Strategy Zoo / S0986
PriceMomentum_V0986
ARCHIVEDhybridllmRelaxed regime gating to allow UPTREND and SIDEWAYS (exclude DOWNTREND) and restrict HIGH volatility; removed bubble-only restriction. Added a momentum-based alternate entry (macd_hist + rsi + low vol + short-term return) to improve robustness. Tightened vol_chg threshold on breakout branch. Improved exits: added SMA-50 distance and short-term momentum stop to reduce drawdowns. Added position sizing rules: scale up in low-vol/strong setups, scale down in very high vol, and lowered base position to reduce risk.
Fitness
0.3365
Generation
45
Complexity
19
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0986 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.1) or (macd_hist > 0.0 and rsi_14 < 70.0 and vol_pctile < 0.8 and ret_5d > 0.01)):
position = 0.6
if long and (ret_20d < -0.12 or dist_sma_50 < -0.08 or (macd_hist < 0.0 and ret_5d < -0.03)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.3% | 36.7% | 1.9% | 5.9% |
| Total Return | -17.1% | 155.5% | 7.2% | 131.0% |
| Sharpe | -0.07 | 1.57 | 0.19 | 0.42 |
| Sortino | -0.06 | 1.73 | 0.16 | 0.36 |
| Calmar | -0.06 | 1.50 | 0.09 | 0.14 |
| Volatility | 15.5% | 21.3% | 17.2% | 17.3% |
| Max DD | -40.6% | -24.5% | -20.7% | -40.6% |
| Win Rate | 32.1% | 50.0% | 39.5% | 38.1% |
| Avg Win | 4.5% | 9.3% | 4.3% | 6.2% |
| Avg Loss | -2.6% | -2.9% | -2.3% | -2.6% |
| Payoff | 1.74 | 3.16 | 1.82 | 2.38 |
| Expectancy | -0.3% | 3.2% | 0.3% | 0.7% |
| Profit Factor | 0.82 | 3.16 | 1.19 | 1.46 |
| Trades | 78 | 34 | 43 | 155 |
| Avg Holding Days | 9.2 | 9.8 | 7.8 | 9.1 |
| Turnover | 11.8 | 13.6 | 13.8 | 12.6 |
| Exposure | 19.8% | 23.7% | 18.7% | 20.3% |
Growth of $100
PriceMomentum_V0986 vs TSLA Buy & Hold
PriceMomentum_V0986 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 | -3.0% | -0.24 | -8.4% | 8 |
| 2017 | 3.6% | 0.32 | -13.9% | 15 |
| 2018 | -3.7% | -0.52 | -8.1% | 3 |
| 2019 | 6.8% | 0.46 | -15.1% | 9 |
| 2020 | 114.7% | 3.38 | -7.7% | 10 |
| 2021 | 19.4% | 0.90 | -18.8% | 11 |
| 2022 | -10.0% | -0.62 | -24.5% | 12 |
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 | -2.9% | -1.74 | 1% |
| hidden test | EXPENSIVE | 83 | 21.8% | 0.96 | 31% |
| hidden test | EXTREME | 48 | 17.7% | 0.93 | 10% |
| hidden test | HIGH VOLATILITY | 254 | -17.1% | -1.27 | 2% |
| hidden test | LOW VOLATILITY | 434 | 24.2% | 1.56 | 25% |
| hidden test | MEDIUM VOLATILITY | 251 | -12.0% | -0.54 | 25% |
| hidden test | NORMAL | 808 | 0.6% | 0.04 | 18% |
| hidden test | SIDEWAYS | 293 | -26.2% | -1.34 | 28% |
| hidden test | UPTREND | 371 | 31.3% | 1.49 | 24% |
| train | DOWNTREND | 518 | -12.7% | -1.31 | 2% |
| train | EXPENSIVE | 311 | 14.0% | 0.73 | 26% |
| train | EXTREME | 100 | 36.6% | 2.09 | 18% |
| train | HIGH VOLATILITY | 699 | -4.0% | -0.26 | 1% |
| train | LOW VOLATILITY | 745 | 15.6% | 1.11 | 35% |
| train | MEDIUM VOLATILITY | 568 | -19.6% | -1.14 | 23% |
| train | NORMAL | 1,601 | -6.4% | -0.44 | 19% |
| train | SIDEWAYS | 592 | -11.8% | -0.85 | 22% |
| train | UPTREND | 902 | 12.4% | 0.66 | 29% |
| validation | DOWNTREND | 125 | -0.4% | -1.89 | 0% |
| validation | EXPENSIVE | 138 | 45.6% | 1.76 | 33% |
| validation | EXTREME | 144 | 104.9% | 4.52 | 14% |
| validation | HIGH VOLATILITY | 258 | 24.4% | 1.56 | 2% |
| validation | LOW VOLATILITY | 183 | 16.5% | 0.99 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 50.9% | 1.88 | 32% |
| validation | NORMAL | 474 | 8.4% | 0.44 | 24% |
| validation | SIDEWAYS | 206 | -5.8% | -0.31 | 25% |
| validation | UPTREND | 425 | 62.6% | 2.48 | 30% |
Trades (full period)
latest 100 of 155
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-22 | 2026-06-04 | $426.01 | $418.45 | 0.76% | 9 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.78% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-11 | 2026-03-16 | $407.82 | $395.56 | -1.31% | 4 | |
| 2026-02-26 | 2026-03-04 | $408.58 | $405.94 | -3.73% | 5 | |
| 2026-02-12 | 2026-02-24 | $417.07 | $409.38 | -4.13% | 8 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 4.08% | 21 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -4.37% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.18% | 17 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -3.16% | 2 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 14.58% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.22% | 2 | |
| 2025-07-17 | 2025-08-04 | $319.41 | $309.26 | -3.57% | 13 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-05-19 | 2025-06-04 | $342.09 | $332.05 | -1.01% | 12 | |
| 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 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | 0.06% | 4 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 16.56% | 17 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.31% | 2 | |
| 2023-11-14 | 2024-01-04 | $237.41 | $237.93 | 4.02% | 35 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -3.39% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 0.68% | 2 | |
| 2023-10-06 | 2023-10-18 | $260.53 | $242.68 | -1.30% | 9 | |
| 2023-08-28 | 2023-09-25 | $238.82 | $246.99 | 1.76% | 20 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -1.99% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 4.58% | 10 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.13% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.30% | 2 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.10% | 10 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.33% | 2 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -4.98% | 4 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.20% | 9 | |
| 2022-08-24 | 2022-08-31 | $297.10 | $275.61 | -3.94% | 6 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.13% | 7 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.19% | 9 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.72% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-18 | 2022-04-11 | $301.80 | $325.31 | 10.41% | 17 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.19% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 0.96% | 2 | |
| 2022-02-10 | 2022-02-11 | $301.52 | $286.67 | -1.89% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 5.78% | 6 | |
| 2021-11-23 | 2021-12-06 | $369.68 | $336.34 | -7.53% | 9 | |
| 2021-08-23 | 2021-11-10 | $235.43 | $355.98 | 28.50% | 57 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-07-21 | 2021-08-17 | $218.43 | $221.90 | 2.29% | 20 | |
| 2021-07-13 | 2021-07-20 | $222.85 | $220.17 | -3.60% | 6 | |
| 2021-06-11 | 2021-07-12 | $203.30 | $228.57 | 4.51% | 21 | |
| 2021-05-27 | 2021-06-03 | $210.28 | $190.95 | -1.47% | 5 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-08 | 2021-04-29 | $227.93 | $225.67 | 2.16% | 16 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -2.57% | 8 | |
| 2020-12-30 | 2021-02-01 | $231.59 | $279.94 | 11.37% | 22 | |
| 2020-11-18 | 2020-12-29 | $162.21 | $222.00 | 28.32% | 28 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -2.86% | 3 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.33% | 2 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -2.87% | 7 | |
| 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 | |
| 2020-06-30 | 2020-07-06 | $71.99 | $91.44 | 11.44% | 4 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.72% | 2 | |
| 2020-05-28 | 2020-06-25 | $53.72 | $65.73 | 10.23% | 21 | |
| 2019-12-03 | 2020-01-31 | $22.41 | $43.37 | 48.23% | 41 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.36% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 3.51% | 2 | |
| 2019-09-10 | 2019-09-25 | $15.70 | $15.25 | -2.24% | 12 | |
| 2019-09-06 | 2019-09-09 | $15.16 | $15.45 | -0.68% | 2 | |
| 2019-09-03 | 2019-09-05 | $15.00 | $15.31 | -1.43% | 3 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -3.89% | 3 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.05% | 13 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-11 | 2018-02-06 | $22.53 | $22.26 | -0.36% | 18 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-12-07 | 2017-12-08 | $20.75 | $21.01 | -0.51% | 2 | |
| 2017-10-17 | 2017-10-24 | $23.72 | $22.49 | -2.44% | 6 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.16% | 10 | |
| 2017-08-25 | 2017-09-11 | $23.20 | $24.25 | -1.73% | 11 | |
| 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 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -1.61% | 2 | |
| 2017-06-05 | 2017-06-30 | $23.15 | $24.11 | 3.64% | 20 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -3.28% | 5 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -2.06% | 10 |