Strategy Zoo / S1048
PriceMomentum_V1048
ARCHIVEDhybridllm['Added trend and volatility regime gates to avoid trading in downtrends and extreme/high volatility.', 'Expanded entry to require positive 20-day momentum (lowered threshold to 3%) plus a recent breakout (50d) or 20d rolling high, and require positive 50-day slope and non-overbought RSI to improve signal quality.', 'Added a volatility percentile cap (vol_pctile < 0.85) to avoid entering into very high-volatility periods.', 'Improved exit logic: hard 20-day stop (-5%) or a short-term deterioration (5-day loss combined with negative MACD histogram) to reduce large drawdowns and cut trades that lose momentum.', 'Reduced base position to 0.6 to lower leverage exposure and turnover while keeping positions long-only.']
Fitness
0.2931
Generation
48
Complexity
15
Created
2026-10-02
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1048 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.03 and (breakout_50 == 1 or roll_high_20 == 1) and sma_50_slope > 0.0 and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 0.6
if long and (ret_20d < -0.05 or (ret_5d < -0.02 and macd_hist < 0.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.3% | 13.4% | -5.6% | 3.5% |
| Total Return | 39.5% | 45.9% | -19.5% | 66.7% |
| Sharpe | 0.40 | 0.88 | -0.33 | 0.32 |
| Sortino | 0.27 | 0.64 | -0.21 | 0.22 |
| Calmar | 0.17 | 0.36 | -0.22 | 0.07 |
| Volatility | 12.4% | 15.8% | 14.4% | 13.7% |
| Max DD | -25.0% | -36.8% | -25.4% | -49.1% |
| Win Rate | 40.0% | 37.0% | 28.2% | 35.7% |
| Avg Win | 4.6% | 9.0% | 5.1% | 6.2% |
| Avg Loss | -2.4% | -2.6% | -2.6% | -2.5% |
| Payoff | 1.94 | 3.50 | 1.95 | 2.46 |
| Expectancy | 0.4% | 1.7% | -0.4% | 0.6% |
| Profit Factor | 1.29 | 2.06 | 0.77 | 1.37 |
| Trades | 60 | 27 | 39 | 126 |
| Avg Holding Days | 7.6 | 7.6 | 5.4 | 7.1 |
| Turnover | 9.1 | 10.8 | 12.5 | 10.3 |
| Exposure | 12.5% | 14.2% | 10.9% | 12.5% |
Growth of $100
PriceMomentum_V1048 vs TSLA Buy & Hold
PriceMomentum_V1048 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 | 2.0% | 0.32 | -6.9% | 4 |
| 2017 | 11.9% | 1.05 | -10.0% | 13 |
| 2018 | -5.0% | -0.47 | -8.9% | 5 |
| 2019 | 8.1% | 0.55 | -13.7% | 6 |
| 2020 | 47.1% | 2.62 | -4.7% | 7 |
| 2021 | 31.6% | 1.58 | -14.3% | 8 |
| 2022 | -26.4% | -2.31 | -28.0% | 12 |
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 | 7.9% | 0.36 | 30% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.4% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 436 | 15.3% | 1.20 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.9% | -1.62 | 16% |
| hidden test | NORMAL | 809 | -6.4% | -0.46 | 10% |
| hidden test | SIDEWAYS | 293 | -28.3% | -2.08 | 11% |
| hidden test | UPTREND | 371 | 10.3% | 0.53 | 19% |
| train | DOWNTREND | 518 | 2.2% | 0.58 | 2% |
| train | EXPENSIVE | 311 | 23.3% | 1.40 | 22% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.6% | 0.29 | 1% |
| train | LOW VOLATILITY | 745 | 17.6% | 1.46 | 24% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.80 | 12% |
| train | NORMAL | 1,601 | 1.2% | 0.11 | 11% |
| train | SIDEWAYS | 592 | -6.1% | -0.63 | 6% |
| train | UPTREND | 902 | 13.7% | 0.83 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.7% | 3.33 | 30% |
| validation | EXTREME | 144 | 23.0% | 2.27 | 1% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 12.5% | 1.06 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 30.0% | 1.38 | 20% |
| validation | NORMAL | 474 | -6.1% | -0.41 | 14% |
| validation | SIDEWAYS | 206 | -28.5% | -2.40 | 5% |
| validation | UPTREND | 425 | 38.4% | 1.99 | 23% |
Trades (full period)
latest 100 of 126
| 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 | |
| 2026-05-22 | 2026-06-02 | $426.01 | $423.74 | -0.36% | 7 | |
| 2026-05-14 | 2026-05-21 | $443.30 | $417.85 | -3.89% | 6 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 1.68% | 12 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -4.37% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.18% | 17 | |
| 2025-10-09 | 2025-10-13 | $435.54 | $435.90 | -3.57% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.79% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 13.11% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 1.67% | 8 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -3.22% | 3 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.67% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-05-19 | 2025-06-04 | $342.09 | $332.05 | -1.01% | 12 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -0.93% | 5 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 18.50% | 19 | |
| 2024-06-10 | 2024-06-12 | $173.79 | $177.29 | -2.43% | 3 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -1.33% | 3 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -1.99% | 7 | |
| 2023-07-03 | 2023-07-12 | $279.82 | $271.99 | 1.77% | 7 | |
| 2023-06-28 | 2023-06-30 | $256.24 | $261.77 | 1.62% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-04-14 | 2023-04-20 | $185.00 | $162.99 | -1.83% | 5 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.13% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.30% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.54% | 4 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.33% | 2 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -4.98% | 4 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -4.20% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -1.74% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.13% | 7 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.19% | 9 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.72% | 7 | |
| 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 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.48% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-23 | 2021-11-10 | $235.43 | $355.98 | 28.50% | 57 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.08% | 11 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.60% | 7 | |
| 2021-01-12 | 2021-02-01 | $283.15 | $279.94 | -1.32% | 14 | |
| 2020-12-30 | 2021-01-11 | $231.59 | $270.40 | 18.28% | 8 | |
| 2020-12-10 | 2020-12-29 | $209.02 | $222.00 | 5.85% | 13 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 18.20% | 13 | |
| 2020-10-26 | 2020-10-27 | $140.09 | $141.56 | -0.17% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.33% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.65% | 6 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.17% | 3 | |
| 2019-12-02 | 2020-01-22 | $22.32 | $37.97 | 35.84% | 35 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.31% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 9.65% | 8 | |
| 2019-09-26 | 2019-10-04 | $16.17 | $15.43 | 1.08% | 7 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -5.95% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.05% | 13 | |
| 2018-11-26 | 2018-11-27 | $23.07 | $22.93 | 3.59% | 2 | |
| 2018-03-12 | 2018-03-15 | $23.03 | $21.71 | -0.16% | 4 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -5.29% | 2 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -3.00% | 12 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.15% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -4.69% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.02% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.18% | 8 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -3.28% | 5 | |
| 2017-05-08 | 2017-05-09 | $20.48 | $21.42 | -0.35% | 2 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -2.06% | 10 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.10% | 6 | |
| 2017-02-03 | 2017-02-23 | $16.76 | $17.07 | 5.10% | 14 | |
| 2016-12-30 | 2017-02-02 | $14.25 | $16.77 | 9.31% | 23 | |
| 2016-07-26 | 2016-08-12 | $15.30 | $15.04 | -1.43% | 14 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -2.75% | 12 | |
| 2016-03-28 | 2016-04-14 | $15.35 | $16.79 | 6.88% | 14 | |
| 2015-12-30 | 2016-01-06 | $15.87 | $14.60 | -3.58% | 5 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.11% | 9 | |
| 2015-07-13 | 2015-07-14 | $17.48 | $17.71 | 0.58% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.28% | 15 | |
| 2015-06-08 | 2015-06-16 | $17.09 | $16.87 | 0.19% | 7 | |
| 2015-04-14 | 2015-06-05 | $13.83 | $16.61 | 10.01% | 38 |