Strategy Zoo / S1076
PriceMomentum_V1076
ARCHIVEDhybridllmAdded momentum confirmation (macd_hist>0 and sma_50_slope>0) to reduce false breakouts; tightened exits with faster stop (ret_20d<-10% and ret_5d<-3%), added profit take (ret_20d>25%) and trend-based exit (sma_50_slope<0); restricted regime gates to UPTREND and non-bubble conditions and disallowed HIGH_VOLATILITY; introduced volatility-based position scaling (vol_pctile tiers) to reduce size in elevated vols.
Fitness
0.1486
Generation
49
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1076 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121)) and macd_hist > 0.0 and sma_50_slope > 0.0):
position = 1.0
if long and (ret_20d < -0.1 or ret_5d < -0.03 or ret_20d > 0.25 or sma_50_slope < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.4% | 1.6% | 1.8% | 1.5% |
| Total Return | 11.6% | 4.9% | 7.1% | 25.2% |
| Sharpe | 0.18 | 0.19 | 0.20 | 0.19 |
| Sortino | 0.08 | 0.08 | 0.08 | 0.08 |
| Calmar | 0.09 | 0.06 | 0.12 | 0.06 |
| Volatility | 11.0% | 12.1% | 14.1% | 12.1% |
| Max DD | -15.8% | -26.0% | -14.9% | -27.9% |
| Win Rate | 40.0% | 41.7% | 54.2% | 46.4% |
| Avg Win | 7.1% | 9.4% | 3.8% | 5.9% |
| Avg Loss | -3.5% | -5.0% | -3.7% | -3.9% |
| Payoff | 2.03 | 1.89 | 1.04 | 1.51 |
| Expectancy | 0.7% | 1.0% | 0.4% | 0.6% |
| Profit Factor | 1.35 | 1.35 | 1.23 | 1.31 |
| Trades | 20 | 12 | 24 | 56 |
| Avg Holding Days | 9.8 | 6.2 | 3.0 | 6.1 |
| Turnover | 5.0 | 8.0 | 12.9 | 7.6 |
| Exposure | 8.7% | 8.2% | 5.0% | 7.7% |
Growth of $100
PriceMomentum_V1076 vs TSLA Buy & Hold
PriceMomentum_V1076 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 | -1.1% | -0.09 | -8.4% | 3 |
| 2017 | 15.0% | 2.26 | -1.1% | 3 |
| 2018 | -10.7% | -1.51 | -10.6% | 2 |
| 2019 | -1.5% | -1.07 | -1.5% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 31.5% | 1.58 | -7.2% | 7 |
| 2022 | -20.3% | -2.25 | -20.3% | 5 |
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 | 42.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.4% | -1.09 | 2% |
| hidden test | LOW VOLATILITY | 436 | 5.3% | 0.46 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 19.0% | 1.20 | 7% |
| hidden test | NORMAL | 809 | -1.1% | -0.08 | 6% |
| hidden test | SIDEWAYS | 293 | -11.0% | -1.40 | 1% |
| hidden test | UPTREND | 371 | 15.8% | 0.74 | 12% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 5.7% | 1.63 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.7% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 5.1% | 0.39 | 21% |
| train | MEDIUM VOLATILITY | 568 | -6.8% | -0.71 | 3% |
| train | NORMAL | 1,601 | 1.4% | 0.11 | 11% |
| train | SIDEWAYS | 592 | -6.2% | -1.41 | 1% |
| train | UPTREND | 902 | 8.5% | 0.53 | 19% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 12.7% | 0.87 | 28% |
| validation | MEDIUM VOLATILITY | 315 | -1.8% | -0.12 | 3% |
| validation | NORMAL | 474 | 3.7% | 0.24 | 13% |
| validation | SIDEWAYS | 206 | -16.1% | -1.80 | 1% |
| validation | UPTREND | 425 | 11.9% | 0.80 | 14% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.83% | 3 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.13% | 4 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2023-07-06 | 2023-07-12 | $276.54 | $271.99 | -4.69% | 5 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2021-11-08 | 2021-11-09 | $387.65 | $341.17 | -5.04% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-08-31 | 2021-10-26 | $245.24 | $339.48 | 39.94% | 40 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-08 | 2016-04-14 | $16.67 | $16.79 | -1.24% | 5 | |
| 2016-04-05 | 2016-04-07 | $17.03 | $17.15 | 7.25% | 3 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.27% | 9 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 15.80% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-14 | 2012-03-21 | $2.35 | $2.34 | -3.33% | 6 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.95% | 4 |