Strategy Zoo / S1033
PriceMomentum_V1033
ARCHIVEDhybridllmSimplified and regularized entry conditions to reduce overfitting: require price > sma_200, positive sma_200_slope, 20d momentum > 4%, and recent 252d cumulative return not deeply negative; add volatility gate via vol_pctile < 0.75 to avoid extreme volatility. Improved exits: add larger short-term loss trigger (ret_20d < -3%), portfolio drawdown cutoff (drawdown < -12%), and a technical exit when price falls below sma_50. Reduced base position to 0.6 and enforced regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to limit trading to healthier market conditions.
Fitness
0.3867
Generation
47
Complexity
10
Created
2026-10-02
Lineage
Parents (1)
logic of PriceMomentum_V0624 with risk overlay of LongTermTrend_V0521
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1033 [hybrid]
if flat and (close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.04 and cumret_252d > -0.1997 and vol_pctile < 0.75):
position = 0.6
if long and (ret_20d < -0.03 or drawdown < -0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.0% | 39.6% | -4.4% | 7.7% |
| Total Return | 26.8% | 172.2% | -15.6% | 196.5% |
| Sharpe | 0.27 | 1.54 | -0.36 | 0.53 |
| Sortino | 0.22 | 1.57 | -0.23 | 0.45 |
| Calmar | 0.08 | 1.65 | -0.22 | 0.20 |
| Volatility | 15.3% | 23.4% | 11.0% | 16.4% |
| Max DD | -38.2% | -24.0% | -20.5% | -38.2% |
| Win Rate | 35.4% | 48.4% | 40.0% | 40.8% |
| Avg Win | 4.3% | 5.4% | 1.6% | 4.1% |
| Avg Loss | -1.6% | -1.4% | -1.6% | -1.5% |
| Payoff | 2.68 | 3.97 | 1.04 | 2.71 |
| Expectancy | 0.5% | 1.9% | -0.3% | 0.8% |
| Profit Factor | 1.47 | 3.73 | 0.69 | 1.87 |
| Trades | 82 | 64 | 55 | 201 |
| Avg Holding Days | 6.5 | 4.8 | 3.2 | 5.1 |
| Turnover | 12.4 | 25.6 | 17.7 | 16.4 |
| Exposure | 13.7% | 19.2% | 7.7% | 13.3% |
Growth of $100
PriceMomentum_V1033 vs TSLA Buy & Hold
PriceMomentum_V1033 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 | -0.4% | -1.17 | -0.4% | 1 |
| 2017 | -7.2% | -0.43 | -17.4% | 13 |
| 2018 | -9.3% | -1.39 | -9.3% | 5 |
| 2019 | 2.1% | 0.38 | -3.9% | 4 |
| 2020 | 149.1% | 2.92 | -12.8% | 7 |
| 2021 | 16.2% | 0.86 | -13.8% | 42 |
| 2022 | -8.3% | -0.74 | -11.8% | 15 |
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 | 276 | -1.2% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | 36.5% | 1.58 | 32% |
| hidden test | EXTREME | 48 | 17.8% | 0.76 | 16% |
| hidden test | HIGH VOLATILITY | 254 | 2.3% | 0.30 | 2% |
| hidden test | LOW VOLATILITY | 436 | 2.6% | 0.27 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.8% | -1.43 | 12% |
| hidden test | NORMAL | 809 | -9.4% | -1.28 | 5% |
| hidden test | SIDEWAYS | 293 | -8.1% | -0.82 | 9% |
| hidden test | UPTREND | 371 | -2.6% | -0.17 | 12% |
| train | DOWNTREND | 518 | -0.7% | -0.76 | 0% |
| train | EXPENSIVE | 311 | 14.7% | 0.67 | 35% |
| train | EXTREME | 100 | 148.0% | 3.72 | 33% |
| train | HIGH VOLATILITY | 699 | 15.9% | 0.83 | 9% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.39 | 18% |
| train | MEDIUM VOLATILITY | 568 | -10.8% | -0.75 | 14% |
| train | NORMAL | 1,601 | -6.9% | -0.69 | 8% |
| train | SIDEWAYS | 592 | -10.0% | -1.26 | 7% |
| train | UPTREND | 902 | 16.2% | 0.74 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.4% | 2.43 | 33% |
| validation | EXTREME | 144 | 125.1% | 3.21 | 29% |
| validation | HIGH VOLATILITY | 258 | 16.9% | 0.61 | 11% |
| validation | LOW VOLATILITY | 183 | 24.5% | 2.08 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 58.6% | 2.39 | 26% |
| validation | NORMAL | 474 | 1.1% | 0.08 | 12% |
| validation | SIDEWAYS | 206 | 3.4% | 0.35 | 8% |
| validation | UPTREND | 425 | 62.6% | 2.06 | 30% |
Trades (full period)
latest 100 of 201
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.05% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -1.52% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -2.77% | 14 | |
| 2025-10-14 | 2025-11-14 | $429.24 | $404.35 | -4.59% | 24 | |
| 2025-09-22 | 2025-10-13 | $434.21 | $435.90 | -1.69% | 16 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.18% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.13% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 2.32% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-12-24 | 2024-12-31 | $462.28 | $403.84 | -1.86% | 5 | |
| 2024-12-10 | 2024-12-23 | $400.99 | $430.60 | 4.86% | 10 | |
| 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 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.01% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.58% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.46% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -0.80% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.18% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.04% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -0.94% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.12% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 2.58% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.20% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.31% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.66% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -2.20% | 4 | |
| 2022-03-28 | 2022-04-01 | $363.95 | $361.53 | 3.88% | 5 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 0.77% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 4.62% | 2 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.08% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.21% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -4.17% | 2 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.24% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -6.97% | 4 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-17 | 2021-11-29 | $363.00 | $379.00 | 1.48% | 8 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -1.28% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.37% | 2 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 18.69% | 28 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.02% | 5 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.64% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.08% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.79% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.11% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.18% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.11% | 2 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.59% | 2 | |
| 2021-07-19 | 2021-07-20 | $215.41 | $220.17 | 0.07% | 2 | |
| 2021-07-15 | 2021-07-16 | $216.87 | $214.74 | -0.38% | 2 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -1.62% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.26% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -1.48% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.03% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.21% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.38% | 2 |