Strategy Zoo / S1006
PriceMomentum_V1006
ARCHIVEDhybridllm1) Added trend-only regime gate (UPTREND) and limited to LOW/MEDIUM volatility, excluded EXTREME bubble — reduce overfitting and avoid crashes. 2) Strengthened entry: require positive 20d return plus rising 50-day slope and not extreme vol_pctile; kept a cleaned breakout branch with tighter vol_chg and dist_sma_20 thresholds. 3) Improved exits: multi-condition exit (20d stop-loss, high RSI overbought, or MACD histogram turning negative) to cut losses/rotations earlier. 4) Added volatility-scaled position rules: full size in low vol, higher size on clean breakouts in low vol; lowered base position to 0.5 to reduce risk and turnover.
Fitness
0.1497
Generation
46
Complexity
16
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1006 [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 > 0.04 and sma_50_slope > 0.0 and vol_pctile < 0.8) or (breakout_20 == 1 and dist_sma_20 > -0.1 and vol_chg < 1.1)):
position = 0.5
if long and (ret_20d < -0.12 or rsi_14 > 70.0 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 1.3% | -0.7% | 0.4% |
| Total Return | 5.3% | 4.0% | -2.7% | 6.5% |
| Sharpe | 0.13 | 0.18 | -0.05 | 0.09 |
| Sortino | 0.08 | 0.12 | -0.02 | 0.06 |
| Calmar | 0.04 | 0.06 | -0.07 | 0.02 |
| Volatility | 7.2% | 10.0% | 8.3% | 8.1% |
| Max DD | -18.1% | -23.9% | -10.4% | -26.1% |
| Win Rate | 49.6% | 54.0% | 50.9% | 51.2% |
| Avg Win | 1.3% | 1.6% | 1.5% | 1.4% |
| Avg Loss | -1.2% | -1.7% | -1.7% | -1.4% |
| Payoff | 1.10 | 0.95 | 0.93 | 1.01 |
| Expectancy | 0.1% | 0.1% | -0.0% | 0.0% |
| Profit Factor | 1.09 | 1.11 | 0.96 | 1.06 |
| Trades | 139 | 63 | 53 | 256 |
| Avg Holding Days | 2.6 | 2.8 | 2.5 | 2.6 |
| Turnover | 17.5 | 21.0 | 14.2 | 17.4 |
| Exposure | 5.5% | 7.5% | 4.3% | 5.6% |
Growth of $100
PriceMomentum_V1006 vs TSLA Buy & Hold
PriceMomentum_V1006 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 | -4.0% | -1.00 | -5.7% | 10 |
| 2017 | 4.8% | 0.60 | -5.6% | 32 |
| 2018 | -6.0% | -1.74 | -6.0% | 6 |
| 2019 | 1.9% | 0.40 | -3.9% | 10 |
| 2020 | 21.7% | 1.94 | -3.4% | 20 |
| 2021 | -2.1% | -0.11 | -12.9% | 33 |
| 2022 | -12.8% | -2.04 | -14.4% | 9 |
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 | 23.8% | 1.67 | 11% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.7% | -1.10 | 1% |
| hidden test | LOW VOLATILITY | 434 | 2.4% | 0.32 | 6% |
| hidden test | MEDIUM VOLATILITY | 251 | 3.3% | 0.33 | 6% |
| hidden test | NORMAL | 808 | -2.9% | -0.37 | 4% |
| hidden test | SIDEWAYS | 293 | -5.6% | -1.39 | 1% |
| hidden test | UPTREND | 371 | 3.4% | 0.27 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 14.5% | 1.37 | 12% |
| train | EXTREME | 100 | 5.8% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 2.2% | 0.36 | 0% |
| train | LOW VOLATILITY | 745 | 5.0% | 0.64 | 11% |
| train | MEDIUM VOLATILITY | 568 | -6.1% | -0.81 | 5% |
| train | NORMAL | 1,601 | -2.0% | -0.32 | 5% |
| train | SIDEWAYS | 592 | -1.7% | -1.01 | 0% |
| train | UPTREND | 902 | 3.1% | 0.29 | 12% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 33.7% | 2.18 | 16% |
| validation | EXTREME | 144 | 10.2% | 1.79 | 1% |
| validation | HIGH VOLATILITY | 258 | -4.1% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | -6.8% | -0.82 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 11.7% | 0.91 | 10% |
| validation | NORMAL | 474 | -10.0% | -1.13 | 7% |
| validation | SIDEWAYS | 206 | -9.3% | -1.91 | 1% |
| validation | UPTREND | 425 | 7.7% | 0.60 | 13% |
Trades (full period)
latest 100 of 256
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -3.84% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.81% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.62% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.53% | 16 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -1.85% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.41% | 3 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.00% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.80% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 2.61% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.46% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.32% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -0.81% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 1.56% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 2.23% | 3 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 1.89% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 0.85% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.16% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.31% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 3.58% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.56% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.79% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -1.87% | 2 | |
| 2025-05-29 | 2025-06-03 | $358.43 | $344.27 | -2.09% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.10% | 4 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.81% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -1.95% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.78% | 2 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 0.75% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 2.88% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | 0.08% | 4 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.32% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.76% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.94% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.00% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.11% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -1.73% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.80% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.45% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.50% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 0.99% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.07% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.48% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.38% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.73% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.10% | 2 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -4.59% | 3 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -2.83% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.81% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.47% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.01% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.19% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.75% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.45% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -3.44% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.34% | 3 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.15% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.41% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.09% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -1.93% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.46% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -5.42% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 1.86% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.15% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.63% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.17% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -6.09% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.42% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 1.69% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 4.14% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 1.79% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.41% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 0.78% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.01% | 2 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 1.51% | 2 | |
| 2021-10-12 | 2021-10-15 | $268.57 | $281.01 | 1.56% | 4 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.61% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.64% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.28% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 0.75% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.11% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.81% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.06% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.23% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -1.81% | 9 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -2.73% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.03% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.14% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 2.81% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -1.76% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.03% | 2 | |
| 2021-01-19 | 2021-01-25 | $281.52 | $293.60 | 1.14% | 5 | |
| 2021-01-14 | 2021-01-15 | $281.67 | $275.39 | -0.65% | 2 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 2.26% | 2 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 3.87% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.27% | 2 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.68% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.07% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.12% | 2 | |
| 2020-12-22 | 2020-12-23 | $213.45 | $215.33 | -0.83% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 2.88% | 2 |