Strategy Zoo / S1072
PriceMomentum_V1072
ARCHIVEDhybridllmSimplified & consolidated entry momentum logic to reduce redundancy and overfitting; added volatility regime gate to avoid high-volatility environments; introduced volatility-based position scaling (vol_pctile rules) to reduce position size when markets are choppy; improved exit with a 1-day panic stop and a drawdown cap to cut large intra-trade losses; lowered base_position slightly to reduce overall risk.
Fitness
0.5402
Generation
49
Complexity
14
Created
2026-10-02
Lineage
Parents (1)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1072 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.05 and cumret_252d > -0.2 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1)):
position = 0.9
if long and (ret_20d < -0.006 or ret_1d < -0.05 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.9% | 67.8% | -1.0% | 12.8% |
| Total Return | 26.1% | 372.8% | -3.8% | 488.7% |
| Sharpe | 0.24 | 1.93 | 0.07 | 0.63 |
| Sortino | 0.18 | 2.01 | 0.05 | 0.49 |
| Calmar | 0.06 | 3.33 | -0.03 | 0.26 |
| Volatility | 21.5% | 29.0% | 22.6% | 23.5% |
| Max DD | -48.6% | -20.4% | -30.8% | -48.6% |
| Win Rate | 41.9% | 66.7% | 34.8% | 46.0% |
| Avg Win | 7.7% | 14.8% | 11.4% | 11.9% |
| Avg Loss | -5.0% | -4.0% | -5.6% | -5.0% |
| Payoff | 1.55 | 3.73 | 2.05 | 2.37 |
| Expectancy | 0.3% | 8.5% | 0.3% | 2.8% |
| Profit Factor | 1.12 | 7.45 | 1.10 | 2.02 |
| Trades | 43 | 21 | 23 | 87 |
| Avg Holding Days | 13.2 | 13.4 | 10.5 | 12.8 |
| Turnover | 9.8 | 12.6 | 11.1 | 10.6 |
| Exposure | 24.4% | 31.0% | 21.0% | 24.9% |
Growth of $100
PriceMomentum_V1072 vs TSLA Buy & Hold
PriceMomentum_V1072 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 | -14.3% | -0.86 | -22.1% | 4 |
| 2017 | 0.9% | 0.15 | -23.3% | 11 |
| 2018 | -11.9% | -1.17 | -12.7% | 3 |
| 2019 | 9.3% | 0.49 | -20.1% | 4 |
| 2020 | 212.3% | 3.54 | -8.8% | 10 |
| 2021 | 39.3% | 1.21 | -20.4% | 7 |
| 2022 | 4.9% | 0.34 | -17.8% | 4 |
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 | -1.9% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | 19.3% | 0.60 | 42% |
| hidden test | EXTREME | 48 | 29.9% | 1.05 | 13% |
| hidden test | HIGH VOLATILITY | 254 | -25.6% | -1.42 | 2% |
| hidden test | LOW VOLATILITY | 436 | 39.0% | 1.87 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.2% | -1.26 | 26% |
| hidden test | NORMAL | 809 | -2.0% | -0.09 | 19% |
| hidden test | SIDEWAYS | 293 | -13.6% | -0.63 | 27% |
| hidden test | UPTREND | 371 | 16.0% | 0.53 | 31% |
| train | DOWNTREND | 518 | -5.8% | -1.23 | 1% |
| train | EXPENSIVE | 311 | 17.9% | 0.62 | 38% |
| train | EXTREME | 100 | 51.2% | 2.00 | 25% |
| train | HIGH VOLATILITY | 699 | -2.2% | -0.10 | 2% |
| train | LOW VOLATILITY | 745 | 27.3% | 1.31 | 46% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -0.66 | 24% |
| train | NORMAL | 1,601 | -0.1% | -0.01 | 22% |
| train | SIDEWAYS | 592 | -14.3% | -0.76 | 21% |
| train | UPTREND | 902 | 24.3% | 0.87 | 40% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 58.3% | 1.65 | 46% |
| validation | EXTREME | 144 | 171.5% | 4.93 | 21% |
| validation | HIGH VOLATILITY | 258 | 24.9% | 1.22 | 2% |
| validation | LOW VOLATILITY | 183 | 46.8% | 2.06 | 53% |
| validation | MEDIUM VOLATILITY | 315 | 86.8% | 2.34 | 42% |
| validation | NORMAL | 474 | 20.2% | 0.83 | 30% |
| validation | SIDEWAYS | 206 | 10.1% | 0.46 | 28% |
| validation | UPTREND | 425 | 94.7% | 2.68 | 41% |
Trades (full period)
87 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.65% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.00% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.24% | 14 | |
| 2025-11-06 | 2025-11-13 | $445.91 | $401.99 | -6.30% | 6 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.59% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.24% | 2 | |
| 2025-10-14 | 2025-10-23 | $429.24 | $448.98 | 0.46% | 8 | |
| 2025-10-06 | 2025-10-13 | $453.25 | $435.90 | -3.56% | 6 | |
| 2025-08-25 | 2025-10-03 | $346.60 | $429.83 | 25.00% | 29 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.26% | 8 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -16.98% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.89% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.29% | 2 | |
| 2024-12-11 | 2024-12-19 | $424.77 | $436.17 | 8.64% | 7 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -7.85% | 16 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 20.18% | 11 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.38% | 34 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -11.09% | 13 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.59% | 6 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 4.46% | 17 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -8.20% | 3 | |
| 2023-05-31 | 2023-06-22 | $203.93 | $264.61 | 25.59% | 16 | |
| 2022-08-09 | 2022-08-29 | $283.33 | $284.82 | -0.87% | 15 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.91% | 5 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.41% | 22 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.35% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.10% | 6 | |
| 2021-08-04 | 2021-11-10 | $236.97 | $355.98 | 39.17% | 70 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 5.66% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -9.31% | 15 | |
| 2021-02-02 | 2021-02-09 | $290.93 | $283.15 | 2.36% | 6 | |
| 2021-01-13 | 2021-02-01 | $284.80 | $279.94 | -6.08% | 13 | |
| 2020-12-23 | 2021-01-12 | $215.33 | $283.15 | 23.62% | 13 | |
| 2020-12-11 | 2020-12-22 | $203.33 | $213.45 | 3.14% | 8 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 21.47% | 15 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.71% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -3.80% | 3 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.70% | 2 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 11.12% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 5.59% | 2 | |
| 2020-06-15 | 2020-07-06 | $66.06 | $91.44 | 25.86% | 15 | |
| 2020-05-28 | 2020-06-12 | $53.72 | $62.35 | 16.51% | 12 | |
| 2019-11-29 | 2020-01-31 | $22.00 | $43.37 | 81.12% | 43 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.70% | 2 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 15.33% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -8.47% | 9 | |
| 2019-07-24 | 2019-07-26 | $17.66 | $15.20 | -10.98% | 3 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -2.95% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.09% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.29% | 13 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.18% | 10 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -8.44% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.03% | 8 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.11% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.36% | 2 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.49% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.96% | 6 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -3.14% | 10 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.07% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 9.21% | 6 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 14.71% | 40 | |
| 2016-07-22 | 2016-08-17 | $14.82 | $14.88 | 1.10% | 19 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -14.02% | 12 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 5.40% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.09% | 4 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.16% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -8.17% | 2 | |
| 2015-04-28 | 2015-07-22 | $15.37 | $17.86 | 13.49% | 60 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.11% | 6 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -3.97% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.67% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 4.81% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.10% | 5 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -6.06% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 23.91% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -6.33% | 7 | |
| 2013-10-07 | 2013-10-22 | $12.20 | $11.44 | -4.31% | 12 | |
| 2013-09-09 | 2013-10-03 | $10.71 | $11.55 | 7.38% | 19 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.41% | 12 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.81% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -4.54% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 4.77% | 38 | |
| 2012-06-28 | 2012-07-18 | $2.09 | $2.14 | 3.78% | 14 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 5.34% | 5 | |
| 2012-02-15 | 2012-04-05 | $2.24 | $2.30 | 4.89% | 36 |