Strategy Zoo / S0987
PriceMomentum_V0987
ARCHIVEDmomentumllmRestricted regime to UPTREND and non-HIGH volatility / non-EXTREME bubble to improve signal consistency. Replaced single strict ret_20d entry with an AND of moderate 20d momentum (>3%), short-term momentum (>0 on ret_5d), and price above sma_50 (dist_sma_50>0) to generalize and avoid overfitting. Broadened exit to an OR of 20d stop (-3%), short-term stop (-2% on 5d), or negative MACD histogram to cut losses/rotations earlier. Added position scaling: reduce to 0.4 when vol_pctile>0.8 and to 0.3 on large drawdowns (<-15%). Lowered base_position to 0.8 to reduce leverage/turnover and improve walk-forward robustness.
Fitness
0.3119
Generation
45
Complexity
11
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0987 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.03 and ret_5d > 0.0 and dist_sma_50 > 0.0):
position = 0.8
if long and (ret_20d < -0.03 or ret_5d < -0.02 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 22.7% | 4.2% | 6.9% |
| Total Return | 20.9% | 84.7% | 16.5% | 166.4% |
| Sharpe | 0.26 | 1.26 | 0.37 | 0.55 |
| Sortino | 0.15 | 1.02 | 0.16 | 0.33 |
| Calmar | 0.10 | 0.72 | 0.25 | 0.22 |
| Volatility | 12.1% | 17.4% | 13.7% | 13.8% |
| Max DD | -23.0% | -31.3% | -16.6% | -31.3% |
| Win Rate | 36.8% | 53.6% | 52.2% | 43.7% |
| Avg Win | 3.8% | 7.8% | 4.6% | 5.5% |
| Avg Loss | -1.9% | -3.3% | -3.3% | -2.4% |
| Payoff | 1.99 | 2.38 | 1.38 | 2.27 |
| Expectancy | 0.2% | 2.6% | 0.8% | 1.0% |
| Profit Factor | 1.15 | 2.74 | 1.51 | 1.77 |
| Trades | 68 | 28 | 23 | 119 |
| Avg Holding Days | 4.3 | 5.4 | 4.4 | 4.7 |
| Turnover | 13.7 | 14.9 | 9.9 | 12.9 |
| Exposure | 9.4% | 12.9% | 6.6% | 9.5% |
Growth of $100
PriceMomentum_V0987 vs TSLA Buy & Hold
PriceMomentum_V0987 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 | -0.3% | -0.02 | -7.1% | 5 |
| 2017 | 17.1% | 1.29 | -8.9% | 15 |
| 2018 | -9.0% | -1.63 | -8.9% | 5 |
| 2019 | 5.1% | 0.58 | -7.2% | 4 |
| 2020 | 64.4% | 2.60 | -6.4% | 7 |
| 2021 | 42.8% | 1.88 | -10.1% | 15 |
| 2022 | -23.7% | -2.69 | -23.6% | 6 |
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 | 1.5% | 0.07 | 25% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 434 | 19.5% | 1.63 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | -7.0% | -0.39 | 10% |
| hidden test | NORMAL | 808 | 5.7% | 0.45 | 5% |
| hidden test | SIDEWAYS | 293 | -1.9% | -1.39 | 1% |
| hidden test | UPTREND | 371 | 14.3% | 0.66 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 41.7% | 2.13 | 22% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.9% | 0.67 | 1% |
| train | LOW VOLATILITY | 745 | 3.7% | 0.27 | 20% |
| train | MEDIUM VOLATILITY | 568 | -3.5% | -0.33 | 6% |
| train | NORMAL | 1,601 | -4.8% | -0.46 | 8% |
| train | SIDEWAYS | 592 | -3.3% | -1.05 | 1% |
| train | UPTREND | 902 | 9.1% | 0.51 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 93.3% | 3.44 | 30% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 13.0% | 0.93 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 45.2% | 1.82 | 17% |
| validation | NORMAL | 474 | -1.5% | -0.10 | 11% |
| validation | SIDEWAYS | 206 | -14.8% | -1.90 | 1% |
| validation | UPTREND | 425 | 46.2% | 2.05 | 22% |
Trades (full period)
latest 100 of 119
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 13.02% | 17 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -4.62% | 5 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 36.12% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 1.92% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.04% | 4 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 19.26% | 6 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 3.30% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-17 | 2020-12-23 | $218.63 | $215.33 | 2.18% | 5 | |
| 2020-12-10 | 2020-12-16 | $209.02 | $207.59 | 3.66% | 5 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2019-12-05 | 2019-12-06 | $22.02 | $22.39 | -0.80% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-10-09 | 2017-10-10 | $22.86 | $23.71 | -3.28% | 2 | |
| 2017-10-05 | 2017-10-06 | $23.69 | $23.79 | -0.09% | 2 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -2.96% | 5 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-16 | $21.65 | $21.13 | -1.94% | 3 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.25% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.48% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 4.52% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.25% | 2 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 7.62% | 20 | |
| 2016-07-26 | 2016-08-08 | $15.30 | $15.08 | -0.14% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.88% | 2 | |
| 2016-04-18 | 2016-04-19 | $16.93 | $16.49 | -0.36% | 2 | |
| 2016-04-05 | 2016-04-13 | $17.03 | $16.97 | 0.15% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-20 | 2015-07-22 | $18.82 | $17.86 | -2.43% | 3 | |
| 2015-07-16 | 2015-07-17 | $17.78 | $18.31 | 0.92% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-12 | 2015-06-15 | $16.71 | $16.69 | -0.39% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.05% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.59% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.14% | 2 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -7.41% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 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 | |
| 2014-08-05 | 2014-08-22 | $15.90 | $17.12 | 5.14% | 14 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.67% | 2 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.18% | 9 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 |