Strategy Zoo / S1054
PriceMomentum_V1054
ARCHIVEDhybridllmAdded safety regime gates (allow only UPTREND/SIDEWAYS, low/medium vol, normal bubble); wrapped original entry with additional risk filters (vol_pctile < 0.75 and sma_200_slope > -0.00015) to avoid trades in high-vol or strong downtrends; improved exits by adding short-term and medium-term momentum stop conditions (ret_5d < -3%, ret_20d < -5%); reduced base position to 70% to limit drawdown risk.
Fitness
0.1828
Generation
48
Complexity
38
Created
2026-10-02
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR LongTermTrend_V0844
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1054 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((ret_20d > 0.0191 and breakout_50 == 1) or ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))))) and (vol_pctile < 0.75 and sma_200_slope > -0.0001)):
position = 0.7
if long and (macd_hist < 0.0 or ret_5d < -0.03 or ret_20d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.2% | 7.6% | -5.2% | 0.2% |
| Total Return | 1.3% | 24.4% | -18.2% | 3.1% |
| Sharpe | 0.07 | 0.59 | -0.45 | 0.07 |
| Sortino | 0.04 | 0.46 | -0.24 | 0.04 |
| Calmar | 0.01 | 0.50 | -0.26 | 0.01 |
| Volatility | 10.0% | 13.9% | 10.7% | 11.1% |
| Max DD | -20.4% | -15.2% | -20.5% | -32.5% |
| Win Rate | 40.7% | 36.7% | 31.0% | 37.2% |
| Avg Win | 3.1% | 5.8% | 2.7% | 3.7% |
| Avg Loss | -2.0% | -1.9% | -2.2% | -2.0% |
| Payoff | 1.56 | 3.05 | 1.26 | 1.85 |
| Expectancy | 0.1% | 0.9% | -0.6% | 0.1% |
| Profit Factor | 1.07 | 1.77 | 0.57 | 1.09 |
| Trades | 54 | 30 | 29 | 113 |
| Avg Holding Days | 5.3 | 5.1 | 4.9 | 5.1 |
| Turnover | 9.5 | 14.0 | 10.9 | 10.8 |
| Exposure | 8.0% | 11.4% | 8.4% | 8.8% |
Growth of $100
PriceMomentum_V1054 vs TSLA Buy & Hold
PriceMomentum_V1054 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 | -1.9% | -1.18 | -1.9% | 0 |
| 2017 | 7.6% | 0.96 | -4.3% | 8 |
| 2018 | -6.5% | -0.93 | -10.1% | 5 |
| 2019 | -1.8% | -0.21 | -5.9% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.7% | 0.80 | -12.2% | 20 |
| 2022 | 0.0% | 0.07 | -15.2% | 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 | -1.5% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | 15.2% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.7% | -0.16 | 1% |
| hidden test | LOW VOLATILITY | 436 | 0.4% | 0.04 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.1% | -1.93 | 7% |
| hidden test | NORMAL | 809 | -7.1% | -0.64 | 10% |
| hidden test | SIDEWAYS | 293 | -18.1% | -1.23 | 18% |
| hidden test | UPTREND | 371 | 3.2% | 0.30 | 7% |
| train | DOWNTREND | 518 | -3.5% | -0.87 | 0% |
| train | EXPENSIVE | 311 | 7.9% | 1.64 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.0% | 0.55 | 0% |
| train | LOW VOLATILITY | 745 | 6.5% | 0.60 | 15% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -0.98 | 8% |
| train | NORMAL | 1,601 | -0.7% | -0.06 | 10% |
| train | SIDEWAYS | 592 | 0.8% | 0.07 | 11% |
| train | UPTREND | 902 | 3.0% | 0.26 | 11% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 9.1% | 0.97 | 0% |
| validation | LOW VOLATILITY | 183 | 19.8% | 1.53 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 0.7% | 0.04 | 12% |
| validation | NORMAL | 474 | 13.1% | 0.75 | 18% |
| validation | SIDEWAYS | 206 | 2.1% | 0.14 | 17% |
| validation | UPTREND | 425 | 13.6% | 0.90 | 12% |
Trades (full period)
latest 100 of 113
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.03% | 4 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.14% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.36% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 8.78% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.19% | 8 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.85% | 3 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-30 | 2024-10-03 | $261.63 | $240.66 | -3.22% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-12-07 | 2023-12-14 | $242.64 | $251.05 | -0.16% | 6 | |
| 2023-11-27 | 2023-12-06 | $236.08 | $239.37 | 0.86% | 8 | |
| 2023-11-16 | 2023-11-24 | $233.59 | $235.45 | -2.61% | 6 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.64% | 2 | |
| 2023-10-11 | 2023-10-13 | $262.99 | $251.12 | -1.40% | 3 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.24% | 3 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.25% | 6 | |
| 2023-08-30 | 2023-09-11 | $256.90 | $273.58 | -2.46% | 8 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.98% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.85% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.24% | 5 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.61% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.23% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.37% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.24% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 10.69% | 14 | |
| 2021-12-31 | 2022-01-04 | $352.26 | $383.20 | 8.35% | 3 | |
| 2021-12-28 | 2021-12-30 | $362.82 | $356.78 | -0.64% | 3 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 31.12% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.13% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.54% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.69% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.83% | 2 | |
| 2021-07-12 | 2021-07-15 | $228.57 | $216.87 | -0.49% | 4 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.75% | 2 | |
| 2021-06-14 | 2021-07-07 | $205.90 | $214.88 | 5.57% | 17 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.56% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.82% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.12% | 6 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.11% | 3 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -5.63% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.12% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.10% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.76% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-18 | 2017-10-23 | $23.98 | $22.47 | -2.23% | 4 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.12% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.07% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.08% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.53% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.77% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.26% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.22% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.32% | 2 | |
| 2015-05-08 | 2015-05-22 | $15.77 | $16.52 | 2.46% | 11 | |
| 2014-11-28 | 2014-12-01 | $16.30 | $15.44 | -1.24% | 2 | |
| 2014-11-25 | 2014-11-26 | $16.54 | $16.56 | 0.25% | 2 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.22% | 2 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -6.49% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.36% | 2 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 8.31% | 18 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.34% | 2 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.56% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.13% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -2.15% | 2 | |
| 2014-06-06 | 2014-07-03 | $13.88 | $15.28 | 7.50% | 20 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -2.33% | 6 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 0.98% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -2.64% | 6 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 |