Strategy Zoo / S1200
PriceMomentum_V1200
ARCHIVEDhybridllm1) Added explicit UPTREND regime gate and restricted to MEDIUM volatility & NORMAL bubble to avoid extreme regimes. 2) Replaced brittle single-threshold entry with two robust branches: momentum (ret_20d + short-term confirmation, positive sma_50 slope, moderate RSI, not too close to 52w high) and trend-breakout (close>200sma, positive MACD histogram, 20d breakout, reasonable annual cumulative return). 3) Strengthened exits: larger 20d stop (-6%) and momentum-based exit when macd_hist turns negative. 4) Reduced base position to 0.8 and added position scaling: cut size in HIGH_VOLATILITY to 0.35 and in EXPENSIVE bubble to 0.5 to lower risk in stressed regimes.
Fitness
0.3396
Generation
55
Complexity
17
Created
2026-10-06
Lineage
Parents (1)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1200 [hybrid]
if flat and ((ret_20d > 0.05 and ret_5d > 0.0 and sma_50_slope > 0.0 and rsi_14 < 75.0 and dist_52w_high < 0.98) or (close > sma_200 and macd_hist > 0.0 and breakout_20 > 0.0 and cumret_252d > -0.25)):
position = 0.8
if long and (ret_20d < -0.06 or macd_hist < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.bubble == "EXPENSIVE": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.1% | 36.3% | 9.4% | 9.1% |
| Total Return | 0.7% | 153.5% | 39.8% | 260.9% |
| Sharpe | 0.09 | 1.47 | 0.58 | 0.56 |
| Sortino | 0.07 | 1.51 | 0.46 | 0.47 |
| Calmar | 0.00 | 1.59 | 0.37 | 0.20 |
| Volatility | 16.8% | 22.9% | 18.1% | 18.5% |
| Max DD | -46.1% | -22.8% | -25.4% | -46.1% |
| Win Rate | 39.3% | 54.0% | 47.1% | 45.1% |
| Avg Win | 4.4% | 5.5% | 5.7% | 5.1% |
| Avg Loss | -2.6% | -1.9% | -2.9% | -2.5% |
| Payoff | 1.67 | 2.90 | 2.00 | 2.06 |
| Expectancy | 0.1% | 2.1% | 1.2% | 0.9% |
| Profit Factor | 1.08 | 3.41 | 1.78 | 1.69 |
| Trades | 89 | 50 | 34 | 173 |
| Avg Holding Days | 8.1 | 6.8 | 8.6 | 7.9 |
| Turnover | 14.5 | 18.8 | 13.6 | 15.1 |
| Exposure | 17.5% | 21.4% | 17.2% | 18.2% |
Growth of $100
PriceMomentum_V1200 vs TSLA Buy & Hold
PriceMomentum_V1200 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 | -3.3% | -0.25 | -10.3% | 7 |
| 2017 | 16.7% | 1.55 | -6.5% | 13 |
| 2018 | -15.3% | -1.59 | -16.5% | 12 |
| 2019 | -5.8% | -0.19 | -20.4% | 6 |
| 2020 | 145.9% | 3.36 | -7.0% | 25 |
| 2021 | 9.9% | 0.52 | -16.3% | 17 |
| 2022 | -7.8% | -0.45 | -19.0% | 8 |
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% | -0.40 | 5% |
| hidden test | EXPENSIVE | 83 | 35.6% | 1.85 | 17% |
| hidden test | EXTREME | 48 | 42.2% | 1.60 | 20% |
| hidden test | HIGH VOLATILITY | 254 | -0.7% | -0.05 | 7% |
| hidden test | LOW VOLATILITY | 438 | 29.1% | 1.66 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.3% | -0.49 | 18% |
| hidden test | NORMAL | 811 | 6.2% | 0.35 | 17% |
| hidden test | SIDEWAYS | 293 | -10.3% | -0.61 | 25% |
| hidden test | UPTREND | 371 | 36.6% | 1.51 | 21% |
| train | DOWNTREND | 518 | -8.4% | -1.07 | 3% |
| train | EXPENSIVE | 311 | 12.2% | 0.82 | 16% |
| train | EXTREME | 100 | 106.0% | 3.88 | 34% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.18 | 8% |
| train | LOW VOLATILITY | 745 | 11.0% | 0.78 | 27% |
| train | MEDIUM VOLATILITY | 568 | -13.4% | -0.82 | 16% |
| train | NORMAL | 1,601 | -7.1% | -0.44 | 17% |
| train | SIDEWAYS | 592 | -15.1% | -0.96 | 20% |
| train | UPTREND | 902 | 18.0% | 0.87 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 17.6% | 0.92 | 17% |
| validation | EXTREME | 144 | 153.7% | 4.60 | 31% |
| validation | HIGH VOLATILITY | 258 | 38.3% | 1.68 | 11% |
| validation | LOW VOLATILITY | 183 | 18.1% | 1.19 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 38.8% | 1.46 | 25% |
| validation | NORMAL | 474 | 1.8% | 0.09 | 20% |
| validation | SIDEWAYS | 206 | 5.8% | 0.33 | 18% |
| validation | UPTREND | 425 | 57.0% | 2.03 | 29% |
Trades (full period)
latest 100 of 173
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-15 | $394.76 | $394.46 | -0.77% | 3 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-04-20 | 2026-05-21 | $392.50 | $417.85 | 3.26% | 24 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -1.48% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.12% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.44% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -1.86% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 13.91% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.63% | 9 | |
| 2025-04-30 | 2025-06-03 | $282.16 | $344.27 | 10.71% | 24 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -1.44% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 7.10% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.46% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 0.46% | 2 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 4.43% | 24 | |
| 2024-09-05 | 2024-10-04 | $230.17 | $250.08 | 3.92% | 22 | |
| 2024-06-18 | 2024-07-22 | $184.86 | $251.51 | 22.17% | 23 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.30% | 2 | |
| 2023-02-13 | 2023-02-23 | $194.64 | $202.07 | 0.64% | 8 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.57% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.95% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -3.28% | 7 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 0.98% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 0.85% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 24.56% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.03% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -1.41% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.02% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 4.21% | 15 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 1.65% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 0.90% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.94% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 12.36% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -2.76% | 4 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 0.24% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 0.40% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -1.22% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 1.95% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 14.06% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 0.46% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -0.75% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.09% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 1.01% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 11.57% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 5.42% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 7.16% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 5.88% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.57% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.01% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 0.36% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.25% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.20% | 2 | |
| 2020-04-13 | 2020-05-14 | $43.40 | $53.56 | 8.18% | 24 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 41.35% | 48 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 18.55% | 28 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -3.69% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.59% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 2.84% | 19 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -0.36% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -3.52% | 12 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -2.08% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -0.61% | 2 | |
| 2018-06-12 | 2018-06-26 | $22.85 | $22.80 | 0.12% | 11 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 |