Strategy Zoo / S1217
PriceMomentum_V1217
ARCHIVEDmomentumllmNarrowed to UPTREND only; added composite entry (20d momentum + positive 50-day slope + price above SMA50) to focus on clean momentum in trend. Lowered momentum threshold to 8% to increase signals. Improved exits: 20d reversal OR 1d stop-loss to limit drawdowns. Added volatility-based scaling (lower exposure in medium/high vol) and reduced base position to 0.9 to control risk.
Fitness
0.3507
Generation
56
Complexity
12
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1217 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.08 and sma_50_slope > 0.0 and dist_sma_50 > 0.02):
position = 0.9
if long and (ret_20d < -0.08 or ret_1d < -0.06):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.2% | 30.0% | 2.2% | 8.6% |
| Total Return | 38.7% | 119.7% | 8.4% | 239.1% |
| Sharpe | 0.33 | 1.30 | 0.21 | 0.55 |
| Sortino | 0.23 | 1.09 | 0.11 | 0.37 |
| Calmar | 0.13 | 0.91 | 0.09 | 0.26 |
| Volatility | 16.3% | 22.0% | 18.0% | 18.0% |
| Max DD | -33.4% | -32.9% | -25.1% | -33.4% |
| Win Rate | 50.0% | 53.3% | 46.2% | 50.0% |
| Avg Win | 6.9% | 18.3% | 7.8% | 11.0% |
| Avg Loss | -4.5% | -6.8% | -5.0% | -5.3% |
| Payoff | 1.52 | 2.67 | 1.56 | 2.10 |
| Expectancy | 1.2% | 6.6% | 0.9% | 2.9% |
| Profit Factor | 1.52 | 3.05 | 1.33 | 2.10 |
| Trades | 26 | 15 | 13 | 54 |
| Avg Holding Days | 17.7 | 14.5 | 11.5 | 15.5 |
| Turnover | 6.0 | 7.6 | 6.7 | 6.4 |
| Exposure | 18.2% | 19.8% | 11.3% | 16.8% |
Growth of $100
PriceMomentum_V1217 vs TSLA Buy & Hold
PriceMomentum_V1217 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 | -11.0% | -1.35 | -14.9% | 2 |
| 2017 | 3.3% | 0.27 | -20.5% | 8 |
| 2018 | -12.8% | -2.10 | -12.8% | 2 |
| 2019 | 2.4% | 0.32 | -6.3% | 1 |
| 2020 | 132.0% | 3.40 | -6.2% | 7 |
| 2021 | 17.8% | 0.78 | -23.4% | 5 |
| 2022 | -21.7% | -2.02 | -21.6% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 60.3% | 1.98 | 40% |
| hidden test | EXTREME | 48 | 22.8% | 0.89 | 11% |
| hidden test | HIGH VOLATILITY | 254 | -22.0% | -1.86 | 1% |
| hidden test | LOW VOLATILITY | 439 | 27.3% | 1.70 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.3% | -0.45 | 16% |
| hidden test | NORMAL | 812 | -3.1% | -0.20 | 8% |
| hidden test | SIDEWAYS | 294 | -7.5% | -0.88 | 1% |
| hidden test | UPTREND | 371 | 15.6% | 0.56 | 28% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 15.8% | 0.66 | 32% |
| train | EXTREME | 100 | 42.2% | 1.97 | 21% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.05 | 1% |
| train | LOW VOLATILITY | 745 | 21.3% | 1.14 | 38% |
| train | MEDIUM VOLATILITY | 568 | -9.6% | -0.59 | 14% |
| train | NORMAL | 1,601 | 1.1% | 0.08 | 15% |
| train | SIDEWAYS | 592 | -4.7% | -1.27 | 1% |
| train | UPTREND | 902 | 15.1% | 0.63 | 40% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 52.4% | 1.84 | 37% |
| validation | EXTREME | 144 | 111.0% | 4.29 | 16% |
| validation | HIGH VOLATILITY | 258 | 15.1% | 1.08 | 1% |
| validation | LOW VOLATILITY | 183 | 27.6% | 1.39 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 40.4% | 1.45 | 24% |
| validation | NORMAL | 474 | -3.3% | -0.18 | 16% |
| validation | SIDEWAYS | 206 | -16.0% | -1.61 | 1% |
| validation | UPTREND | 425 | 58.7% | 2.06 | 35% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.09% | 20 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 7.76% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -8.78% | 11 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.31% | 2 | |
| 2024-12-11 | 2024-12-19 | $424.77 | $436.17 | 6.24% | 7 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -11.55% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.44% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 12.05% | 8 | |
| 2023-07-26 | 2023-08-03 | $264.35 | $259.32 | -3.47% | 7 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 5.44% | 17 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 14.32% | 17 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.31% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.30% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -15.31% | 16 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.02% | 8 | |
| 2021-08-25 | 2021-11-10 | $237.07 | $355.98 | 39.70% | 55 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.04% | 13 | |
| 2021-01-13 | 2021-02-23 | $284.80 | $232.95 | -14.40% | 28 | |
| 2020-12-23 | 2021-01-12 | $215.33 | $283.15 | 16.23% | 13 | |
| 2020-12-11 | 2020-12-22 | $203.33 | $213.45 | 2.31% | 8 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 14.83% | 15 | |
| 2020-10-22 | 2020-10-30 | $141.93 | $129.35 | -2.56% | 7 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 7.79% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 3.91% | 2 | |
| 2020-06-02 | 2020-07-06 | $58.77 | $91.44 | 25.81% | 24 | |
| 2019-12-17 | 2020-01-31 | $25.27 | $43.37 | 51.31% | 31 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.70% | 2 | |
| 2018-12-13 | 2018-12-21 | $25.12 | $21.32 | -8.45% | 7 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.75% | 4 | |
| 2017-09-19 | 2017-10-17 | $25.01 | $23.72 | -6.47% | 21 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.18% | 4 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.55% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.06% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 0.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.75% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.11% | 6 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 11.29% | 35 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -5.97% | 26 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.33% | 22 | |
| 2015-05-11 | 2015-08-07 | $15.97 | $16.17 | 7.62% | 63 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.90% | 3 | |
| 2014-06-23 | 2014-09-16 | $15.81 | $17.38 | 9.43% | 60 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.26% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.65% | 9 | |
| 2013-10-07 | 2013-10-24 | $12.20 | $11.54 | -7.36% | 14 | |
| 2013-09-09 | 2013-10-03 | $10.71 | $11.55 | 7.38% | 19 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 2.32% | 12 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 2.96% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2012-12-18 | 2013-02-22 | $2.31 | $2.41 | 1.91% | 45 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.99% | 16 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 4.33% | 31 |