Strategy Zoo / S1034
PriceMomentum_V1034
ARCHIVEDhybridllmLoosened entry threshold and added trend + volatility regime gating: entry now requires moderate 20d momentum (>4%), positive 50-day slope, and non-extreme volatility (vol_pctile < 0.75). Removed allowance in downtrends; restrict to UPTREND/SIDEWAYS and avoid HIGH_VOLATILITY. Exit expanded to a multi-condition stop: larger stop-loss (ret_20d < -8%), short-term weakness (price >3% below sma_20) or volatility spike (vol_chg > 0.30). Reduced base position to 0.8 to lower sizing risk. Aim: reduce overfitting, increase robustness and avoid trades in downtrends/high-vol regimes.
Fitness
0.1675
Generation
47
Complexity
11
Created
2026-10-02
Lineage
Parents (1)
removed entry condition: ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1034 [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 > 0.04 and sma_50_slope > 0.0 and vol_pctile < 0.75):
position = 0.8
if long and (ret_20d < -0.08 or dist_sma_20 < -0.03 or vol_chg > 0.3):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.6% | 10.3% | -2.9% | -0.0% |
| Total Return | -19.1% | 34.1% | -10.3% | -0.4% |
| Sharpe | -0.11 | 0.61 | -0.08 | 0.08 |
| Sortino | -0.07 | 0.46 | -0.05 | 0.05 |
| Calmar | -0.06 | 0.25 | -0.10 | -0.00 |
| Volatility | 14.4% | 19.0% | 17.2% | 16.2% |
| Max DD | -40.3% | -41.0% | -29.4% | -49.7% |
| Win Rate | 48.5% | 63.6% | 51.4% | 52.8% |
| Avg Win | 2.9% | 4.0% | 4.4% | 3.5% |
| Avg Loss | -3.0% | -4.7% | -4.9% | -3.7% |
| Payoff | 0.97 | 0.84 | 0.89 | 0.95 |
| Expectancy | -0.1% | 0.8% | -0.1% | 0.1% |
| Profit Factor | 0.91 | 1.46 | 0.95 | 1.06 |
| Trades | 97 | 44 | 35 | 176 |
| Avg Holding Days | 4.6 | 4.6 | 5.3 | 4.8 |
| Turnover | 19.5 | 23.5 | 15.0 | 19.1 |
| Exposure | 14.0% | 16.8% | 12.7% | 14.3% |
Growth of $100
PriceMomentum_V1034 vs TSLA Buy & Hold
PriceMomentum_V1034 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 | -4.9% | -0.58 | -10.9% | 6 |
| 2017 | 14.8% | 0.99 | -8.9% | 21 |
| 2018 | -13.9% | -1.31 | -14.6% | 5 |
| 2019 | -4.0% | -0.09 | -18.0% | 8 |
| 2020 | 55.2% | 2.43 | -9.7% | 13 |
| 2021 | 13.0% | 0.66 | -22.9% | 21 |
| 2022 | -23.6% | -1.74 | -25.8% | 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 | 276 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 23.4% | 0.92 | 31% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.4% | -0.86 | 1% |
| hidden test | LOW VOLATILITY | 436 | 18.0% | 1.17 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.1% | -1.09 | 17% |
| hidden test | NORMAL | 809 | -4.1% | -0.24 | 12% |
| hidden test | SIDEWAYS | 293 | -30.4% | -1.74 | 13% |
| hidden test | UPTREND | 371 | 20.4% | 0.91 | 22% |
| train | DOWNTREND | 518 | 2.0% | 0.58 | 0% |
| train | EXPENSIVE | 311 | 7.2% | 0.41 | 25% |
| train | EXTREME | 100 | 9.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 2.7% | 0.18 | 1% |
| train | LOW VOLATILITY | 745 | 4.9% | 0.35 | 28% |
| train | MEDIUM VOLATILITY | 568 | -15.6% | -1.13 | 12% |
| train | NORMAL | 1,601 | -4.0% | -0.29 | 13% |
| train | SIDEWAYS | 592 | -11.2% | -1.05 | 7% |
| train | UPTREND | 902 | 2.6% | 0.13 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 50.3% | 1.92 | 37% |
| validation | EXTREME | 144 | 37.7% | 2.62 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 3.2% | 0.19 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 31.3% | 1.25 | 22% |
| validation | NORMAL | 474 | -7.6% | -0.43 | 16% |
| validation | SIDEWAYS | 206 | -17.9% | -1.55 | 7% |
| validation | UPTREND | 425 | 29.3% | 1.22 | 27% |
Trades (full period)
latest 100 of 176
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -9.93% | 17 | |
| 2025-12-19 | 2026-01-02 | $481.20 | $438.07 | -5.74% | 9 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.85% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.69% | 2 | |
| 2025-11-03 | 2025-11-07 | $468.37 | $429.52 | -1.98% | 5 | |
| 2025-10-14 | 2025-10-24 | $429.24 | $433.72 | 2.25% | 9 | |
| 2025-10-09 | 2025-10-13 | $435.54 | $435.90 | -4.75% | 3 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.49% | 3 | |
| 2025-09-19 | 2025-10-03 | $426.07 | $429.83 | 3.58% | 11 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.64% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 2.69% | 2 | |
| 2025-09-09 | 2025-09-12 | $346.97 | $395.94 | 5.00% | 4 | |
| 2025-08-27 | 2025-09-08 | $349.60 | $346.40 | -0.32% | 8 | |
| 2025-08-22 | 2025-08-26 | $340.01 | $351.67 | 6.43% | 3 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -4.28% | 3 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -16.49% | 7 | |
| 2025-05-19 | 2025-05-28 | $342.09 | $356.90 | 2.82% | 7 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-06 | $219.41 | $210.73 | 7.23% | 3 | |
| 2024-07-09 | 2024-07-12 | $262.33 | $248.23 | -3.87% | 4 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-18 | 2024-06-27 | $184.86 | $197.42 | 3.66% | 7 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-25 | 2023-07-27 | $265.28 | $255.71 | -1.56% | 3 | |
| 2023-06-23 | 2023-07-20 | $256.60 | $262.90 | 7.93% | 19 | |
| 2023-06-06 | 2023-06-22 | $221.31 | $264.61 | 15.04% | 12 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2023-04-10 | 2023-04-13 | $184.51 | $185.90 | -2.11% | 4 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -6.62% | 4 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-09-12 | 2022-09-15 | $304.42 | $303.75 | 0.65% | 4 | |
| 2022-08-04 | 2022-08-29 | $308.63 | $284.82 | -5.11% | 18 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.73% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.29% | 3 | |
| 2022-04-13 | 2022-04-18 | $340.79 | $334.76 | -0.29% | 3 | |
| 2022-04-08 | 2022-04-12 | $341.83 | $328.98 | -6.33% | 3 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 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 | |
| 2021-11-02 | 2021-11-10 | $390.67 | $355.98 | -12.44% | 7 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-10-04 | 2021-10-19 | $260.51 | $288.09 | 9.53% | 12 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.76% | 2 | |
| 2021-09-21 | 2021-09-29 | $246.46 | $260.44 | 5.01% | 7 | |
| 2021-09-15 | 2021-09-20 | $251.94 | $243.39 | 1.45% | 4 | |
| 2021-09-07 | 2021-09-14 | $250.97 | $248.16 | 0.88% | 6 | |
| 2021-08-19 | 2021-09-01 | $224.49 | $244.70 | 5.25% | 10 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -3.62% | 2 | |
| 2021-08-03 | 2021-08-13 | $236.58 | $239.06 | 1.26% | 9 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-14 | 2021-02-01 | $281.67 | $279.94 | -5.84% | 12 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 3.61% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 6.11% | 2 | |
| 2021-01-05 | 2021-01-07 | $245.04 | $272.01 | 2.71% | 3 | |
| 2020-12-22 | 2021-01-04 | $213.45 | $243.26 | 6.67% | 8 | |
| 2020-12-14 | 2020-12-21 | $213.28 | $216.62 | 10.90% | 6 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 2.83% | 2 | |
| 2020-12-02 | 2020-12-08 | $189.61 | $216.63 | 7.61% | 5 | |
| 2020-11-25 | 2020-12-01 | $191.33 | $194.92 | 1.62% | 4 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 5.10% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.91% | 2 | |
| 2020-10-13 | 2020-10-29 | $148.88 | $136.94 | -6.73% | 13 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.26% | 5 | |
| 2020-01-13 | 2020-01-14 | $34.99 | $35.86 | 7.65% | 2 | |
| 2020-01-09 | 2020-01-10 | $32.09 | $31.88 | -1.91% | 2 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 2.94% | 2 | |
| 2019-12-24 | 2020-01-06 | $28.35 | $30.10 | 4.38% | 8 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.28% | 3 | |
| 2019-11-27 | 2019-12-06 | $22.09 | $22.39 | 0.20% | 7 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-12 | 2018-12-19 | $24.44 | $22.20 | -6.65% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.59% | 2 | |
| 2018-11-27 | 2018-12-03 | $22.93 | $23.90 | 0.88% | 5 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.01% | 2 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 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 | |
| 2017-06-30 | 2017-07-05 | $24.11 | $21.81 | -1.96% | 3 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 3.61% | 2 | |
| 2017-06-08 | 2017-06-12 | $24.67 | $23.93 | -0.66% | 3 | |
| 2017-06-05 | 2017-06-07 | $23.15 | $23.98 | 2.89% | 3 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 |