Strategy Zoo / S1053
PriceMomentum_V1053
ARCHIVEDhybridllmSimplified and regularized entry: require moderate 20d momentum + positive MACD histogram and price above 50 SMA (or rising 50 SMA); removed the extreme high-threshold branch to reduce overfitting. Added trend regime gate (only UPTREND) and excluded EXTREME bubble to avoid fragile environments. Strengthened exits: 5d stop-loss, exit on negative MACD histogram, and trim on RSI >80. Reduced base position to 0.6 and added volatility-based scaling (LOW=1.0, MED=0.65, HIGH=0.3) to lower risk in turbulent periods.
Fitness
0.2692
Generation
48
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1053 [hybrid]
require regime.trend in ['UPTREND']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.04 and macd_hist > 0.0 and (close > sma_50 or sma_50_slope > 0.0) and cumret_252d > -0.25):
position = 0.6
if long and (ret_5d < -0.03 or macd_hist < 0.0 or rsi_14 > 80.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.65
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.8% | 6.3% | 6.8% | 4.6% |
| Total Return | 24.3% | 20.0% | 27.6% | 93.6% |
| Sharpe | 0.40 | 0.70 | 0.87 | 0.60 |
| Sortino | 0.26 | 0.57 | 0.43 | 0.39 |
| Calmar | 0.23 | 0.37 | 1.07 | 0.28 |
| Volatility | 7.5% | 9.2% | 7.9% | 8.0% |
| Max DD | -12.1% | -16.7% | -6.3% | -16.7% |
| Win Rate | 38.2% | 51.6% | 60.0% | 46.8% |
| Avg Win | 3.0% | 2.9% | 2.8% | 2.9% |
| Avg Loss | -1.1% | -1.8% | -1.6% | -1.4% |
| Payoff | 2.69 | 1.63 | 1.72 | 2.12 |
| Expectancy | 0.5% | 0.6% | 1.0% | 0.6% |
| Profit Factor | 1.66 | 1.74 | 2.57 | 1.87 |
| Trades | 55 | 31 | 25 | 111 |
| Avg Holding Days | 6.0 | 4.1 | 4.2 | 5.1 |
| Turnover | 6.5 | 9.2 | 6.4 | 7.0 |
| Exposure | 6.2% | 5.9% | 3.7% | 5.5% |
Growth of $100
PriceMomentum_V1053 vs TSLA Buy & Hold
PriceMomentum_V1053 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 | 0.7% | 0.21 | -2.6% | 3 |
| 2017 | 3.5% | 0.49 | -6.0% | 13 |
| 2018 | -5.9% | -1.44 | -5.9% | 7 |
| 2019 | 6.6% | 1.38 | -2.3% | 9 |
| 2020 | 21.9% | 1.95 | -3.1% | 8 |
| 2021 | 15.6% | 1.39 | -5.3% | 16 |
| 2022 | -15.0% | -3.14 | -14.9% | 7 |
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 | 32.2% | 2.32 | 12% |
| hidden test | EXTREME | 48 | 17.1% | 3.76 | 1% |
| hidden test | HIGH VOLATILITY | 254 | 1.9% | 0.31 | 2% |
| hidden test | LOW VOLATILITY | 436 | 12.3% | 1.54 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.3% | 0.26 | 4% |
| hidden test | NORMAL | 809 | 3.6% | 0.51 | 3% |
| hidden test | SIDEWAYS | 293 | -2.4% | -1.56 | 0% |
| hidden test | UPTREND | 371 | 19.3% | 1.55 | 9% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.7% | 0.84 | 14% |
| train | EXTREME | 100 | 12.4% | 2.45 | 1% |
| train | HIGH VOLATILITY | 699 | 7.2% | 0.94 | 2% |
| train | LOW VOLATILITY | 745 | 3.7% | 0.44 | 12% |
| train | MEDIUM VOLATILITY | 568 | -3.0% | -0.49 | 3% |
| train | NORMAL | 1,601 | 1.1% | 0.17 | 5% |
| train | SIDEWAYS | 592 | -2.6% | -1.13 | 1% |
| train | UPTREND | 902 | 8.4% | 0.76 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 36.7% | 2.61 | 12% |
| validation | EXTREME | 144 | 9.6% | 1.84 | 1% |
| validation | HIGH VOLATILITY | 258 | -2.7% | -1.29 | 0% |
| validation | LOW VOLATILITY | 183 | 4.7% | 0.52 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 15.1% | 1.22 | 6% |
| validation | NORMAL | 474 | -3.2% | -0.39 | 6% |
| validation | SIDEWAYS | 206 | -6.4% | -1.61 | 0% |
| validation | UPTREND | 425 | 14.6% | 1.22 | 10% |
Trades (full period)
latest 100 of 111
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-19 | 2025-10-06 | $426.07 | $453.25 | 1.15% | 12 | |
| 2025-09-12 | 2025-09-18 | $395.94 | $416.85 | 8.98% | 5 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.39% | 2 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -3.00% | 5 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.47% | 3 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -0.34% | 3 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 0.65% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.48% | 4 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 3.61% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.39% | 2 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 6.26% | 18 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -0.76% | 2 | |
| 2024-07-11 | 2024-07-18 | $241.03 | $249.23 | -2.82% | 6 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.37% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.73% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -0.90% | 2 | |
| 2023-06-22 | 2023-06-27 | $264.61 | $250.21 | -4.37% | 4 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.33% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.01% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.32% | 2 | |
| 2023-06-02 | 2023-06-08 | $213.97 | $234.86 | 4.75% | 5 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -0.89% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -2.66% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.25% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -3.52% | 3 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.25% | 2 | |
| 2022-01-04 | 2022-01-11 | $383.20 | $354.80 | -2.22% | 6 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 0.75% | 2 | |
| 2021-11-08 | 2021-11-09 | $387.65 | $341.17 | -1.96% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.44% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.26% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.26% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.67% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 7.47% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 1.94% | 3 | |
| 2021-10-13 | 2021-10-19 | $270.36 | $288.09 | 4.62% | 5 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.77% | 8 | |
| 2021-09-07 | 2021-09-21 | $250.97 | $246.46 | -0.36% | 11 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.18% | 9 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.02% | 4 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 0.67% | 5 | |
| 2021-01-05 | 2021-01-08 | $245.04 | $293.34 | 4.46% | 4 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.91% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.15% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 11.57% | 13 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -2.69% | 4 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 0.67% | 5 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 5.31% | 3 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 2.83% | 2 | |
| 2019-12-30 | 2020-01-07 | $27.65 | $31.27 | 2.84% | 6 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 0.68% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 1.90% | 2 | |
| 2019-12-17 | 2019-12-20 | $25.27 | $27.04 | 3.41% | 4 | |
| 2019-11-19 | 2019-11-20 | $23.97 | $23.48 | 0.45% | 2 | |
| 2019-11-13 | 2019-11-18 | $23.07 | $23.33 | 0.08% | 4 | |
| 2019-11-05 | 2019-11-12 | $21.15 | $23.33 | 1.49% | 6 | |
| 2019-10-29 | 2019-11-04 | $21.08 | $21.16 | -0.83% | 5 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 1.67% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.60% | 2 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -1.49% | 5 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.08% | 2 | |
| 2018-08-16 | 2018-08-17 | $22.36 | $20.37 | -0.21% | 2 | |
| 2018-08-03 | 2018-08-15 | $23.21 | $22.58 | -0.02% | 9 | |
| 2018-06-15 | 2018-06-25 | $23.88 | $22.20 | -1.23% | 7 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -1.13% | 5 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -1.91% | 3 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -3.97% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -0.67% | 13 | |
| 2017-06-01 | 2017-06-14 | $22.69 | $25.38 | 3.75% | 10 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.15% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.07% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.46% | 2 | |
| 2017-03-28 | 2017-04-19 | $18.50 | $20.37 | 4.63% | 16 | |
| 2017-02-16 | 2017-02-22 | $17.93 | $18.23 | -0.61% | 4 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.04% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.11% | 2 | |
| 2017-01-27 | 2017-02-02 | $16.86 | $16.77 | -0.90% | 5 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.15% | 2 | |
| 2017-01-05 | 2017-01-24 | $15.12 | $16.97 | 5.59% | 13 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.11% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.16% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.22% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.16% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.27% | 3 | |
| 2014-09-04 | 2014-09-12 | $19.07 | $18.61 | -0.29% | 7 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 3.09% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 4.46% | 15 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.11% | 9 | |
| 2014-03-03 | 2014-03-11 | $16.70 | $15.63 | -0.46% | 7 | |
| 2014-02-27 | 2014-02-28 | $16.84 | $16.32 | -0.07% | 2 | |
| 2014-02-11 | 2014-02-26 | $13.11 | $16.87 | 9.35% | 11 | |
| 2014-01-24 | 2014-02-06 | $11.64 | $11.89 | -0.69% | 10 |