Strategy Zoo / S1224
PriceMomentum_V1224
ARCHIVEDhybridllmWrapped original entry as a signal component and added trend alignment (sma_50_slope>0) and a volatility filter (vol_pctile<0.85) to reduce false/volatile entries; lowered ret_20d entry slightly to 0.04 to keep sensitivity. Added a short-term stop (ret_5d < -0.06) to exit earlier on rapid pullbacks alongside the existing 20d stop. Restricted regime gates to only UPTREND and non-high volatility, and only NORMAL bubble to avoid bubbly/expensive markets. Reduced base_position to 0.8 to lower risk exposure.
Fitness
0.0947
Generation
56
Complexity
15
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1224 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.04 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)) and sma_50_slope > 0.0 and vol_pctile < 0.85):
position = 0.8
if long and (ret_20d < -0.1496 or ret_5d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | -9.9% | 0.6% | -1.2% |
| Total Return | 12.4% | -26.8% | 2.1% | -16.0% |
| Sharpe | 0.18 | -0.58 | 0.11 | -0.02 |
| Sortino | 0.10 | -0.27 | 0.05 | -0.01 |
| Calmar | 0.05 | -0.20 | 0.03 | -0.02 |
| Volatility | 11.8% | 15.7% | 14.8% | 13.4% |
| Max DD | -27.7% | -49.5% | -20.2% | -49.5% |
| Win Rate | 44.0% | 15.4% | 36.8% | 35.1% |
| Avg Win | 5.9% | 19.0% | 6.5% | 7.4% |
| Avg Loss | -3.5% | -5.6% | -3.3% | -4.1% |
| Payoff | 1.68 | 3.39 | 1.94 | 1.82 |
| Expectancy | 0.6% | -1.8% | 0.3% | -0.0% |
| Profit Factor | 1.32 | 0.62 | 1.13 | 0.98 |
| Trades | 25 | 13 | 19 | 57 |
| Avg Holding Days | 12.6 | 8.5 | 6.1 | 9.5 |
| Turnover | 5.0 | 6.9 | 8.1 | 6.2 |
| Exposure | 11.5% | 10.4% | 8.1% | 10.4% |
Growth of $100
PriceMomentum_V1224 vs TSLA Buy & Hold
PriceMomentum_V1224 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 | -9.9% | -1.12 | -14.9% | 2 |
| 2017 | 11.8% | 2.26 | -0.9% | 3 |
| 2018 | -7.0% | -0.93 | -8.6% | 2 |
| 2019 | 2.4% | 0.33 | -8.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.1% | 0.42 | -26.2% | 5 |
| 2022 | -31.8% | -2.33 | -33.7% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.9% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 439 | 4.2% | 0.32 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | 13.0% | 0.69 | 9% |
| hidden test | NORMAL | 812 | -1.5% | -0.10 | 9% |
| hidden test | SIDEWAYS | 294 | -8.1% | -1.27 | 1% |
| hidden test | UPTREND | 371 | 10.6% | 0.46 | 20% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 10.1% | 1.78 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 13.5% | 0.92 | 26% |
| train | MEDIUM VOLATILITY | 568 | -12.5% | -1.17 | 6% |
| train | NORMAL | 1,601 | 0.7% | 0.06 | 14% |
| train | SIDEWAYS | 592 | -5.0% | -1.41 | 1% |
| train | UPTREND | 902 | 8.1% | 0.47 | 25% |
| 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 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 5.1% | 0.38 | 26% |
| validation | MEDIUM VOLATILITY | 315 | -19.5% | -0.97 | 9% |
| validation | NORMAL | 474 | -14.6% | -0.73 | 17% |
| validation | SIDEWAYS | 206 | -28.9% | -2.17 | 2% |
| validation | UPTREND | 425 | -2.2% | -0.12 | 18% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.23% | 2 | |
| 2025-12-08 | 2025-12-31 | $439.58 | $449.72 | -0.18% | 17 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -3.49% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -8.92% | 4 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -2.77% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.01% | 4 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-27 | 2023-08-15 | $255.71 | $232.96 | -7.62% | 14 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-06-28 | 2023-07-24 | $256.24 | $269.06 | 3.12% | 18 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -10.31% | 7 | |
| 2022-04-13 | 2022-04-18 | $340.79 | $334.76 | -0.29% | 3 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -12.12% | 6 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-23 | 2021-12-06 | $369.68 | $336.34 | -10.00% | 9 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 34.93% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -5.24% | 10 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 10.87% | 11 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 | |
| 2019-11-22 | 2019-11-27 | $22.20 | $22.09 | -6.00% | 4 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -2.18% | 16 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -5.31% | 26 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.86% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-14 | 2015-07-28 | $17.71 | $17.65 | -2.90% | 11 | |
| 2015-05-11 | 2015-07-13 | $15.97 | $17.48 | 7.49% | 44 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-07-11 | 2014-09-16 | $14.54 | $17.38 | 12.41% | 47 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.30% | 2 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -2.54% | 11 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-18 | 2013-01-24 | $2.31 | $2.47 | 3.59% | 25 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-04-09 | 2012-04-10 | $2.21 | $2.16 | -3.24% | 2 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 1.86% | 31 |