Strategy Zoo / S1184
PriceMomentum_V1184
ARCHIVEDhybridllmSimplified and diversified entry rules: added a clear breakout+MA confirmation leg and a separate high-momentum leg with MACD/RSI filter to reduce overfitting. Replaced tiny exit threshold with multi-condition exit (meaningful stop loss, MA breach, or large drawdown) to control deep drawdowns. Added regime gates to avoid entering during high volatility or extreme bubble states. Added position sizing rules to reduce size in high volatility, near-52w-high (crowded) conditions, and to stop trading during large drawdowns.
Fitness
0.3049
Generation
54
Complexity
17
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1184 [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 and close > sma_50 and macd_hist > 0.0) or (ret_20d > 0.08 and macd_hist > 0.02 and rsi_14 < 75.0)):
position = 1.0
if long and (ret_20d < -0.05 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.2% | 37.1% | -2.1% | 3.8% |
| Total Return | -29.0% | 157.6% | -7.7% | 73.7% |
| Sharpe | -0.19 | 1.52 | -0.08 | 0.31 |
| Sortino | -0.11 | 1.14 | -0.05 | 0.19 |
| Calmar | -0.09 | 1.49 | -0.09 | 0.08 |
| Volatility | 15.8% | 22.3% | 14.0% | 17.0% |
| Max DD | -48.5% | -24.9% | -23.6% | -48.5% |
| Win Rate | 42.7% | 53.7% | 46.7% | 46.3% |
| Avg Win | 2.8% | 6.7% | 2.5% | 3.8% |
| Avg Loss | -2.7% | -1.8% | -2.4% | -2.4% |
| Payoff | 1.01 | 3.77 | 1.07 | 1.57 |
| Expectancy | -0.4% | 2.8% | -0.1% | 0.5% |
| Profit Factor | 0.75 | 4.37 | 0.93 | 1.36 |
| Trades | 89 | 41 | 60 | 190 |
| Avg Holding Days | 3.6 | 3.7 | 2.3 | 3.3 |
| Turnover | 22.4 | 27.3 | 32.1 | 25.8 |
| Exposure | 12.1% | 14.8% | 8.3% | 11.7% |
Growth of $100
PriceMomentum_V1184 vs TSLA Buy & Hold
PriceMomentum_V1184 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 | -10.7% | -1.17 | -12.7% | 15 |
| 2017 | 4.6% | 0.34 | -10.5% | 18 |
| 2018 | -6.5% | -0.93 | -7.6% | 5 |
| 2019 | -0.7% | -0.01 | -10.6% | 9 |
| 2020 | 94.3% | 2.84 | -7.9% | 2 |
| 2021 | 23.3% | 0.88 | -24.9% | 27 |
| 2022 | 3.6% | 0.45 | -4.8% | 12 |
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 | -16.3% | -0.63 | 19% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 6.3% | 0.95 | 0% |
| hidden test | LOW VOLATILITY | 438 | 6.9% | 0.45 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -23.0% | -1.37 | 10% |
| hidden test | NORMAL | 811 | 0.3% | 0.02 | 8% |
| hidden test | SIDEWAYS | 293 | -17.7% | -1.44 | 10% |
| hidden test | UPTREND | 371 | 11.0% | 0.56 | 13% |
| train | DOWNTREND | 518 | -2.5% | -0.71 | 0% |
| train | EXPENSIVE | 311 | 26.4% | 1.09 | 24% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.3% | 0.75 | 1% |
| train | LOW VOLATILITY | 745 | 7.3% | 0.42 | 24% |
| train | MEDIUM VOLATILITY | 568 | -29.4% | -1.52 | 11% |
| train | NORMAL | 1,601 | -9.7% | -0.69 | 10% |
| train | SIDEWAYS | 592 | -14.2% | -1.14 | 8% |
| train | UPTREND | 902 | 4.0% | 0.19 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 125.0% | 3.61 | 39% |
| validation | EXTREME | 144 | 38.4% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -11.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 15.1% | 1.02 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 82.5% | 2.69 | 25% |
| validation | NORMAL | 474 | 6.2% | 0.33 | 12% |
| validation | SIDEWAYS | 206 | -7.9% | -0.81 | 10% |
| validation | UPTREND | 425 | 64.3% | 2.23 | 22% |
Trades (full period)
latest 100 of 190
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-15 | 2026-01-02 | $475.31 | $438.07 | -2.21% | 13 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -8.48% | 5 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -1.20% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.77% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-04 | 2022-04-06 | $381.82 | $348.59 | 0.42% | 3 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.70% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.42% | 2 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -4.52% | 2 | |
| 2021-08-12 | 2021-08-13 | $240.75 | $239.06 | 1.84% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -2.70% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-07-06 | 2021-07-07 | $219.86 | $214.88 | -3.04% | 2 | |
| 2021-07-01 | 2021-07-02 | $225.97 | $226.30 | -0.46% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.35% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.67% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 1.01% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -3.48% | 2 | |
| 2021-04-19 | 2021-04-20 | $238.21 | $239.66 | -3.60% | 2 | |
| 2021-04-15 | 2021-04-16 | $246.28 | $246.59 | 0.70% | 2 | |
| 2021-01-12 | 2021-02-01 | $283.15 | $279.94 | -2.37% | 14 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 45.30% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 |