downtrends and bubble regimes; replaced fragile multi-threshold entry with two clearer branches (breakout+50SMA momentum and stronger 20d momentum with 200SMA confirmation); tightened and diversified exit rules (20d stop, 50SMA breakdown, extreme RSI); introduced volatility-based position sizing (scale down in high vol) and reduced base position to lower drawdown risk.
Fitness
0.0931
Generation
43
Complexity
20
Created
2026-09-30
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0947 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.03 and breakout_20 == 1 and close > sma_50 and sma_50_slope > 0.0) or (ret_20d > 0.08 and cumret_252d > -0.2 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.18))):
position = 0.8
if long and (ret_20d < -0.02 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.7% | -4.6% | -5.5% | -3.3% |
| Total Return | -12.7% | -13.3% | -19.1% | -38.7% |
| Sharpe | -0.01 | -0.18 | -0.17 | -0.09 |
| Sortino | -0.00 | -0.11 | -0.11 | -0.06 |
| Calmar | -0.03 | -0.14 | -0.17 | -0.06 |
| Volatility | 17.9% | 17.7% | 20.6% | 18.6% |
| Max DD | -53.3% | -32.3% | -32.2% | -57.2% |
| Win Rate | 41.0% | 36.8% | 48.1% | 42.4% |
| Avg Win | 6.5% | 5.1% | 5.3% | 5.8% |
| Avg Loss | -4.7% | -3.9% | -5.9% | -4.9% |
| Payoff | 1.37 | 1.32 | 0.89 | 1.19 |
| Expectancy | -0.1% | -0.6% | -0.5% | -0.3% |
| Profit Factor | 0.96 | 0.77 | 0.83 | 0.87 |
| Trades | 39 | 19 | 27 | 85 |
| Avg Holding Days | 13.3 | 9.6 | 8.6 | 11.0 |
| Turnover | 7.8 | 10.1 | 11.6 | 9.2 |
| Exposure | 19.0% | 17.4% | 17.4% | 18.3% |
Growth of $100
PriceMomentum_V0947 vs TSLA Buy & Hold
PriceMomentum_V0947 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 | -3.7% | -0.30 | -11.5% | 3 |
| 2017 | 11.3% | 1.58 | -4.3% | 3 |
| 2018 | -27.7% | -1.32 | -32.3% | 7 |
| 2019 | 4.8% | 0.31 | -25.0% | 8 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 19.6% | 0.90 | -15.4% | 12 |
| 2022 | -27.6% | -1.45 | -27.5% | 7 |
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 | -1.2% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 43.9% | 2.92 | 3% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.4% | -0.69 | 10% |
| hidden test | LOW VOLATILITY | 434 | 11.8% | 0.71 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -16.0% | -0.73 | 16% |
| hidden test | NORMAL | 807 | -8.6% | -0.40 | 20% |
| hidden test | SIDEWAYS | 293 | -25.9% | -1.13 | 27% |
| hidden test | UPTREND | 371 | 12.4% | 0.48 | 22% |
| train | DOWNTREND | 518 | -5.8% | -1.32 | 1% |
| train | EXPENSIVE | 311 | 8.8% | 1.60 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -3.0% | -0.14 | 11% |
| train | LOW VOLATILITY | 745 | 18.7% | 1.14 | 30% |
| train | MEDIUM VOLATILITY | 568 | -21.2% | -1.35 | 14% |
| train | NORMAL | 1,601 | -1.8% | -0.09 | 24% |
| train | SIDEWAYS | 592 | -16.8% | -0.89 | 21% |
| train | UPTREND | 902 | 14.1% | 0.65 | 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 | -14.1% | -0.98 | 5% |
| validation | LOW VOLATILITY | 183 | 12.1% | 0.74 | 38% |
| validation | MEDIUM VOLATILITY | 315 | -3.0% | -0.15 | 15% |
| validation | NORMAL | 474 | -5.0% | -0.22 | 28% |
| validation | SIDEWAYS | 206 | -19.2% | -0.97 | 24% |
| validation | UPTREND | 425 | 3.7% | 0.19 | 19% |
Trades (full period)
85 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-08-26 | 2025-09-15 | $351.67 | $410.04 | 11.16% | 14 | |
| 2025-08-13 | 2025-08-21 | $339.38 | $320.11 | -4.14% | 7 | |
| 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 | |
| 2025-05-12 | 2025-05-15 | $318.38 | $342.82 | 12.95% | 4 | |
| 2024-09-16 | 2024-10-14 | $226.78 | $219.16 | -4.33% | 21 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-08-02 | $241.03 | $207.67 | -14.21% | 17 | |
| 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 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 13.91% | 5 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.67% | 3 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.58% | 29 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.44% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.68% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.09% | 2 | |
| 2023-05-31 | 2023-06-08 | $203.93 | $234.86 | 9.05% | 7 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -7.60% | 18 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.53% | 20 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -9.42% | 25 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.11% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.58% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-11-08 | 2021-12-01 | $387.65 | $365.00 | -5.01% | 17 | |
| 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 | |
| 2021-08-03 | 2021-10-19 | $236.58 | $288.09 | 17.68% | 55 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.71% | 22 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-04-15 | 2021-04-30 | $246.28 | $236.48 | -6.18% | 12 | |
| 2021-04-06 | 2021-04-07 | $230.54 | $223.66 | -0.09% | 2 | |
| 2019-11-21 | 2019-12-17 | $23.66 | $25.27 | 6.52% | 18 | |
| 2019-11-19 | 2019-11-20 | $23.97 | $23.48 | 2.02% | 2 | |
| 2019-11-13 | 2019-11-18 | $23.07 | $23.33 | 0.35% | 4 | |
| 2019-10-29 | 2019-11-12 | $21.08 | $23.33 | 4.08% | 11 | |
| 2019-10-16 | 2019-10-28 | $17.32 | $21.85 | 21.39% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-08-08 | $17.05 | $15.89 | -7.70% | 14 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -10.53% | 2 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.48% | 36 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.04% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -10.18% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -5.58% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -6.11% | 4 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -5.11% | 23 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 0.84% | 2 | |
| 2016-12-28 | 2017-01-24 | $14.65 | $16.97 | 10.44% | 18 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -2.50% | 18 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 4.83% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -5.69% | 2 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -1.91% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 7.37% | 64 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-09-04 | 2014-09-16 | $19.07 | $17.38 | -7.92% | 9 | |
| 2014-08-05 | 2014-09-03 | $15.90 | $18.75 | 14.91% | 21 | |
| 2014-06-16 | 2014-07-16 | $14.97 | $14.48 | 5.05% | 22 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.27% | 2 | |
| 2013-03-26 | 2013-04-11 | $2.52 | $2.91 | 9.22% | 12 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-09 | 2013-01-10 | $2.02 | $2.24 | 5.86% | 42 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -1.12% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -3.70% | 11 | |
| 2012-02-03 | 2012-04-10 | $2.08 | $2.16 | 7.73% | 46 |