Strategy Zoo / S0968
PriceMomentum_V0968
ARCHIVEDhybridllmReplaced redundant entry checks with a cleaner momentum+breakout regime: require 20d return >6%, 20d breakout, positive 50-day slope, moderate vol (vol_pctile<0.85) and not too far from 52w high. Tighter, multi-condition exit: stop at -8% 20d loss OR extreme RSI (>85) OR drawdown <-12% to limit large losses. Restrict trading to UPTREND and non-HIGH volatility, avoid EXTREME bubble. Added volatility-based scaling (LOW 1.0, MED 0.7, HIGH 0.4) and reduced base position to 0.8 to lower overfitting/size risk.
Fitness
0.2718
Generation
44
Complexity
16
Created
2026-10-01
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND PriceMomentum_V0567
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0968 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.06 and breakout_20 > 0.0 and sma_50_slope > 0.0 and vol_pctile < 0.85 and dist_52w_high < 0.5):
position = 0.8
if long and (ret_20d < -0.08 or rsi_14 > 85.0 or drawdown < -0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.3% | 14.2% | 3.6% | 3.8% |
| Total Return | 2.3% | 49.0% | 14.3% | 74.1% |
| Sharpe | 0.08 | 1.10 | 0.41 | 0.40 |
| Sortino | 0.04 | 0.62 | 0.18 | 0.20 |
| Calmar | 0.02 | 0.79 | 0.29 | 0.21 |
| Volatility | 11.0% | 12.8% | 9.8% | 11.1% |
| Max DD | -16.5% | -18.0% | -12.5% | -18.0% |
| Win Rate | 43.8% | 50.0% | 60.0% | 50.0% |
| Avg Win | 3.9% | 8.3% | 2.7% | 4.6% |
| Avg Loss | -2.7% | -3.1% | -2.3% | -2.7% |
| Payoff | 1.43 | 2.65 | 1.19 | 1.69 |
| Expectancy | 0.2% | 2.6% | 0.7% | 0.9% |
| Profit Factor | 1.11 | 2.65 | 1.78 | 1.69 |
| Trades | 32 | 18 | 20 | 70 |
| Avg Holding Days | 8.6 | 5.3 | 3.6 | 6.3 |
| Turnover | 6.4 | 8.2 | 7.8 | 7.1 |
| Exposure | 8.8% | 6.7% | 4.0% | 7.1% |
Growth of $100
PriceMomentum_V0968 vs TSLA Buy & Hold
PriceMomentum_V0968 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 | 1.6% | 0.42 | -3.6% | 3 |
| 2017 | 3.9% | 0.35 | -9.3% | 13 |
| 2018 | -7.6% | -1.53 | -7.6% | 2 |
| 2019 | 10.1% | 2.00 | -0.6% | 1 |
| 2020 | 35.4% | 2.58 | -4.4% | 3 |
| 2021 | 18.7% | 1.06 | -18.0% | 12 |
| 2022 | -9.3% | -1.84 | -9.2% | 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 | 275 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 9.4% | 0.48 | 16% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -9.6% | -1.43 | 0% |
| hidden test | LOW VOLATILITY | 434 | 13.6% | 1.34 | 6% |
| hidden test | MEDIUM VOLATILITY | 251 | 1.3% | 0.11 | 4% |
| hidden test | NORMAL | 808 | 3.7% | 0.44 | 3% |
| hidden test | SIDEWAYS | 293 | 0.5% | 0.82 | 0% |
| hidden test | UPTREND | 371 | 9.8% | 0.63 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.2% | 1.35 | 19% |
| train | EXTREME | 100 | 6.5% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.0% | 0.46 | 0% |
| train | LOW VOLATILITY | 745 | 7.5% | 0.57 | 17% |
| train | MEDIUM VOLATILITY | 568 | -10.3% | -0.84 | 8% |
| train | NORMAL | 1,601 | -3.8% | -0.40 | 7% |
| train | SIDEWAYS | 592 | -3.4% | -1.11 | 0% |
| train | UPTREND | 902 | 4.2% | 0.26 | 19% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 45.4% | 2.42 | 20% |
| validation | EXTREME | 144 | 21.5% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 9.5% | 0.85 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 28.3% | 1.59 | 9% |
| validation | NORMAL | 474 | 2.7% | 0.24 | 4% |
| validation | SIDEWAYS | 206 | -4.7% | -1.12 | 0% |
| validation | UPTREND | 425 | 27.3% | 1.63 | 12% |
Trades (full period)
70 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -1.81% | 20 | |
| 2025-09-22 | 2025-10-13 | $434.21 | $435.90 | -2.22% | 16 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.04% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -0.96% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.84% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.97% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.05% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.42% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 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 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.61% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.82% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.03% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.63% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 4.64% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.00% | 2 | |
| 2021-10-13 | 2021-10-26 | $270.36 | $339.48 | 21.20% | 10 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.04% | 5 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.06% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-01-26 | 2021-02-23 | $294.36 | $232.95 | -14.63% | 20 | |
| 2020-12-18 | 2021-01-11 | $231.67 | $270.40 | 18.12% | 15 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 16.91% | 13 | |
| 2020-01-14 | 2020-01-22 | $35.86 | $37.97 | 2.33% | 6 | |
| 2020-01-06 | 2020-01-09 | $30.10 | $32.09 | 8.64% | 4 | |
| 2019-12-17 | 2019-12-27 | $25.27 | $28.69 | 10.09% | 8 | |
| 2018-12-07 | 2018-12-19 | $23.86 | $22.20 | -3.54% | 9 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.23% | 4 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -5.03% | 22 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.47% | 2 | |
| 2017-06-06 | 2017-06-14 | $23.52 | $25.38 | 4.26% | 7 | |
| 2017-04-26 | 2017-05-10 | $20.68 | $21.68 | -0.58% | 11 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.31% | 6 | |
| 2017-02-15 | 2017-02-28 | $18.65 | $16.67 | -9.26% | 9 | |
| 2017-02-07 | 2017-02-14 | $17.17 | $18.73 | 6.88% | 6 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.41% | 5 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.21% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.65% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.89% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 1.29% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.33% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 0.64% | 5 | |
| 2015-06-19 | 2015-08-07 | $17.50 | $16.17 | -1.52% | 35 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -1.90% | 3 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.37% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.19% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.59% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-08-05 | 2014-09-23 | $15.90 | $16.69 | 4.92% | 35 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -5.07% | 10 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 12.48% | 8 | |
| 2013-09-20 | 2013-10-10 | $12.23 | $11.53 | -3.55% | 15 | |
| 2013-01-25 | 2013-02-26 | $2.47 | $2.30 | -5.16% | 22 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -3.24% | 20 |