Strategy Zoo / S0984
PriceMomentum_V0984
ARCHIVEDhybridllmAdded trend momentum confirmation (sma_50_slope>0) to reduce false breakouts; gated entries to non-bear regimes and not during high volatility/bubble; improved exits: small-term stop (ret_5d<-5%), trend-reversal exit (sma_50_slope<0) and profit target (ret_20d>15%); volatility-based position sizing (scale up in low vol, scale down in high vol) and raised base_position to 0.8.
Fitness
0.1768
Generation
45
Complexity
11
Created
2026-10-01
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0984 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and breakout_50 == 1 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_5d < -0.05 or sma_50_slope < 0.0 or ret_20d > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | 4.4% | 5.5% | 1.7% |
| Total Return | -7.7% | 13.8% | 22.0% | 28.1% |
| Sharpe | -0.06 | 0.65 | 0.68 | 0.23 |
| Sortino | -0.02 | 0.25 | 0.21 | 0.09 |
| Calmar | -0.04 | 0.51 | 0.65 | 0.07 |
| Volatility | 9.6% | 7.0% | 8.3% | 8.8% |
| Max DD | -24.3% | -8.7% | -8.4% | -24.3% |
| Win Rate | 54.5% | 63.6% | 80.0% | 62.7% |
| Avg Win | 2.0% | 3.5% | 3.0% | 2.6% |
| Avg Loss | -2.8% | -2.6% | -5.0% | -3.1% |
| Payoff | 0.72 | 1.33 | 0.61 | 0.86 |
| Expectancy | -0.2% | 1.3% | 1.4% | 0.5% |
| Profit Factor | 0.87 | 2.33 | 2.42 | 1.44 |
| Trades | 33 | 11 | 15 | 59 |
| Avg Holding Days | 5.5 | 5.4 | 3.1 | 4.9 |
| Turnover | 6.6 | 5.9 | 6.4 | 6.4 |
| Exposure | 5.9% | 5.1% | 2.7% | 4.9% |
Growth of $100
PriceMomentum_V0984 vs TSLA Buy & Hold
PriceMomentum_V0984 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 | -0.2% | -0.04 | -2.8% | 3 |
| 2017 | 2.4% | 0.97 | -1.0% | 5 |
| 2018 | -12.9% | -1.23 | -13.6% | 2 |
| 2019 | 13.2% | 0.93 | -2.6% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 18.4% | 1.54 | -8.7% | 7 |
| 2022 | -3.9% | -0.97 | -3.9% | 4 |
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 | 17.6% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.1% | -1.00 | 0% |
| hidden test | LOW VOLATILITY | 434 | 13.4% | 1.34 | 5% |
| hidden test | MEDIUM VOLATILITY | 251 | -1.8% | -0.19 | 2% |
| hidden test | NORMAL | 808 | 4.8% | 0.57 | 3% |
| hidden test | SIDEWAYS | 293 | -7.0% | -1.17 | 4% |
| hidden test | UPTREND | 371 | 19.9% | 1.64 | 4% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.4% | 0.82 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.5% | 0.27 | 0% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.44 | 13% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -1.37 | 4% |
| train | NORMAL | 1,601 | -1.0% | -0.09 | 7% |
| train | SIDEWAYS | 592 | -5.8% | -0.92 | 3% |
| train | UPTREND | 902 | 2.6% | 0.19 | 11% |
| 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 | 10.9% | 1.07 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 4.6% | 0.61 | 2% |
| validation | NORMAL | 474 | 7.3% | 0.82 | 8% |
| validation | SIDEWAYS | 206 | 0.8% | 0.88 | 0% |
| validation | UPTREND | 425 | 7.7% | 0.83 | 9% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-19 | $443.30 | $404.11 | -6.52% | 4 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.29% | 2 | |
| 2025-08-27 | 2025-09-15 | $349.60 | $410.04 | 9.88% | 13 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-06-27 | 2024-07-02 | $197.42 | $231.26 | 5.32% | 4 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.71% | 4 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 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 | -0.87% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.73% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.94% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 6.63% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.86% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.66% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.24% | 2 | |
| 2021-09-08 | 2021-10-19 | $251.29 | $288.09 | 12.15% | 30 | |
| 2021-08-04 | 2021-08-18 | $236.97 | $229.66 | -5.11% | 11 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.29% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.93% | 2 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -5.18% | 10 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 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 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.08% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -2.64% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.58% | 2 | |
| 2015-07-21 | 2015-07-28 | $17.78 | $17.65 | -8.49% | 6 | |
| 2015-05-29 | 2015-07-13 | $16.72 | $17.48 | 2.37% | 31 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.19% | 2 | |
| 2015-05-06 | 2015-05-13 | $15.36 | $16.21 | 3.87% | 6 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-09-05 | 2014-09-16 | $18.49 | $17.38 | -9.18% | 8 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 4.11% | 2 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.41% | 2 | |
| 2014-08-18 | 2014-08-19 | $17.33 | $17.12 | -0.79% | 2 | |
| 2014-08-14 | 2014-08-15 | $17.43 | $17.47 | 0.17% | 2 | |
| 2014-08-12 | 2014-08-13 | $17.33 | $17.35 | 0.04% | 2 | |
| 2014-08-07 | 2014-08-08 | $16.83 | $16.54 | 0.95% | 2 | |
| 2014-07-01 | 2014-07-02 | $15.98 | $15.30 | -0.27% | 2 | |
| 2014-06-24 | 2014-06-30 | $15.50 | $16.00 | 0.47% | 5 | |
| 2012-12-12 | 2013-01-24 | $2.35 | $2.47 | 1.53% | 29 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.73% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.95% | 2 | |
| 2012-11-20 | 2012-11-21 | $2.20 | $2.16 | 0.03% | 2 | |
| 2012-03-13 | 2012-04-05 | $2.41 | $2.30 | -2.26% | 18 |