Strategy Zoo / S1139
PriceMomentum_V1139
ARCHIVEDhybridllmSimplified and regularized the entry rules to reduce overfitting: kept 20-day momentum threshold and added a clean price-above-200sma + positive 200sma-slope + reasonable 1-year cumulative return guard. Tightened exits into a robust multi-stop: 20-day drawdown stop, peak drawdown limit, or negative MACD histogram to cut losses early. Added regime gates to only allow trades in uptrends and non-high-volatility environments and only in normal bubble states. Reduced base position to 0.8 to lower risk/exposure.
Fitness
0.1058
Generation
52
Complexity
13
Created
2026-10-03
Lineage
Parents (1)
entry = PriceMomentum_V0758 OR PriceMomentum_V0641
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1139 [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 (close > sma_200 and sma_200_slope > 0.0 and cumret_252d > -0.15)):
position = 0.8
if long and (ret_20d < -0.06 or drawdown > 0.07 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.2% | 4.2% | -4.9% | -2.2% |
| Total Return | -22.9% | 13.3% | -17.1% | -27.5% |
| Sharpe | -0.21 | 0.31 | -0.25 | -0.08 |
| Sortino | -0.13 | 0.22 | -0.13 | -0.05 |
| Calmar | -0.09 | 0.17 | -0.15 | -0.06 |
| Volatility | 11.9% | 18.7% | 15.5% | 14.5% |
| Max DD | -34.0% | -24.4% | -33.7% | -37.9% |
| Win Rate | 40.3% | 46.3% | 41.5% | 41.6% |
| Avg Win | 2.0% | 4.3% | 3.0% | 2.7% |
| Avg Loss | -1.6% | -2.9% | -2.6% | -2.0% |
| Payoff | 1.26 | 1.49 | 1.15 | 1.32 |
| Expectancy | -0.1% | 0.4% | -0.3% | -0.1% |
| Profit Factor | 0.85 | 1.29 | 0.81 | 0.94 |
| Trades | 144 | 41 | 53 | 238 |
| Avg Holding Days | 2.9 | 3.4 | 3.2 | 3.1 |
| Turnover | 28.9 | 21.9 | 22.7 | 25.9 |
| Exposure | 11.0% | 10.5% | 9.8% | 10.6% |
Growth of $100
PriceMomentum_V1139 vs TSLA Buy & Hold
PriceMomentum_V1139 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 | -7.5% | -0.97 | -12.6% | 15 |
| 2017 | 17.9% | 1.90 | -3.5% | 15 |
| 2018 | -12.6% | -1.40 | -12.6% | 8 |
| 2019 | -3.4% | -0.42 | -9.1% | 9 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 18.2% | 0.72 | -24.4% | 29 |
| 2022 | -13.5% | -1.26 | -16.0% | 11 |
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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.8% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 1.6% | 0.12 | 13% |
| hidden test | MEDIUM VOLATILITY | 251 | -3.1% | -0.15 | 13% |
| hidden test | NORMAL | 810 | -7.9% | -0.49 | 11% |
| hidden test | SIDEWAYS | 293 | -21.4% | -2.19 | 2% |
| hidden test | UPTREND | 371 | 7.3% | 0.31 | 23% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.2% | 1.67 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.07 | 1% |
| train | LOW VOLATILITY | 745 | 2.1% | 0.17 | 20% |
| train | MEDIUM VOLATILITY | 568 | -12.6% | -0.99 | 11% |
| train | NORMAL | 1,601 | -5.0% | -0.38 | 14% |
| train | SIDEWAYS | 592 | -6.7% | -0.99 | 1% |
| train | UPTREND | 902 | -1.3% | -0.08 | 24% |
| 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 | 19.1% | 0.90 | 1% |
| validation | LOW VOLATILITY | 183 | 9.8% | 0.81 | 22% |
| validation | MEDIUM VOLATILITY | 315 | -7.3% | -0.37 | 11% |
| validation | NORMAL | 474 | 9.3% | 0.40 | 17% |
| validation | SIDEWAYS | 206 | -10.2% | -1.45 | 1% |
| validation | UPTREND | 425 | 15.3% | 0.63 | 18% |
Trades (full period)
latest 100 of 238
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-02-12 | 2026-02-18 | $417.07 | $411.32 | -3.46% | 4 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.35% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.64% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.18% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.76% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.53% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.45% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.32% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-28 | 2025-12-03 | $430.17 | $446.74 | 0.34% | 4 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.15% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.00% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.39% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.74% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -5.47% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -4.18% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.01% | 4 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -2.46% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.99% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.31% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.04% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.56% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.48% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.06% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.65% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.72% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 2.42% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-27 | 2022-01-04 | $364.65 | $383.20 | 9.81% | 7 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 5.83% | 2 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.96% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -4.18% | 2 | |
| 2021-12-14 | 2021-12-15 | $319.50 | $325.33 | -0.81% | 2 | |
| 2021-12-10 | 2021-12-13 | $339.01 | $322.14 | 0.89% | 2 | |
| 2021-12-08 | 2021-12-09 | $356.32 | $334.60 | 1.15% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.63% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.92% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.39% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 1.92% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-20 | 2021-08-23 | $226.75 | $235.43 | 0.65% | 2 | |
| 2021-08-18 | 2021-08-19 | $229.66 | $224.49 | 2.64% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 15.54% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.18% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -4.03% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 4.92% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -6.60% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -1.91% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.78% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-12-11 | 2019-12-12 | $23.51 | $23.98 | 0.72% | 2 | |
| 2019-12-09 | 2019-12-10 | $22.64 | $23.26 | 0.71% | 2 | |
| 2019-12-05 | 2019-12-06 | $22.02 | $22.39 | -0.80% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 |