Strategy Zoo / S1220
PriceMomentum_V1220
ARCHIVEDhybridllmAdded volatility and trend sanity checks to entry (require vol_pctile < 0.75 and either positive sma_200_slope or price above sma_200) to avoid entries in unstable regimes. Broadened exit to include 1-day stop (ret_1d < -3%) and a hard drawdown cut (drawdown > 12%) to reduce large losses. Introduced regime gates: only trade in UPTREND and non-high volatility, and only when bubble state is NORMAL. Reduced base position to 70% to lower portfolio exposure and drawdown risk.
Fitness
0.1445
Generation
56
Complexity
28
Created
2026-10-07
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1220 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((ret_20d > 0.0191 and breakout_50 == 1) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184)) and vol_pctile < 0.75 and (sma_200_slope > 0.0 or close > sma_200)):
position = 0.7
if long and (ret_20d < -0.0017 or ret_1d < -0.03 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 3.2% | 4.5% | 1.5% |
| Total Return | -3.5% | 10.0% | 18.0% | 25.3% |
| Sharpe | -0.00 | 0.36 | 0.44 | 0.20 |
| Sortino | -0.00 | 0.19 | 0.18 | 0.10 |
| Calmar | -0.02 | 0.16 | 0.27 | 0.08 |
| Volatility | 9.2% | 10.1% | 11.5% | 10.0% |
| Max DD | -19.9% | -20.2% | -16.5% | -20.2% |
| Win Rate | 39.3% | 28.6% | 44.4% | 38.3% |
| Avg Win | 5.2% | 10.5% | 6.4% | 6.5% |
| Avg Loss | -3.3% | -2.7% | -3.1% | -3.1% |
| Payoff | 1.55 | 3.94 | 2.04 | 2.11 |
| Expectancy | 0.0% | 1.1% | 1.1% | 0.6% |
| Profit Factor | 1.01 | 1.58 | 1.63 | 1.31 |
| Trades | 28 | 14 | 18 | 60 |
| Avg Holding Days | 9.3 | 6.5 | 4.9 | 7.3 |
| Turnover | 4.9 | 6.5 | 6.7 | 5.7 |
| Exposure | 8.0% | 7.1% | 5.3% | 7.1% |
Growth of $100
PriceMomentum_V1220 vs TSLA Buy & Hold
PriceMomentum_V1220 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 | -0.4% | -0.02 | -5.4% | 4 |
| 2017 | 8.4% | 2.04 | -0.7% | 2 |
| 2018 | -4.3% | -0.69 | -5.7% | 2 |
| 2019 | 5.4% | 0.78 | -4.8% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 23.8% | 1.49 | -10.2% | 7 |
| 2022 | -11.2% | -1.32 | -13.5% | 7 |
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 | 29.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -11.9% | -1.44 | 1% |
| hidden test | LOW VOLATILITY | 439 | 9.8% | 1.01 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | 14.1% | 0.88 | 7% |
| hidden test | NORMAL | 812 | 2.9% | 0.24 | 6% |
| hidden test | SIDEWAYS | 294 | -1.1% | -0.73 | 1% |
| hidden test | UPTREND | 371 | 13.8% | 0.76 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.1% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.7% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 3.5% | 0.32 | 18% |
| train | MEDIUM VOLATILITY | 568 | -6.8% | -0.80 | 4% |
| train | NORMAL | 1,601 | -1.2% | -0.12 | 10% |
| train | SIDEWAYS | 592 | -3.3% | -1.11 | 1% |
| train | UPTREND | 902 | 2.1% | 0.16 | 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 | 2.5% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 14.5% | 1.46 | 20% |
| validation | MEDIUM VOLATILITY | 315 | -1.6% | -0.12 | 5% |
| validation | NORMAL | 474 | 5.9% | 0.46 | 11% |
| validation | SIDEWAYS | 206 | -6.8% | -1.24 | 1% |
| validation | UPTREND | 425 | 9.8% | 0.76 | 12% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-31 | 2026-01-05 | $449.72 | $451.67 | -2.66% | 3 | |
| 2025-12-19 | 2025-12-30 | $481.20 | $454.43 | -3.58% | 7 | |
| 2025-12-15 | 2025-12-18 | $475.31 | $483.37 | 1.17% | 4 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -3.05% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -7.82% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.53% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -2.66% | 3 | |
| 2023-06-27 | 2023-07-21 | $250.21 | $260.02 | 6.34% | 18 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.26% | 2 | |
| 2023-06-02 | 2023-06-22 | $213.97 | $264.61 | 16.93% | 14 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.00% | 3 | |
| 2022-04-12 | 2022-04-18 | $328.98 | $334.76 | 0.54% | 4 | |
| 2022-04-07 | 2022-04-11 | $352.42 | $325.31 | -1.49% | 3 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.45% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-11-04 | 2021-11-09 | $409.97 | $341.17 | -3.06% | 4 | |
| 2021-09-23 | 2021-11-03 | $251.21 | $404.62 | 36.67% | 30 | |
| 2021-08-24 | 2021-09-21 | $236.16 | $246.46 | 2.26% | 20 | |
| 2021-08-19 | 2021-08-23 | $224.49 | $235.43 | -1.02% | 3 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.55% | 9 | |
| 2019-11-29 | 2019-12-17 | $22.00 | $25.27 | 10.30% | 13 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.04% | 13 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -1.46% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-11 | 2016-05-03 | $16.66 | $15.49 | -2.43% | 17 | |
| 2016-04-05 | 2016-04-08 | $17.03 | $16.67 | 2.77% | 4 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-05-11 | 2015-07-08 | $15.97 | $17.00 | 9.04% | 41 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-09-09 | 2014-09-16 | $18.57 | $17.38 | -7.16% | 6 | |
| 2014-08-05 | 2014-09-08 | $15.90 | $18.81 | 11.10% | 24 | |
| 2014-07-07 | 2014-07-16 | $14.84 | $14.48 | -3.07% | 8 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.14% | 9 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -7.51% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.39% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -3.48% | 5 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -2.54% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.30% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |