Strategy Zoo / S1142
PriceMomentum_V1142
ARCHIVEDhybridllmAdded conservative regime gates (only trade in UPTREND, non-high volatility, NORMAL bubble) to reduce overfitting and avoid bad market regimes; simplified and strengthened entry to require a recent breakout + moderate 20d momentum or a strong momentum override (with volatility cap); replaced tiny one-day exit with a multi-condition exit (larger 20d stop, SMA50 trend failure, or drawdown cap) to reduce whipsaw and control tail losses; reduced base position size to 0.7 to lower portfolio risk.
Fitness
0.1048
Generation
52
Complexity
15
Created
2026-10-03
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1142 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.03 and breakout_20 == 1 and close > sma_50) or (ret_20d > 0.18 and vol_pctile < 0.9)):
position = 0.7
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | -3.6% | 2.1% | -0.5% |
| Total Return | -3.5% | -10.4% | 7.9% | -6.7% |
| Sharpe | -0.01 | -0.23 | 0.22 | 0.01 |
| Sortino | -0.01 | -0.09 | 0.09 | 0.00 |
| Calmar | -0.02 | -0.10 | 0.09 | -0.01 |
| Volatility | 8.3% | 12.6% | 13.1% | 10.6% |
| Max DD | -18.4% | -35.7% | -22.2% | -35.7% |
| Win Rate | 42.9% | 16.7% | 54.5% | 41.9% |
| Avg Win | 3.9% | 26.5% | 7.3% | 7.2% |
| Avg Loss | -3.2% | -6.5% | -6.5% | -5.0% |
| Payoff | 1.21 | 4.07 | 1.13 | 1.43 |
| Expectancy | -0.2% | -1.0% | 1.0% | 0.1% |
| Profit Factor | 0.91 | 0.81 | 1.35 | 1.03 |
| Trades | 14 | 6 | 11 | 31 |
| Avg Holding Days | 17.3 | 15.0 | 8.5 | 13.7 |
| Turnover | 2.5 | 2.8 | 4.1 | 2.9 |
| Exposure | 7.9% | 7.8% | 6.2% | 7.5% |
Growth of $100
PriceMomentum_V1142 vs TSLA Buy & Hold
PriceMomentum_V1142 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 | -5.6% | -0.72 | -10.2% | 3 |
| 2017 | 8.3% | 2.08 | -0.6% | 1 |
| 2018 | -8.5% | -1.48 | -8.5% | 2 |
| 2019 | 5.2% | 0.73 | -5.2% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 22.6% | 1.27 | -12.0% | 2 |
| 2022 | -27.0% | -2.29 | -27.0% | 4 |
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 | 29.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -16.8% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 436 | 8.3% | 0.78 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | 13.5% | 0.87 | 8% |
| hidden test | NORMAL | 810 | 0.3% | 0.02 | 7% |
| hidden test | SIDEWAYS | 293 | -10.3% | -1.11 | 1% |
| hidden test | UPTREND | 371 | 15.5% | 0.81 | 15% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.8% | 1.12 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 6.7% | 0.58 | 18% |
| train | MEDIUM VOLATILITY | 568 | -9.2% | -1.14 | 5% |
| train | NORMAL | 1,601 | -1.1% | -0.12 | 10% |
| train | SIDEWAYS | 592 | -3.3% | -1.11 | 1% |
| train | UPTREND | 902 | 1.9% | 0.16 | 17% |
| 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 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 7.6% | 0.68 | 21% |
| validation | MEDIUM VOLATILITY | 315 | -4.5% | -0.28 | 6% |
| validation | NORMAL | 474 | -4.6% | -0.29 | 12% |
| validation | SIDEWAYS | 206 | -20.9% | -1.85 | 2% |
| validation | UPTREND | 425 | 5.0% | 0.34 | 13% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.26% | 14 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -12.73% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -9.25% | 6 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.04% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 17.81% | 42 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.93% | 16 | |
| 2021-09-01 | 2021-11-10 | $244.70 | $355.98 | 26.54% | 50 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.11% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.17% | 17 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -4.30% | 11 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.28% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.23% | 22 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 3.99% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.53% | 30 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -6.06% | 17 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.70% | 12 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.06% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |