Strategy Zoo / S1163
PriceMomentum_V1163
ARCHIVEDhybridllmSimplified and regularized entry (reduce overfitting): require moderate 20d momentum (>3%) plus either 50-day breakout, higher >200 trend confirmation (price>200sma & 200sma slope>0), or strong 20d surge (>15%). Stronger, clearer exits: larger stop (-2% 20d), exit on break below SMA50, or on volatility spike (vol_pctile>0.85). Added regime gates to avoid trading in downtrends/high volatility or extreme bubbles. Reduced base_position to 0.6 to lower risk/turnover.
Fitness
0.3112
Generation
53
Complexity
15
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1163 [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 > 0.03 and (breakout_50 == 1 or (close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.15)):
position = 0.6
if long and (ret_20d < -0.02 or close < sma_50 or vol_pctile > 0.85):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.0% | 23.1% | -1.3% | 4.7% |
| Total Return | 8.4% | 86.5% | -4.6% | 96.1% |
| Sharpe | 0.14 | 1.26 | -0.01 | 0.38 |
| Sortino | 0.11 | 1.12 | -0.01 | 0.29 |
| Calmar | 0.03 | 1.16 | -0.05 | 0.13 |
| Volatility | 13.9% | 17.8% | 15.1% | 15.1% |
| Max DD | -37.4% | -20.0% | -26.8% | -37.4% |
| Win Rate | 38.3% | 40.0% | 35.0% | 37.9% |
| Avg Win | 4.9% | 12.2% | 6.6% | 7.5% |
| Avg Loss | -3.0% | -2.1% | -3.6% | -2.9% |
| Payoff | 1.67 | 5.74 | 1.85 | 2.56 |
| Expectancy | 0.1% | 3.6% | -0.0% | 1.0% |
| Profit Factor | 1.04 | 3.82 | 0.99 | 1.57 |
| Trades | 47 | 20 | 20 | 87 |
| Avg Holding Days | 11.9 | 13.0 | 12.7 | 12.6 |
| Turnover | 7.1 | 8.0 | 6.4 | 7.1 |
| Exposure | 16.0% | 19.0% | 14.8% | 16.4% |
Growth of $100
PriceMomentum_V1163 vs TSLA Buy & Hold
PriceMomentum_V1163 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 | -2.7% | -0.30 | -8.7% | 3 |
| 2017 | 3.1% | 0.28 | -15.6% | 14 |
| 2018 | -10.7% | -1.23 | -11.3% | 3 |
| 2019 | 7.7% | 0.53 | -12.1% | 3 |
| 2020 | 57.2% | 2.78 | -6.4% | 5 |
| 2021 | 17.3% | 0.87 | -20.0% | 12 |
| 2022 | -1.1% | -0.00 | -17.0% | 3 |
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 | -2.1% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 43.3% | 1.80 | 35% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.9% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 438 | 20.9% | 1.55 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.9% | -1.10 | 20% |
| hidden test | NORMAL | 811 | -4.6% | -0.32 | 14% |
| hidden test | SIDEWAYS | 293 | -15.1% | -1.03 | 19% |
| hidden test | UPTREND | 371 | 13.2% | 0.65 | 22% |
| train | DOWNTREND | 518 | -6.0% | -1.31 | 0% |
| train | EXPENSIVE | 311 | 25.4% | 1.38 | 27% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.6% | 0.27 | 1% |
| train | LOW VOLATILITY | 745 | 16.9% | 1.21 | 29% |
| train | MEDIUM VOLATILITY | 568 | -19.6% | -1.35 | 17% |
| train | NORMAL | 1,601 | -2.9% | -0.22 | 15% |
| train | SIDEWAYS | 592 | -9.6% | -0.79 | 13% |
| train | UPTREND | 902 | 14.1% | 0.79 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 80.6% | 3.30 | 33% |
| validation | EXTREME | 144 | 28.4% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 12.5% | 0.89 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 50.4% | 2.06 | 26% |
| validation | NORMAL | 474 | 3.6% | 0.21 | 20% |
| validation | SIDEWAYS | 206 | -13.1% | -0.81 | 19% |
| validation | UPTREND | 425 | 46.1% | 2.22 | 25% |
Trades (full period)
87 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -2.97% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.20% | 15 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 11.23% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -11.41% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -8.81% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 13.31% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.46% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.46% | 4 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.40% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 17.41% | 44 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -5.91% | 7 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -1.82% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.49% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 25.37% | 71 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.24% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.16% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -1.90% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.14% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -3.16% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.89% | 13 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.38% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 25.60% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 25.43% | 14 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.47% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.65% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 2.92% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 30.11% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -4.82% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.59% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.05% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.15% | 4 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -5.36% | 8 | |
| 2017-08-30 | 2017-09-07 | $23.55 | $23.37 | -0.60% | 6 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.36% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -5.75% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.18% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.96% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.03% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.10% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 7.23% | 42 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -1.87% | 18 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 3.67% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -3.58% | 4 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -2.18% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -3.72% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 5.62% | 64 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.79% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-09-19 | 2014-09-23 | $17.29 | $16.69 | -3.27% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.93% | 30 | |
| 2014-06-16 | 2014-07-16 | $14.97 | $14.48 | 3.87% | 22 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.40% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-05-27 | 2014-06-03 | $14.10 | $13.66 | -0.86% | 6 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.06% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.66% | 9 | |
| 2014-01-03 | 2014-01-14 | $9.97 | $10.75 | -4.44% | 8 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.22% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.32% | 21 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 4.08% | 45 | |
| 2012-07-06 | 2012-07-20 | $2.07 | $2.12 | 2.03% | 11 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.06% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.18% | 38 |