Strategy Zoo / S1222
PriceMomentum_V1222
ARCHIVEDmomentumllmMade entry more robust by requiring 20d momentum plus price near/above the 50-day SMA (reduce false breakouts). Removed DOWNTREND from trend gate and excluded EXTREME bubble to avoid crash regimes. Improved exits to be earlier: exit on moderate 20d loss OR negative MACD histogram. Added volatility-scaled sizing (full size in low vol, stepped down in medium/high) and reduced base position to limit drawdown / overfitting.
Fitness
0.2971
Generation
56
Complexity
11
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1222 [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.06 and dist_sma_50 > -0.02):
position = 0.85
if long and (ret_20d < -0.08 or macd_hist < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.0% | 19.8% | 7.0% | 6.8% |
| Total Return | 16.8% | 71.7% | 28.9% | 165.0% |
| Sharpe | 0.20 | 1.10 | 0.48 | 0.48 |
| Sortino | 0.17 | 1.04 | 0.36 | 0.40 |
| Calmar | 0.05 | 0.95 | 0.31 | 0.16 |
| Volatility | 16.4% | 17.8% | 17.1% | 16.9% |
| Max DD | -43.2% | -20.7% | -22.5% | -43.2% |
| Win Rate | 44.0% | 60.4% | 46.9% | 48.6% |
| Avg Win | 3.3% | 3.5% | 3.9% | 3.6% |
| Avg Loss | -2.3% | -2.4% | -2.2% | -2.3% |
| Payoff | 1.43 | 1.48 | 1.74 | 1.57 |
| Expectancy | 0.2% | 1.2% | 0.6% | 0.6% |
| Profit Factor | 1.12 | 2.25 | 1.54 | 1.49 |
| Trades | 116 | 53 | 49 | 218 |
| Avg Holding Days | 5.8 | 4.5 | 5.3 | 5.4 |
| Turnover | 20.8 | 22.6 | 18.2 | 20.5 |
| Exposure | 18.7% | 16.6% | 15.6% | 17.5% |
Growth of $100
PriceMomentum_V1222 vs TSLA Buy & Hold
PriceMomentum_V1222 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 | -11.5% | -1.08 | -14.8% | 12 |
| 2017 | 9.3% | 0.67 | -10.3% | 18 |
| 2018 | -12.7% | -1.28 | -16.1% | 12 |
| 2019 | 1.8% | 0.19 | -20.1% | 6 |
| 2020 | 60.2% | 2.81 | -5.1% | 14 |
| 2021 | 19.0% | 0.90 | -20.7% | 26 |
| 2022 | -10.1% | -0.76 | -16.0% | 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 | -1.3% | -0.95 | 0% |
| hidden test | EXPENSIVE | 83 | 32.8% | 1.27 | 28% |
| hidden test | EXTREME | 48 | 52.4% | 4.90 | 4% |
| hidden test | HIGH VOLATILITY | 254 | 16.6% | 1.26 | 6% |
| hidden test | LOW VOLATILITY | 439 | 23.1% | 1.32 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.4% | -1.35 | 15% |
| hidden test | NORMAL | 812 | 3.1% | 0.19 | 15% |
| hidden test | SIDEWAYS | 294 | -13.0% | -0.85 | 23% |
| hidden test | UPTREND | 371 | 32.2% | 1.37 | 21% |
| train | DOWNTREND | 518 | -4.1% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 27.3% | 1.36 | 32% |
| train | EXTREME | 100 | 31.2% | 2.94 | 2% |
| train | HIGH VOLATILITY | 699 | 15.1% | 0.87 | 8% |
| train | LOW VOLATILITY | 745 | 10.3% | 0.61 | 32% |
| train | MEDIUM VOLATILITY | 568 | -20.5% | -1.43 | 14% |
| train | NORMAL | 1,601 | -3.2% | -0.20 | 17% |
| train | SIDEWAYS | 592 | -12.3% | -0.78 | 21% |
| train | UPTREND | 902 | 17.7% | 0.86 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 85.0% | 3.59 | 27% |
| validation | EXTREME | 144 | 30.0% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -7.7% | -0.81 | 2% |
| validation | LOW VOLATILITY | 183 | -0.6% | -0.04 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 53.6% | 2.31 | 21% |
| validation | NORMAL | 474 | -2.6% | -0.15 | 18% |
| validation | SIDEWAYS | 206 | -14.2% | -0.97 | 16% |
| validation | UPTREND | 425 | 41.7% | 1.96 | 22% |
Trades (full period)
latest 100 of 218
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-15 | $394.76 | $394.46 | -0.98% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.18% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.63% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.49% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.02% | 10 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.01% | 11 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.96% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.29% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.10% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.58% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.96% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.97% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.96% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.82% | 7 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.96% | 8 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.28% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.39% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 6.86% | 16 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 2.72% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.11% | 2 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -0.64% | 3 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 1.22% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.88% | 4 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 6.89% | 4 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.37% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.31% | 2 | |
| 2024-09-05 | 2024-10-04 | $230.17 | $250.08 | 4.08% | 22 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 1.37% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 1.83% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 0.60% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.76% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 17.82% | 17 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.82% | 10 | |
| 2023-11-21 | 2023-12-14 | $241.20 | $251.05 | 1.19% | 17 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -6.89% | 10 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.47% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -8.44% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.70% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.89% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.52% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.25% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.87% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.24% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.88% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 16.57% | 19 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -3.86% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.72% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -0.94% | 2 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -0.96% | 9 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.72% | 3 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.10% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.49% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.33% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.39% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.46% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.59% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 7.20% | 15 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.69% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.36% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -3.97% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.27% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 0.52% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.16% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 1.32% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -1.03% | 2 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 24.77% | 22 | |
| 2021-10-11 | 2021-10-12 | $263.98 | $268.57 | 0.53% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.75% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-09 | 2021-09-21 | $251.62 | $246.46 | -2.83% | 9 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.37% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.97% | 10 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.84% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.00% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.18% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.10% | 12 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.33% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.81% | 12 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.45% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.59% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.25% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.68% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 12.69% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.87% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.09% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.43% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.55% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.85% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 19.41% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.35% | 2 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -2.70% | 3 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 0.58% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 0.86% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.06% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 3.64% | 2 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.17% | 2 |