Strategy Zoo / S0963
PriceMomentum_V0963
ARCHIVEDmomentumllmSwitched to UPTREND-only regime and excluded high-volatility/bubble extremes; strengthened entry with trend & breakout filters (sma_50_slope>0 and breakout_20) and slightly relaxed rel_volume to 1.20 to increase signals; added multi-condition exits (intraday stop ret_1d<-3%, portfolio drawdown cap, sma_20 crossing sma_50) to reduce deep drawdowns; added volatility-scaled position sizing (full size in low vol, reduced in higher vol) and lowered base_position to 0.8 to reduce leverage.
Fitness
0.2875
Generation
44
Complexity
14
Created
2026-10-01
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0963 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and rel_volume > 1.2 and sma_50_slope > 0.0 and breakout_20 > 0.0):
position = 0.8
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20 or ret_1d < -0.03 or drawdown < -0.15 or sma_20 < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.2% | 9.8% | 4.2% | 3.6% |
| Total Return | 9.8% | 32.3% | 16.5% | 69.3% |
| Sharpe | 0.21 | 1.13 | 0.60 | 0.53 |
| Sortino | 0.07 | 0.59 | 0.13 | 0.18 |
| Calmar | 0.14 | 1.87 | 0.60 | 0.33 |
| Volatility | 6.7% | 8.5% | 7.2% | 7.2% |
| Max DD | -8.6% | -5.2% | -7.0% | -10.9% |
| Win Rate | 45.5% | 33.3% | 80.0% | 58.3% |
| Avg Win | 4.7% | 39.4% | 3.4% | 6.4% |
| Avg Loss | -2.2% | -2.6% | -5.4% | -2.9% |
| Payoff | 2.13 | 10.00 | 0.63 | 2.20 |
| Expectancy | 0.9% | 11.4% | 1.6% | 2.5% |
| Profit Factor | 1.77 | 7.62 | 2.51 | 3.08 |
| Trades | 11 | 3 | 10 | 24 |
| Avg Holding Days | 11.1 | 11.3 | 2.0 | 7.3 |
| Turnover | 2.2 | 1.6 | 4.3 | 2.6 |
| Exposure | 4.4% | 3.3% | 0.9% | 3.3% |
Growth of $100
PriceMomentum_V0963 vs TSLA Buy & Hold
PriceMomentum_V0963 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 | 3.2% | 0.67 | -2.6% | 1 |
| 2017 | 2.2% | 0.91 | -1.1% | 3 |
| 2018 | -2.6% | -0.47 | -6.1% | 1 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 32.3% | 1.97 | -5.2% | 3 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 275 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.9% | -1.01 | 0% |
| hidden test | LOW VOLATILITY | 434 | 6.3% | 0.97 | 1% |
| hidden test | MEDIUM VOLATILITY | 251 | 12.4% | 1.42 | 1% |
| hidden test | NORMAL | 808 | 3.3% | 0.46 | 1% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 11.1% | 0.96 | 2% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.4% | 0.86 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 6.2% | 0.69 | 11% |
| train | MEDIUM VOLATILITY | 568 | -3.2% | -0.43 | 2% |
| train | NORMAL | 1,601 | 1.5% | 0.20 | 5% |
| train | SIDEWAYS | 592 | -1.6% | -0.67 | 0% |
| train | UPTREND | 902 | 4.2% | 0.43 | 10% |
| 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 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 10.8% | 1.35 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 17.0% | 1.44 | 2% |
| validation | NORMAL | 474 | 15.4% | 1.43 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 17.2% | 1.51 | 6% |
Trades (full period)
24 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.85% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.69% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 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 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.20% | 2 | |
| 2021-09-27 | 2021-11-03 | $263.79 | $404.62 | 39.41% | 28 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -1.93% | 4 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -2.64% | 9 | |
| 2017-01-20 | 2017-01-25 | $16.32 | $16.96 | 3.39% | 4 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.89% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-04-05 | 2016-04-08 | $17.03 | $16.67 | 3.16% | 4 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-05-13 | 2015-07-08 | $16.21 | $17.00 | 7.40% | 39 | |
| 2014-08-07 | 2014-09-08 | $16.83 | $18.81 | 8.94% | 22 | |
| 2014-06-24 | 2014-07-03 | $15.50 | $15.28 | -2.77% | 8 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-03-13 | 2012-04-05 | $2.41 | $2.30 | -2.26% | 18 |