Strategy Zoo / S1070
PriceMomentum_V1070
ARCHIVEDhybridllmLowered entry momentum threshold (ret_20d 0.05 -> 0.03) to increase opportunity and validation coverage; broadened breakout signal to include breakout_20 and positive sma_50_slope as alternative entry; added volatility filter (vol_pctile < 0.75) and regime gates to avoid high-volatility and extreme-bubble environments; tightened structured exits: larger stop (ret_20d < -3%), exit on trend reversal (sma_50_slope < 0) and if drawdown exceeds 8%; reduced base position to 0.8 to lower tail risk.
Fitness
0.3057
Generation
49
Complexity
14
Created
2026-10-02
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1070 [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 > 0.03 and (breakout_50 == 1 or breakout_20 == 1 or sma_50_slope > 0.0) and vol_pctile < 0.75):
position = 0.8
if long and (ret_20d < -0.03 or sma_50_slope < 0.0 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.6% | 22.5% | -1.4% | 6.6% |
| Total Return | 43.6% | 83.9% | -5.1% | 156.7% |
| Sharpe | 0.34 | 1.00 | 0.04 | 0.42 |
| Sortino | 0.25 | 0.80 | 0.03 | 0.31 |
| Calmar | 0.13 | 0.51 | -0.05 | 0.12 |
| Volatility | 17.8% | 22.8% | 21.0% | 19.8% |
| Max DD | -34.7% | -44.3% | -25.7% | -54.1% |
| Win Rate | 47.1% | 43.5% | 39.3% | 44.1% |
| Avg Win | 5.2% | 13.7% | 7.9% | 8.2% |
| Avg Loss | -3.5% | -4.3% | -4.8% | -4.1% |
| Payoff | 1.50 | 3.17 | 1.67 | 2.03 |
| Expectancy | 0.6% | 3.5% | 0.2% | 1.4% |
| Profit Factor | 1.33 | 2.44 | 1.08 | 1.60 |
| Trades | 51 | 23 | 28 | 102 |
| Avg Holding Days | 10.3 | 9.9 | 9.0 | 10.1 |
| Turnover | 10.3 | 12.3 | 12.0 | 11.1 |
| Exposure | 19.9% | 21.7% | 19.1% | 20.1% |
Growth of $100
PriceMomentum_V1070 vs TSLA Buy & Hold
PriceMomentum_V1070 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 | -1.7% | -0.11 | -14.5% | 5 |
| 2017 | 7.8% | 0.50 | -18.4% | 13 |
| 2018 | -5.9% | -0.38 | -9.1% | 3 |
| 2019 | 15.5% | 0.75 | -17.9% | 3 |
| 2020 | 81.6% | 2.78 | -8.5% | 5 |
| 2021 | 43.3% | 1.51 | -18.7% | 8 |
| 2022 | -31.5% | -1.91 | -34.4% | 10 |
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 | -1.6% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | 57.8% | 1.80 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.9% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 436 | 27.8% | 1.47 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -31.2% | -1.14 | 28% |
| hidden test | NORMAL | 809 | -5.0% | -0.25 | 18% |
| hidden test | SIDEWAYS | 293 | -28.6% | -1.38 | 21% |
| hidden test | UPTREND | 371 | 25.9% | 0.93 | 31% |
| train | DOWNTREND | 518 | 2.4% | 0.69 | 0% |
| train | EXPENSIVE | 311 | 34.5% | 1.41 | 34% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.20 | 2% |
| train | LOW VOLATILITY | 745 | 26.4% | 1.50 | 37% |
| train | MEDIUM VOLATILITY | 568 | -17.0% | -0.90 | 19% |
| train | NORMAL | 1,601 | 0.4% | 0.02 | 18% |
| train | SIDEWAYS | 592 | -8.9% | -0.65 | 11% |
| train | UPTREND | 902 | 18.1% | 0.75 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 107.5% | 3.30 | 43% |
| validation | EXTREME | 144 | 37.8% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 7.8% | 0.42 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 55.8% | 1.80 | 30% |
| validation | NORMAL | 474 | -6.2% | -0.29 | 21% |
| validation | SIDEWAYS | 206 | -35.9% | -2.02 | 11% |
| validation | UPTREND | 425 | 58.1% | 2.11 | 33% |
Trades (full period)
latest 100 of 102
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -9.93% | 17 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2026-01-07 | $458.96 | $431.41 | -2.56% | 17 | |
| 2025-08-22 | 2025-11-14 | $340.01 | $404.35 | 20.40% | 60 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -4.28% | 3 | |
| 2025-07-08 | 2025-07-10 | $297.81 | $309.87 | 0.37% | 3 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.03% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.21% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.33% | 5 | |
| 2024-06-10 | 2024-07-12 | $173.79 | $248.23 | 27.91% | 23 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -4.50% | 6 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.64% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 23.43% | 44 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -10.59% | 13 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -7.85% | 7 | |
| 2022-09-29 | 2022-10-03 | $268.21 | $242.40 | -6.44% | 3 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.53% | 20 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.41% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.23% | 2 | |
| 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 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 34.50% | 71 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.08% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.64% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 35.18% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.29% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 41.61% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -1.54% | 12 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-11-26 | 2018-12-19 | $23.07 | $22.20 | 2.67% | 17 | |
| 2018-03-12 | 2018-03-15 | $23.03 | $21.71 | -0.25% | 4 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-12-18 | 2017-12-19 | $22.59 | $22.07 | -1.23% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.79% | 2 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.87% | 4 | |
| 2017-09-15 | 2017-09-29 | $25.32 | $22.74 | -8.26% | 11 | |
| 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 | 2017-07-06 | $24.11 | $20.59 | -7.64% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.60% | 42 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.61% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.54% | 28 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.76% | 2 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -4.79% | 4 | |
| 2015-09-22 | 2015-09-23 | $17.40 | $17.40 | -1.15% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 7.37% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-14 | 2014-11-17 | $17.25 | $16.93 | 2.06% | 2 | |
| 2014-11-12 | 2014-11-13 | $16.61 | $16.78 | -0.79% | 2 | |
| 2014-09-19 | 2014-09-24 | $17.29 | $16.81 | -4.23% | 4 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -4.44% | 18 | |
| 2014-06-17 | 2014-06-18 | $15.44 | $15.14 | 2.35% | 2 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -5.39% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.74% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.61% | 23 | |
| 2012-11-12 | 2013-01-11 | $2.07 | $2.19 | 8.33% | 42 | |
| 2012-11-08 | 2012-11-09 | $2.09 | $2.02 | -0.74% | 2 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -1.05% | 2 | |
| 2012-09-18 | 2012-09-19 | $2.09 | $2.07 | -3.11% | 2 | |
| 2012-08-28 | 2012-08-29 | $1.91 | $1.89 | 0.88% | 2 | |
| 2012-07-16 | 2012-07-17 | $2.40 | $2.22 | 3.83% | 2 | |
| 2012-06-21 | 2012-06-22 | $2.15 | $2.25 | -3.92% | 2 | |
| 2012-06-19 | 2012-06-20 | $2.14 | $2.25 | 0.47% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.46% | 33 |