Strategy Zoo / S1164
PriceMomentum_V1164
ARCHIVEDhybridllmAdded regime gates to avoid downtrends/high-bubble states; simplified and regularized entry rules (removed extreme numeric forks), added momentum/trend confirmation (macd_hist or rsi or price>200sma with positive slope); replaced fragile exit with a clearer stop (20d drop < -3%) OR price crossing below SMA50; introduced volatility-based scaling via vol_pctile to cut size in high volatility; reduced base position to 0.6 to reduce overfitting and drawdown risk.
Fitness
0.1017
Generation
53
Complexity
18
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1164 [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 and breakout_50 == 1) or (ret_20d > 0.04 and ((close > sma_200 and sma_200_slope > 0.0) or macd_hist > 0.0 or rsi_14 > 55.0))):
position = 0.6
if long and (ret_20d < -0.03 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | -1.0% | 1.0% | -0.5% |
| Total Return | -7.5% | -3.0% | 3.8% | -6.8% |
| Sharpe | -0.02 | -0.00 | 0.14 | 0.03 |
| Sortino | -0.01 | -0.00 | 0.09 | 0.02 |
| Calmar | -0.03 | -0.04 | 0.06 | -0.01 |
| Volatility | 12.0% | 13.8% | 14.2% | 12.9% |
| Max DD | -34.1% | -23.1% | -17.4% | -34.9% |
| Win Rate | 40.0% | 28.6% | 41.7% | 38.5% |
| Avg Win | 3.9% | 7.3% | 6.1% | 5.1% |
| Avg Loss | -2.8% | -2.9% | -3.7% | -3.1% |
| Payoff | 1.41 | 2.54 | 1.64 | 1.66 |
| Expectancy | -0.1% | 0.0% | 0.4% | 0.1% |
| Profit Factor | 0.94 | 1.02 | 1.17 | 1.03 |
| Trades | 40 | 14 | 24 | 78 |
| Avg Holding Days | 11.4 | 12.8 | 9.3 | 11.0 |
| Turnover | 6.0 | 5.6 | 7.7 | 6.4 |
| Exposure | 12.5% | 13.1% | 12.6% | 12.6% |
Growth of $100
PriceMomentum_V1164 vs TSLA Buy & Hold
PriceMomentum_V1164 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 | -4.5% | -0.49 | -10.5% | 6 |
| 2017 | 9.3% | 1.68 | -3.3% | 3 |
| 2018 | -10.7% | -1.23 | -11.3% | 3 |
| 2019 | -3.4% | -0.13 | -17.3% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 8.1% | 0.52 | -14.3% | 9 |
| 2022 | -10.3% | -0.62 | -23.1% | 5 |
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 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.5% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 438 | 16.1% | 1.20 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.0% | -0.59 | 13% |
| hidden test | NORMAL | 811 | -0.3% | -0.02 | 15% |
| hidden test | SIDEWAYS | 293 | -16.9% | -1.06 | 20% |
| hidden test | UPTREND | 371 | 20.0% | 1.14 | 16% |
| train | DOWNTREND | 518 | -6.4% | -1.40 | 1% |
| train | EXPENSIVE | 311 | 5.9% | 1.52 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.5% | 0.04 | 1% |
| train | LOW VOLATILITY | 745 | 10.7% | 0.85 | 25% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -1.30 | 11% |
| train | NORMAL | 1,601 | -1.5% | -0.11 | 15% |
| train | SIDEWAYS | 592 | -9.1% | -0.72 | 14% |
| train | UPTREND | 902 | 9.0% | 0.63 | 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 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 5.3% | 0.41 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 0.8% | 0.05 | 13% |
| validation | NORMAL | 474 | -0.1% | -0.00 | 21% |
| validation | SIDEWAYS | 206 | -20.5% | -1.22 | 20% |
| validation | UPTREND | 425 | 9.8% | 0.70 | 14% |
Trades (full period)
78 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 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -2.77% | 14 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 9.60% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -10.95% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -5.15% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.39% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 18.50% | 19 | |
| 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 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 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 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 17.41% | 44 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.54% | 4 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -5.91% | 7 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -6.76% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -1.82% | 20 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.50% | 26 | |
| 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 | |
| 2021-06-21 | 2021-06-22 | $206.94 | $207.90 | -0.36% | 2 | |
| 2021-06-17 | 2021-06-18 | $205.53 | $207.77 | 1.04% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.65% | 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 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 4.45% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -5.95% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -3.89% | 3 | |
| 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 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.10% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.76% | 2 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.58% | 23 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.37% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.23% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -2.18% | 2 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.92% | 7 | |
| 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 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 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 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.93% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 3.18% | 23 | |
| 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 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.07% | 5 | |
| 2014-01-13 | 2014-01-14 | $9.29 | $10.75 | -2.75% | 2 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 0.84% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -4.92% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 3.88% | 46 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.16% | 4 | |
| 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 | |
| 2012-06-18 | 2012-06-25 | $2.12 | $2.21 | 7.61% | 6 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.18% | 38 |