Strategy Zoo / S1011
PriceMomentum_V1011
ARCHIVEDhybridllmAdded regime gates to avoid DOWNTREND and HIGH_VOLATILITY and extreme bubble; require momentum confirmation (macd_hist>0 OR positive sma_50_slope) alongside 50-day breakout; strengthened exits with a hard 20-day drawdown stop and a momentum+1d-loss exit; reduced base position to 0.8 and added scaling down in high volatility or when 50-day slope is negative to lower risk and drawdown.
Fitness
0.3050
Generation
46
Complexity
14
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0506
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1011 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > -0.05 and breakout_50 == 1 and (macd_hist > 0.0 or sma_50_slope > 0.0)):
position = 0.8
if long and (ret_20d < -0.03 or (macd_hist < 0.0 and ret_1d < -0.01)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 22.5% | 1.8% | 5.7% |
| Total Return | 12.5% | 84.0% | 6.7% | 126.1% |
| Sharpe | 0.18 | 1.27 | 0.19 | 0.46 |
| Sortino | 0.09 | 0.79 | 0.10 | 0.25 |
| Calmar | 0.07 | 0.98 | 0.08 | 0.24 |
| Volatility | 13.0% | 17.2% | 14.0% | 14.2% |
| Max DD | -20.8% | -23.1% | -21.1% | -24.1% |
| Win Rate | 34.5% | 41.7% | 28.6% | 34.5% |
| Avg Win | 6.5% | 17.5% | 12.2% | 11.6% |
| Avg Loss | -3.2% | -2.6% | -3.8% | -3.3% |
| Payoff | 2.04 | 6.80 | 3.18 | 3.56 |
| Expectancy | 0.2% | 5.8% | 0.7% | 1.9% |
| Profit Factor | 1.07 | 4.86 | 1.27 | 1.88 |
| Trades | 29 | 12 | 14 | 55 |
| Avg Holding Days | 9.9 | 10.1 | 7.9 | 9.7 |
| Turnover | 5.9 | 6.4 | 6.0 | 6.0 |
| Exposure | 10.8% | 11.5% | 8.3% | 10.3% |
Growth of $100
PriceMomentum_V1011 vs TSLA Buy & Hold
PriceMomentum_V1011 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 | -4.4% | -0.55 | -6.3% | 2 |
| 2017 | 17.8% | 1.47 | -7.2% | 6 |
| 2018 | -5.0% | -0.71 | -6.4% | 3 |
| 2019 | 15.9% | 0.85 | -12.0% | 2 |
| 2020 | 48.0% | 2.28 | -6.4% | 3 |
| 2021 | 35.7% | 1.55 | -13.6% | 6 |
| 2022 | -11.0% | -1.06 | -14.3% | 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 | 24.1% | 1.01 | 23% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.6% | -0.18 | 1% |
| hidden test | LOW VOLATILITY | 434 | 12.9% | 0.91 | 12% |
| hidden test | MEDIUM VOLATILITY | 251 | -10.5% | -0.59 | 10% |
| hidden test | NORMAL | 808 | 0.7% | 0.05 | 7% |
| hidden test | SIDEWAYS | 293 | -6.2% | -0.60 | 8% |
| hidden test | UPTREND | 371 | 11.8% | 0.58 | 15% |
| train | DOWNTREND | 518 | -1.9% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 33.0% | 1.80 | 19% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.1% | 0.40 | 0% |
| train | LOW VOLATILITY | 745 | 10.0% | 0.75 | 23% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -0.86 | 7% |
| train | NORMAL | 1,601 | -4.1% | -0.34 | 10% |
| train | SIDEWAYS | 592 | -9.0% | -0.83 | 6% |
| train | UPTREND | 902 | 12.2% | 0.71 | 20% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.6% | 3.07 | 18% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 20.0% | 1.63 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 48.4% | 2.08 | 15% |
| validation | NORMAL | 474 | 4.3% | 0.27 | 13% |
| validation | SIDEWAYS | 206 | -6.7% | -0.81 | 5% |
| validation | UPTREND | 425 | 42.0% | 1.90 | 18% |
Trades (full period)
55 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-02 | $445.00 | $423.74 | -2.41% | 16 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -2.75% | 10 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -3.70% | 3 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 13.02% | 17 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -5.25% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -5.25% | 7 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -4.13% | 3 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.71% | 4 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -4.98% | 10 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-09-27 | 2021-10-11 | $263.79 | $263.98 | 0.99% | 11 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-01-26 | 2021-01-28 | $294.36 | $278.48 | -1.67% | 3 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 19.26% | 6 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-04 | 2018-12-10 | $23.98 | $24.34 | -0.27% | 4 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -3.44% | 8 | |
| 2017-06-06 | 2017-06-14 | $23.52 | $25.38 | 6.41% | 7 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.92% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-02-07 | 2017-02-23 | $17.17 | $17.07 | 4.73% | 12 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 10.56% | 25 | |
| 2016-04-05 | 2016-04-15 | $17.03 | $16.97 | 1.46% | 9 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -1.90% | 3 | |
| 2015-04-28 | 2015-06-05 | $15.37 | $16.61 | 4.80% | 28 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.56% | 28 | |
| 2014-06-18 | 2014-07-08 | $15.14 | $14.60 | -3.24% | 14 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 19.03% | 8 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.17% | 11 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.18% | 18 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.49% | 2 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.56% | 18 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -4.73% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -3.74% | 9 | |
| 2012-02-21 | 2012-03-01 | $2.30 | $2.29 | -3.73% | 8 |