Strategy Zoo / S1157
PriceMomentum_V1157
ARCHIVEDhybridllmAdded regime gates to avoid high-volatility and extreme bubble regimes; simplified and clarified entry into two robust cases (moderate momentum + 50-day breakout with volatility and RSI guard, or strong 20d momentum with 200sma confirmation and reasonable yearly draw). Broadened exit to use larger, clearer short-term and medium-term stop rules (ret_5d and ret_20d thresholds). Reduced base_position to 0.8 to lower risk and improve generalization.
Fitness
0.2935
Generation
53
Complexity
18
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1157 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.02 and breakout_50 == 1 and vol_pctile < 0.75 and rsi_14 < 80.0) or (ret_20d > 0.12 and (close > sma_200 or sma_200_slope > 0.0) and cumret_252d > -0.25)):
position = 0.8
if long and (ret_20d < -0.02 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 23.2% | 7.0% | 7.2% |
| Total Return | 12.5% | 87.0% | 28.9% | 177.7% |
| Sharpe | 0.17 | 1.14 | 0.46 | 0.48 |
| Sortino | 0.11 | 0.93 | 0.28 | 0.33 |
| Calmar | 0.04 | 0.79 | 0.27 | 0.22 |
| Volatility | 16.0% | 20.1% | 18.4% | 17.5% |
| Max DD | -33.4% | -29.4% | -26.4% | -33.4% |
| Win Rate | 48.5% | 40.0% | 46.7% | 45.6% |
| Avg Win | 6.4% | 15.1% | 8.9% | 9.8% |
| Avg Loss | -5.6% | -3.6% | -3.9% | -4.6% |
| Payoff | 1.15 | 4.17 | 2.27 | 2.14 |
| Expectancy | 0.2% | 3.9% | 2.0% | 2.0% |
| Profit Factor | 1.08 | 2.78 | 1.98 | 1.80 |
| Trades | 33 | 20 | 15 | 68 |
| Avg Holding Days | 13.1 | 9.8 | 13.0 | 12.3 |
| Turnover | 6.7 | 10.7 | 6.4 | 7.4 |
| Exposure | 16.4% | 18.6% | 15.3% | 16.6% |
Growth of $100
PriceMomentum_V1157 vs TSLA Buy & Hold
PriceMomentum_V1157 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 | -8.6% | -0.71 | -15.3% | 4 |
| 2017 | 19.1% | 1.25 | -10.6% | 7 |
| 2018 | -12.7% | -1.21 | -13.4% | 2 |
| 2019 | 10.1% | 0.57 | -12.0% | 3 |
| 2020 | 77.6% | 2.95 | -6.3% | 3 |
| 2021 | 11.9% | 0.57 | -29.4% | 11 |
| 2022 | -8.7% | -0.65 | -18.5% | 6 |
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 | 278 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 51.7% | 1.63 | 44% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.9% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 438 | 29.2% | 1.74 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.2% | 0.05 | 21% |
| hidden test | NORMAL | 811 | 4.6% | 0.27 | 13% |
| hidden test | SIDEWAYS | 293 | -9.2% | -0.53 | 18% |
| hidden test | UPTREND | 371 | 28.8% | 1.15 | 25% |
| train | DOWNTREND | 518 | -1.9% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 32.6% | 1.52 | 26% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 4.8% | 0.35 | 1% |
| train | LOW VOLATILITY | 745 | 23.6% | 1.39 | 32% |
| train | MEDIUM VOLATILITY | 568 | -27.2% | -1.62 | 14% |
| train | NORMAL | 1,601 | -3.5% | -0.23 | 15% |
| train | SIDEWAYS | 592 | -12.0% | -0.82 | 11% |
| train | UPTREND | 902 | 15.1% | 0.74 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 90.1% | 3.10 | 36% |
| validation | EXTREME | 144 | 37.8% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.7% | 0.24 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 60.5% | 2.20 | 27% |
| validation | NORMAL | 474 | -1.2% | -0.07 | 19% |
| validation | SIDEWAYS | 206 | -24.4% | -1.86 | 13% |
| validation | UPTREND | 425 | 52.5% | 2.09 | 27% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-05 | $433.59 | $391.00 | -1.55% | 9 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -0.89% | 12 | |
| 2025-08-27 | 2025-11-10 | $349.60 | $445.23 | 17.65% | 53 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-05-19 | 2025-06-04 | $342.09 | $332.05 | -1.41% | 12 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2023-11-27 | 2024-01-04 | $236.08 | $237.93 | 0.96% | 27 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 4.03% | 17 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.84% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -3.88% | 7 | |
| 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 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.48% | 14 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-08-31 | 2021-11-10 | $245.24 | $355.98 | 31.27% | 51 | |
| 2021-08-03 | 2021-08-18 | $236.58 | $229.66 | -5.11% | 12 | |
| 2021-07-13 | 2021-07-20 | $222.85 | $220.17 | -4.78% | 6 | |
| 2021-07-01 | 2021-07-08 | $225.97 | $217.60 | -4.29% | 5 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-19 | 2021-04-21 | $238.21 | $248.04 | -2.40% | 3 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.97% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 35.18% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -4.93% | 11 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.79% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 13.05% | 40 | |
| 2016-07-22 | 2016-08-18 | $14.82 | $14.90 | 0.86% | 20 | |
| 2016-06-09 | 2016-06-15 | $15.29 | $14.51 | -7.17% | 5 | |
| 2016-03-29 | 2016-05-02 | $15.34 | $16.12 | 3.56% | 25 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -5.69% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-07-21 | 2015-07-28 | $17.78 | $17.65 | -8.49% | 6 | |
| 2015-04-28 | 2015-07-13 | $15.37 | $17.48 | 9.38% | 53 | |
| 2014-11-17 | 2014-11-24 | $16.93 | $16.45 | -5.08% | 6 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.56% | 28 | |
| 2014-06-09 | 2014-07-08 | $13.69 | $14.60 | 5.48% | 21 | |
| 2014-03-20 | 2014-03-25 | $15.66 | $14.70 | -5.49% | 4 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-10-08 | 2013-10-09 | $11.65 | $11.25 | -3.80% | 2 | |
| 2013-09-11 | 2013-10-04 | $10.90 | $12.07 | 3.27% | 18 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -8.57% | 3 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.18% | 18 | |
| 2012-11-14 | 2013-01-10 | $2.09 | $2.24 | 5.04% | 39 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -4.73% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-05 | $2.24 | $2.30 | 4.44% | 36 |