Strategy Zoo / S1117
PriceMomentum_V1117
ARCHIVEDhybridllmAdded trend and low-volatility regime gates to reduce trading in adverse regimes; broadened entry to require modest 20d momentum plus either a 20d breakout or positive 50-day slope (reduces false signals); strengthened exits to include a larger 20d stop, a gap below the 50-day SMA, and a drawdown stop; introduced simple volatility- and trend-based position sizing (reduce size in high short-term vol; full size when 50-day slope strong); lowered base position to 0.6 to reduce leverage and drawdown risk.
Fitness
0.3595
Generation
51
Complexity
9
Created
2026-10-03
Lineage
Parents (1)
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1117 [hybrid]
if flat and (ret_20d > 0.08 and (breakout_20 == 1 or sma_50_slope > 0.0)):
position = 0.6
if long and (ret_20d < -0.02 or dist_sma_50 < -0.05 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.2% | 29.0% | 5.2% | 10.4% |
| Total Return | 62.3% | 114.7% | 20.7% | 327.9% |
| Sharpe | 0.44 | 1.11 | 0.43 | 0.63 |
| Sortino | 0.43 | 1.01 | 0.32 | 0.56 |
| Calmar | 0.17 | 0.96 | 0.27 | 0.29 |
| Volatility | 17.0% | 25.9% | 14.0% | 18.5% |
| Max DD | -35.8% | -30.1% | -19.2% | -35.8% |
| Win Rate | 41.6% | 46.8% | 55.8% | 47.8% |
| Avg Win | 3.3% | 6.0% | 1.8% | 3.3% |
| Avg Loss | -1.4% | -2.3% | -1.8% | -1.7% |
| Payoff | 2.31 | 2.59 | 1.00 | 1.91 |
| Expectancy | 0.5% | 1.6% | 0.2% | 0.7% |
| Profit Factor | 1.64 | 2.28 | 1.26 | 1.75 |
| Trades | 125 | 62 | 104 | 291 |
| Avg Holding Days | 5.9 | 5.0 | 2.5 | 4.5 |
| Turnover | 18.9 | 24.8 | 33.4 | 23.7 |
| Exposure | 18.4% | 19.6% | 9.6% | 16.4% |
Growth of $100
PriceMomentum_V1117 vs TSLA Buy & Hold
PriceMomentum_V1117 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 | 3.6% | 0.55 | -6.4% | 22 |
| 2017 | -4.5% | -0.22 | -16.8% | 16 |
| 2018 | -12.6% | -1.00 | -14.2% | 11 |
| 2019 | 0.5% | 0.10 | -8.0% | 20 |
| 2020 | 114.7% | 2.15 | -22.6% | 25 |
| 2021 | 24.0% | 1.25 | -11.8% | 14 |
| 2022 | -21.3% | -2.36 | -21.9% | 23 |
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 | 0.9% | 0.10 | 3% |
| hidden test | EXPENSIVE | 83 | 20.9% | 1.02 | 22% |
| hidden test | EXTREME | 48 | 83.1% | 3.00 | 25% |
| hidden test | HIGH VOLATILITY | 254 | 12.3% | 0.68 | 10% |
| hidden test | LOW VOLATILITY | 436 | 8.2% | 0.72 | 10% |
| hidden test | MEDIUM VOLATILITY | 251 | -4.1% | -0.31 | 9% |
| hidden test | NORMAL | 810 | -0.1% | -0.01 | 7% |
| hidden test | SIDEWAYS | 293 | -5.2% | -0.48 | 7% |
| hidden test | UPTREND | 371 | 18.7% | 1.01 | 17% |
| train | DOWNTREND | 518 | -0.1% | -0.02 | 2% |
| train | EXPENSIVE | 311 | 12.2% | 0.54 | 40% |
| train | EXTREME | 100 | 213.4% | 4.91 | 56% |
| train | HIGH VOLATILITY | 699 | 26.3% | 1.19 | 19% |
| train | LOW VOLATILITY | 745 | 6.8% | 0.56 | 22% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -1.01 | 14% |
| train | NORMAL | 1,601 | -6.3% | -0.54 | 12% |
| train | SIDEWAYS | 592 | -9.8% | -1.05 | 10% |
| train | UPTREND | 902 | 23.1% | 0.96 | 34% |
| validation | DOWNTREND | 125 | 2.4% | 1.35 | 1% |
| validation | EXPENSIVE | 138 | 37.7% | 1.25 | 32% |
| validation | EXTREME | 144 | 127.4% | 2.81 | 43% |
| validation | HIGH VOLATILITY | 258 | 15.7% | 0.44 | 20% |
| validation | LOW VOLATILITY | 183 | 17.5% | 1.58 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 46.1% | 2.05 | 24% |
| validation | NORMAL | 474 | -3.7% | -0.29 | 9% |
| validation | SIDEWAYS | 206 | -12.5% | -1.87 | 6% |
| validation | UPTREND | 425 | 56.6% | 1.66 | 32% |
Trades (full period)
latest 100 of 291
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-24 | $380.12 | $377.94 | 0.07% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -3.67% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -0.86% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.56% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.05% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -3.43% | 16 | |
| 2025-09-22 | 2025-10-13 | $434.21 | $435.90 | -1.69% | 16 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.18% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.13% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 2.32% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.17% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.03% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -3.77% | 2 | |
| 2024-12-24 | 2024-12-31 | $462.28 | $403.84 | -1.86% | 5 | |
| 2024-12-06 | 2024-12-23 | $389.22 | $430.60 | 8.32% | 12 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.99% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.95% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.07% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -2.50% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.54% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.17% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 1.72% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.20% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 5.25% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.62% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.15% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.77% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 0.90% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -1.51% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.32% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 2.63% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.82% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -2.57% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.24% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -7.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 2.97% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.06% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 0.81% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 1.67% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -3.45% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.46% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.48% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.80% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.18% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.08% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.58% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.33% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.01% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.32% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 0.76% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 0.90% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 0.94% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 2.36% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.10% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 0.98% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -0.98% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 3.15% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.24% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -3.27% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -3.53% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 4.38% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -3.14% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 1.25% | 2 |