Strategy Zoo / S1093
PriceMomentum_V1093
ARCHIVEDhybridllmLowered entry momentum cutoff and add trend + breakout confirmation to reduce overfit; restrict to UPTREND and non-HIGH_VOL regimes; added multi-factor exits (modest stop, drawdown cap, exit on rising vol) to limit large drawdowns; reduced base position to 0.7 to lower risk/turnover.
Fitness
0.1039
Generation
50
Complexity
11
Created
2026-10-03
Lineage
Parents (1)
removed entry condition: ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1093 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and sma_50_slope > 0.0 and breakout_20 == 1):
position = 0.7
if long and (ret_20d < -0.08 or drawdown < -0.07 or vol_20 > 0.045):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.1% | -0.0% | 3.3% | 0.2% |
| Total Return | -8.6% | -0.1% | 12.8% | 3.0% |
| Sharpe | -0.28 | 0.02 | 0.47 | 0.06 |
| Sortino | -0.07 | 0.01 | 0.12 | 0.02 |
| Calmar | -0.12 | -0.00 | 0.25 | 0.02 |
| Volatility | 3.7% | 5.6% | 7.4% | 5.3% |
| Max DD | -9.5% | -8.8% | -12.9% | -12.9% |
| Win Rate | 46.2% | 47.1% | 70.6% | 52.1% |
| Avg Win | 1.0% | 1.8% | 2.5% | 1.7% |
| Avg Loss | -1.3% | -1.5% | -3.5% | -1.7% |
| Payoff | 0.80 | 1.15 | 0.73 | 1.00 |
| Expectancy | -0.2% | 0.0% | 0.8% | 0.1% |
| Profit Factor | 0.69 | 1.03 | 1.75 | 1.09 |
| Trades | 39 | 17 | 17 | 73 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 6.8 | 7.9 | 6.4 | 6.9 |
| Exposure | 1.4% | 1.6% | 1.3% | 1.4% |
Growth of $100
PriceMomentum_V1093 vs TSLA Buy & Hold
PriceMomentum_V1093 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% | 0.23 | -2.7% | 4 |
| 2017 | 2.1% | 0.97 | -0.8% | 5 |
| 2018 | -4.4% | -1.72 | -4.4% | 3 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.5% | 1.23 | -3.6% | 14 |
| 2022 | -8.8% | -1.55 | -8.8% | 3 |
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 | 277 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 15.2% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.0% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 436 | 8.7% | 1.33 | 2% |
| hidden test | MEDIUM VOLATILITY | 251 | 10.1% | 1.31 | 1% |
| hidden test | NORMAL | 810 | 2.5% | 0.33 | 1% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 8.9% | 0.75 | 3% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -0.1% | -0.90 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 1.6% | 0.39 | 3% |
| train | MEDIUM VOLATILITY | 568 | -5.8% | -1.10 | 1% |
| train | NORMAL | 1,601 | -1.3% | -0.32 | 2% |
| train | SIDEWAYS | 592 | -0.9% | -0.70 | 0% |
| train | UPTREND | 902 | -1.8% | -0.32 | 3% |
| 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 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.3% | 0.26 | 4% |
| validation | MEDIUM VOLATILITY | 315 | -0.4% | -0.06 | 2% |
| validation | NORMAL | 474 | 0.2% | 0.03 | 3% |
| validation | SIDEWAYS | 206 | -5.8% | -1.12 | 0% |
| validation | UPTREND | 425 | 3.0% | 0.47 | 3% |
Trades (full period)
73 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.37% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.35% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.05% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.46% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.32% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 6.99% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.53% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.59% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.45% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.79% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 5.80% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.50% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.58% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.09% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.61% | 2 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 1.97% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.33% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.39% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.84% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.05% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.63% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.23% | 2 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -2.20% | 2 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.12% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.14% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.06% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.44% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.78% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.55% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.21% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 1.13% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.29% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -2.31% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.26% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-07-02 | 2015-07-06 | $18.67 | $18.65 | 2.69% | 2 | |
| 2015-06-26 | 2015-06-29 | $17.81 | $17.47 | -0.58% | 2 | |
| 2015-06-24 | 2015-06-25 | $17.68 | $17.92 | -0.79% | 2 | |
| 2015-06-19 | 2015-06-22 | $17.50 | $17.32 | 0.03% | 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 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.17% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.39% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.07% | 2 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -2.26% | 2 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 3.60% | 2 | |
| 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 | |
| 2014-08-18 | 2014-08-19 | $17.33 | $17.12 | -0.69% | 2 | |
| 2014-08-14 | 2014-08-15 | $17.43 | $17.47 | 0.15% | 2 | |
| 2014-08-12 | 2014-08-13 | $17.33 | $17.35 | 0.03% | 2 | |
| 2014-08-07 | 2014-08-08 | $16.83 | $16.54 | 0.83% | 2 | |
| 2014-08-05 | 2014-08-06 | $15.90 | $16.60 | -0.15% | 2 | |
| 2014-06-30 | 2014-07-01 | $16.00 | $15.98 | 0.15% | 2 | |
| 2014-06-24 | 2014-06-25 | $15.50 | $15.79 | -1.53% | 2 | |
| 2012-12-12 | 2012-12-13 | $2.35 | $2.24 | -0.18% | 2 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.51% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.83% | 2 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -5.68% | 2 | |
| 2012-03-27 | 2012-03-28 | $2.53 | $2.52 | 0.87% | 2 | |
| 2012-03-13 | 2012-03-14 | $2.41 | $2.35 | 0.02% | 2 |