Strategy Zoo / S1135
PriceMomentum_V1135
ARCHIVEDhybridllmRestricted regime gates to avoid high-volatility and bubble setups; strengthened entry by requiring positive 50-day slope and non-overbought RSI for breakout signals; added momentum confirmation (macd_hist) and a profit target to exit rules alongside a tighter stop; added simple volatility-based position scaling (reduce size when vol_pctile > 0.7). These changes aim to reduce drawdowns and false breakouts while keeping the core momentum idea.
Fitness
0.1555
Generation
52
Complexity
15
Created
2026-10-03
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1135 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
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 vol_chg < 1.2007 and sma_50_slope > 0.0 and rsi_14 < 70.0)):
position = 1.0
if long and (ret_20d < -0.12 or ret_20d > 0.2 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.1% | 2.7% | -2.6% | -0.7% |
| Total Return | -8.7% | 8.4% | -9.4% | -10.3% |
| Sharpe | 0.02 | 0.24 | -0.04 | 0.05 |
| Sortino | 0.01 | 0.17 | -0.02 | 0.03 |
| Calmar | -0.02 | 0.18 | -0.08 | -0.01 |
| Volatility | 17.1% | 17.1% | 19.7% | 17.8% |
| Max DD | -47.1% | -14.8% | -31.8% | -52.5% |
| Win Rate | 43.8% | 51.1% | 45.3% | 45.9% |
| Avg Win | 3.7% | 3.7% | 4.3% | 3.9% |
| Avg Loss | -2.9% | -3.2% | -3.6% | -3.2% |
| Payoff | 1.29 | 1.16 | 1.20 | 1.23 |
| Expectancy | 0.0% | 0.3% | -0.0% | 0.1% |
| Profit Factor | 1.00 | 1.21 | 0.99 | 1.04 |
| Trades | 96 | 45 | 64 | 205 |
| Avg Holding Days | 4.2 | 3.6 | 3.3 | 3.8 |
| Turnover | 24.0 | 30.0 | 34.3 | 27.9 |
| Exposure | 15.1% | 15.2% | 15.4% | 15.2% |
Growth of $100
PriceMomentum_V1135 vs TSLA Buy & Hold
PriceMomentum_V1135 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 | -15.3% | -1.23 | -17.3% | 19 |
| 2017 | 17.3% | 1.77 | -5.4% | 7 |
| 2018 | -14.4% | -1.52 | -16.0% | 7 |
| 2019 | 10.1% | 0.51 | -10.8% | 9 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 2.5% | 0.22 | -14.8% | 22 |
| 2022 | 5.8% | 0.41 | -13.4% | 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 | -3.9% | -1.50 | 1% |
| hidden test | EXPENSIVE | 83 | 42.5% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.6% | -0.17 | 2% |
| hidden test | LOW VOLATILITY | 436 | 8.1% | 0.43 | 24% |
| hidden test | MEDIUM VOLATILITY | 251 | -14.2% | -0.58 | 15% |
| hidden test | NORMAL | 810 | -5.2% | -0.25 | 18% |
| hidden test | SIDEWAYS | 293 | -34.8% | -1.60 | 29% |
| hidden test | UPTREND | 371 | 28.6% | 1.17 | 15% |
| train | DOWNTREND | 518 | -5.9% | -0.75 | 1% |
| train | EXPENSIVE | 311 | 10.0% | 1.50 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 8.8% | 0.56 | 1% |
| train | LOW VOLATILITY | 745 | 9.1% | 0.52 | 29% |
| train | MEDIUM VOLATILITY | 568 | -21.8% | -1.23 | 14% |
| train | NORMAL | 1,601 | -1.6% | -0.08 | 19% |
| train | SIDEWAYS | 592 | -0.5% | -0.03 | 22% |
| train | UPTREND | 902 | 4.4% | 0.22 | 18% |
| 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 | 3.5% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 3.3% | 0.17 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 5.1% | 0.23 | 12% |
| validation | NORMAL | 474 | 6.6% | 0.30 | 24% |
| validation | SIDEWAYS | 206 | 9.2% | 0.42 | 24% |
| validation | UPTREND | 425 | 2.9% | 0.17 | 15% |
Trades (full period)
latest 100 of 205
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -6.42% | 8 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-23 | 2025-12-30 | $485.56 | $454.43 | -6.14% | 5 | |
| 2025-12-08 | 2025-12-22 | $439.58 | $488.73 | 5.54% | 11 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 12.63% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 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 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-23 | 2024-09-26 | $250.00 | $254.22 | 7.67% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-04 | 2024-09-06 | $219.41 | $210.73 | 9.08% | 3 | |
| 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 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 23.13% | 11 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -2.18% | 10 | |
| 2023-11-30 | 2023-12-14 | $240.08 | $251.05 | -2.18% | 11 | |
| 2023-11-17 | 2023-11-29 | $234.30 | $244.14 | 5.41% | 8 | |
| 2023-09-20 | 2023-09-25 | $262.59 | $246.99 | -8.30% | 4 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-12 | 2023-09-15 | $267.48 | $274.39 | 0.70% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 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 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -5.03% | 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 | |
| 2022-04-01 | 2022-04-04 | $361.53 | $381.82 | 0.45% | 2 | |
| 2022-03-30 | 2022-03-31 | $364.66 | $359.20 | -0.71% | 2 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 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 | |
| 2021-10-12 | 2021-10-26 | $268.57 | $339.48 | 29.15% | 11 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 |