Strategy Zoo / S1179
PriceMomentum_V1179
ARCHIVEDhybridllmAdded trend/volatility/bubble regime gates to force deployment only in uptrends and moderate volatility; simplified and regularized entry by requiring either 50-day breakout or recent 20d momentum + price above sma_50, plus positive sma_50 slope and not too close to 52w high to reduce buying extremes; strengthened exit with a larger 20d stop (-3%), exit on price crossing below sma_50, and overbought RSI cutoff; introduced volatility- and 52w-high-based position scaling (reduce size when vol_pctile>0.6 or price very near 52w high) to improve robustness and reduce drawdown/overfitting.
Fitness
0.5383
Generation
54
Complexity
13
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1179 [hybrid]
if flat and ((breakout_50 == 1 or (ret_20d > 0.05 and rsi_14 < 75.0 and close > sma_50)) and sma_50_slope > 0.0 and dist_52w_high < 0.98):
position = 1.0
if long and (ret_20d < -0.03 or close < sma_50 or rsi_14 > 90.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.4% | 63.1% | 10.4% | 26.7% |
| Total Return | 400.7% | 334.3% | 44.8% | 3142.6% |
| Sharpe | 0.81 | 1.29 | 0.47 | 0.85 |
| Sortino | 0.77 | 1.18 | 0.37 | 0.75 |
| Calmar | 0.37 | 1.27 | 0.30 | 0.44 |
| Volatility | 30.8% | 46.0% | 32.0% | 34.7% |
| Max DD | -60.8% | -49.6% | -34.9% | -60.8% |
| Win Rate | 33.3% | 50.0% | 40.0% | 39.6% |
| Avg Win | 35.3% | 37.9% | 28.1% | 40.7% |
| Avg Loss | -6.1% | -10.3% | -9.4% | -7.8% |
| Payoff | 5.82 | 3.68 | 2.99 | 5.25 |
| Expectancy | 7.7% | 13.8% | 5.6% | 11.4% |
| Profit Factor | 2.91 | 3.68 | 1.99 | 3.45 |
| Trades | 27 | 16 | 10 | 53 |
| Avg Holding Days | 26.1 | 20.8 | 27.8 | 25.8 |
| Turnover | 6.9 | 10.7 | 5.4 | 7.2 |
| Exposure | 36.3% | 41.9% | 28.5% | 35.5% |
Growth of $100
PriceMomentum_V1179 vs TSLA Buy & Hold
PriceMomentum_V1179 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 | -4.2% | -0.28 | -17.8% | 2 |
| 2017 | 13.3% | 0.62 | -22.8% | 5 |
| 2018 | -37.0% | -1.52 | -40.1% | 6 |
| 2019 | 32.7% | 1.08 | -21.5% | 2 |
| 2020 | 359.7% | 2.60 | -33.7% | 6 |
| 2021 | 67.4% | 1.73 | -17.6% | 5 |
| 2022 | -46.0% | -2.47 | -45.8% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 100.1% | 1.86 | 80% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -2.7% | -0.06 | 30% |
| hidden test | LOW VOLATILITY | 438 | 43.9% | 2.07 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.6% | -0.50 | 35% |
| hidden test | NORMAL | 811 | -4.4% | -0.16 | 21% |
| hidden test | SIDEWAYS | 293 | -23.9% | -0.98 | 20% |
| hidden test | UPTREND | 371 | 57.0% | 1.24 | 56% |
| train | DOWNTREND | 518 | 2.7% | 0.74 | 1% |
| train | EXPENSIVE | 311 | 43.0% | 1.13 | 65% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 42.0% | 1.02 | 33% |
| train | LOW VOLATILITY | 745 | 38.4% | 1.72 | 48% |
| train | MEDIUM VOLATILITY | 568 | -14.1% | -0.57 | 25% |
| train | NORMAL | 1,601 | -2.4% | -0.10 | 27% |
| train | SIDEWAYS | 592 | -23.3% | -1.22 | 16% |
| train | UPTREND | 902 | 69.1% | 1.60 | 70% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 56.4% | 1.02 | 63% |
| validation | EXTREME | 144 | 281.2% | 3.71 | 76% |
| validation | HIGH VOLATILITY | 258 | 59.3% | 0.97 | 37% |
| validation | LOW VOLATILITY | 183 | 17.7% | 0.73 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 84.2% | 2.06 | 43% |
| validation | NORMAL | 474 | -6.8% | -0.26 | 25% |
| validation | SIDEWAYS | 206 | -29.6% | -1.52 | 9% |
| validation | UPTREND | 425 | 120.3% | 2.02 | 70% |
Trades (full period)
53 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -12.36% | 17 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 17.99% | 59 | |
| 2025-05-16 | 2025-06-06 | $349.98 | $295.14 | -17.12% | 15 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -3.89% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 15.46% | 32 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 29.52% | 44 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -9.64% | 18 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -3.28% | 20 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-11-04 | 2021-12-01 | $409.97 | $365.00 | -5.88% | 19 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-08-03 | 2021-10-26 | $236.58 | $339.48 | 44.12% | 60 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-02-05 | 2020-03-04 | $48.98 | $49.97 | -16.14% | 20 | |
| 2019-10-16 | 2020-02-04 | $17.32 | $59.14 | 201.85% | 76 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-07-22 | 2019-08-12 | $17.05 | $15.27 | -9.16% | 16 | |
| 2018-11-07 | 2018-12-19 | $23.21 | $22.20 | -1.38% | 29 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -9.38% | 17 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2016-12-28 | 2017-03-08 | $14.65 | $16.46 | 13.01% | 48 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.80% | 28 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-14 | 2015-07-28 | $13.83 | $17.65 | 20.36% | 74 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-12 | 2013-01-11 | $2.07 | $2.19 | 10.37% | 42 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -4.20% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 |