Strategy Zoo / S1096
PriceMomentum_V1096
ARCHIVEDhybridllmReplaced redundant ret_20d checks with a regime-aware momentum+trend entry (ret_20d > 6% AND above sma20 AND positive 50-day slope) plus a lower-volatility breakout alternate; tightened and diversified exits to include short-term pullback and drawdown limits; restricted trading to UPTREND and non-HIGH volatility regimes and excluded EXTREME bubble states; added volatility-scaled position sizing (full size in low vol, reduced in medium/high) to improve robustness and reduce drawdown.
Fitness
0.3279
Generation
50
Complexity
20
Created
2026-10-03
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0091; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1096 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.06 and dist_sma_20 > 0.0 and sma_50_slope > 0.0 and vol_pctile < 0.75) or (breakout_20 > 0.02 and vol_pctile < 0.6 and momentum_60 > 0.0)):
position = 1.0
if long and (ret_5d < -0.06 or ret_20d < -0.08 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.0% | 22.1% | 7.4% | 9.7% |
| Total Return | 59.6% | 82.2% | 30.3% | 290.2% |
| Sharpe | 0.44 | 1.12 | 0.48 | 0.62 |
| Sortino | 0.29 | 0.90 | 0.26 | 0.40 |
| Calmar | 0.24 | 0.65 | 0.36 | 0.28 |
| Volatility | 16.3% | 19.5% | 18.0% | 17.5% |
| Max DD | -25.0% | -34.1% | -20.5% | -34.1% |
| Win Rate | 46.7% | 43.8% | 46.2% | 45.8% |
| Avg Win | 7.1% | 18.5% | 8.7% | 11.3% |
| Avg Loss | -3.8% | -5.7% | -3.2% | -4.2% |
| Payoff | 1.87 | 3.25 | 2.77 | 2.70 |
| Expectancy | 1.3% | 4.9% | 2.3% | 2.9% |
| Profit Factor | 1.63 | 2.53 | 2.37 | 2.28 |
| Trades | 30 | 16 | 13 | 59 |
| Avg Holding Days | 12.9 | 10.9 | 10.6 | 12.1 |
| Turnover | 7.3 | 8.7 | 7.0 | 7.4 |
| Exposure | 17.2% | 17.3% | 11.4% | 15.8% |
Growth of $100
PriceMomentum_V1096 vs TSLA Buy & Hold
PriceMomentum_V1096 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 | -11.1% | -1.21 | -15.5% | 3 |
| 2017 | 20.2% | 1.13 | -9.1% | 9 |
| 2018 | -9.5% | -1.53 | -9.5% | 2 |
| 2019 | 6.3% | 0.58 | -8.9% | 2 |
| 2020 | 68.0% | 2.71 | -5.5% | 4 |
| 2021 | 34.8% | 1.31 | -18.9% | 7 |
| 2022 | -21.7% | -2.49 | -23.7% | 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 | 277 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 67.0% | 1.98 | 44% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.8% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 436 | 27.4% | 1.69 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -8.0% | -0.31 | 18% |
| hidden test | NORMAL | 810 | 3.3% | 0.20 | 9% |
| hidden test | SIDEWAYS | 293 | -4.3% | -1.57 | 1% |
| hidden test | UPTREND | 371 | 25.5% | 0.89 | 28% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 40.1% | 1.60 | 33% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 12.3% | 1.03 | 1% |
| train | LOW VOLATILITY | 745 | 22.6% | 1.11 | 38% |
| train | MEDIUM VOLATILITY | 568 | -19.3% | -1.28 | 10% |
| train | NORMAL | 1,601 | 0.7% | 0.05 | 15% |
| train | SIDEWAYS | 592 | -5.8% | -1.34 | 1% |
| train | UPTREND | 902 | 19.8% | 0.82 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.3% | 2.66 | 37% |
| validation | EXTREME | 144 | 33.1% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 17.9% | 0.93 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 46.8% | 1.86 | 20% |
| validation | NORMAL | 474 | 2.3% | 0.13 | 16% |
| validation | SIDEWAYS | 206 | -13.6% | -1.88 | 1% |
| validation | UPTREND | 425 | 45.5% | 1.79 | 30% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-08 | 2025-12-31 | $439.58 | $449.72 | -0.33% | 17 | |
| 2025-09-12 | 2025-11-13 | $395.94 | $401.99 | 13.76% | 45 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | 0.22% | 10 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -11.10% | 4 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -3.58% | 4 | |
| 2024-09-25 | 2024-09-27 | $257.02 | $260.46 | -0.15% | 3 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 13.38% | 8 | |
| 2023-06-28 | 2023-07-24 | $256.24 | $269.06 | 5.15% | 18 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.67% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -10.66% | 6 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 45.15% | 56 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2021-02-02 | 2021-02-17 | $290.93 | $266.05 | -5.68% | 11 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.34% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.18% | 5 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 30.32% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-10-16 | 2020-10-22 | $146.56 | $141.93 | -4.25% | 5 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 50.05% | 26 | |
| 2019-11-22 | 2019-11-27 | $22.20 | $22.09 | -7.49% | 4 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-12-07 | 2018-12-19 | $23.86 | $22.20 | -4.43% | 9 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.27% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.74% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.94% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 1.07% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 9.94% | 7 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.93% | 22 | |
| 2015-07-15 | 2015-07-28 | $17.54 | $17.65 | -1.72% | 10 | |
| 2015-05-11 | 2015-07-13 | $15.97 | $17.48 | 9.31% | 44 | |
| 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 | 2014-07-08 | $15.81 | $14.60 | -3.21% | 11 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 17.45% | 9 | |
| 2013-10-16 | 2013-10-23 | $12.24 | $10.97 | -6.58% | 6 | |
| 2013-10-07 | 2013-10-09 | $12.20 | $11.25 | -2.54% | 3 | |
| 2013-09-09 | 2013-10-04 | $10.71 | $12.07 | 3.59% | 20 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2012-12-18 | 2013-02-22 | $2.31 | $2.41 | 2.01% | 45 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 4.71% | 31 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |