Strategy Zoo / S1240
PriceMomentum_V1240
ARCHIVEDhybridllmAdded regime gates to avoid downtrends, high volatility, and bubble extremes; simplified and regularized entry to two robust arms (breakout + momentum) with checks on longer-term trend and 1y cumulative return; strengthened and diversified exits to include a larger stop, momentum reversal (macd_hist + 1d loss), and portfolio drawdown cap; introduced volatility-based position sizing (scale down in elevated vol) and reduced base position to reduce risk/overfitting.
Fitness
0.1214
Generation
57
Complexity
22
Created
2026-10-07
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1240 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_50 == 1 and ret_20d > 0.02 and (close > sma_200 or sma_200_slope > 0.0) and cumret_252d > -0.25) or (ret_20d > 0.12 and vol_pctile < 0.75 and dist_52w_high < 0.5 and sma_50_slope > 0.0)):
position = 0.8
if long and (ret_20d < -0.03 or (macd_hist < 0.0 and ret_1d < 0.0) or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.0% | 2.2% | 4.4% | 0.4% |
| Total Return | -15.1% | 6.8% | 17.6% | 6.7% |
| Sharpe | -0.13 | 0.23 | 0.39 | 0.10 |
| Sortino | -0.06 | 0.10 | 0.19 | 0.04 |
| Calmar | -0.08 | 0.10 | 0.22 | 0.02 |
| Volatility | 11.2% | 12.9% | 13.4% | 12.1% |
| Max DD | -25.4% | -23.3% | -20.4% | -26.8% |
| Win Rate | 24.2% | 40.0% | 42.1% | 32.3% |
| Avg Win | 7.2% | 5.9% | 7.3% | 7.0% |
| Avg Loss | -2.8% | -2.4% | -3.5% | -2.9% |
| Payoff | 2.58 | 2.41 | 2.11 | 2.39 |
| Expectancy | -0.4% | 0.9% | 1.1% | 0.3% |
| Profit Factor | 0.83 | 1.61 | 1.53 | 1.14 |
| Trades | 33 | 10 | 19 | 62 |
| Avg Holding Days | 7.4 | 9.1 | 5.4 | 7.0 |
| Turnover | 6.6 | 5.3 | 8.1 | 6.7 |
| Exposure | 8.3% | 8.6% | 7.1% | 8.1% |
Growth of $100
PriceMomentum_V1240 vs TSLA Buy & Hold
PriceMomentum_V1240 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 | 0.2% | 0.07 | -8.0% | 4 |
| 2017 | 12.9% | 2.13 | -0.9% | 2 |
| 2018 | -5.6% | -0.83 | -6.4% | 3 |
| 2019 | -5.4% | -0.17 | -18.4% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 14.8% | 0.81 | -16.6% | 5 |
| 2022 | -6.9% | -0.57 | -11.4% | 5 |
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 | -8.5% | -0.78 | 1% |
| hidden test | LOW VOLATILITY | 439 | 8.3% | 0.61 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | 13.8% | 0.91 | 7% |
| hidden test | NORMAL | 812 | 2.6% | 0.19 | 8% |
| hidden test | SIDEWAYS | 294 | -9.4% | -0.84 | 8% |
| hidden test | UPTREND | 371 | 20.7% | 1.09 | 12% |
| train | DOWNTREND | 518 | -1.9% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 6.4% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.1% | 0.10 | 0% |
| train | LOW VOLATILITY | 745 | 6.1% | 0.54 | 18% |
| train | MEDIUM VOLATILITY | 568 | -14.4% | -1.26 | 6% |
| train | NORMAL | 1,601 | -3.0% | -0.25 | 10% |
| train | SIDEWAYS | 592 | -10.9% | -0.91 | 7% |
| train | UPTREND | 902 | 5.0% | 0.38 | 14% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 10.1% | 1.01 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 9.2% | 0.56 | 9% |
| validation | NORMAL | 474 | 4.8% | 0.30 | 14% |
| validation | SIDEWAYS | 206 | -5.0% | -0.62 | 5% |
| validation | UPTREND | 425 | 7.8% | 0.48 | 13% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-02 | $445.00 | $423.74 | -2.41% | 16 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -5.25% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -5.25% | 7 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-28 | 2024-07-12 | $197.88 | $248.23 | 17.37% | 10 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -4.13% | 3 | |
| 2023-07-18 | 2023-07-20 | $293.34 | $262.90 | 0.08% | 3 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-06-28 | 2023-07-07 | $256.24 | $274.43 | 8.21% | 7 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2022-08-24 | 2022-08-26 | $297.10 | $288.09 | -0.26% | 3 | |
| 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 | |
| 2022-04-12 | 2022-04-18 | $328.98 | $334.76 | 0.60% | 4 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -4.98% | 10 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-09-27 | 2021-10-11 | $263.79 | $263.98 | 0.99% | 11 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -7.34% | 8 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-04 | 2018-12-10 | $23.98 | $24.34 | -0.27% | 4 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.57% | 11 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-18 | 2016-04-19 | $16.93 | $16.49 | -0.36% | 2 | |
| 2016-03-28 | 2016-04-15 | $15.35 | $16.97 | 8.28% | 15 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -5.69% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.37% | 2 | |
| 2015-04-28 | 2015-05-27 | $15.37 | $16.50 | 5.32% | 21 | |
| 2014-08-28 | 2014-09-12 | $17.59 | $18.61 | 5.03% | 11 | |
| 2014-08-07 | 2014-08-27 | $16.83 | $17.55 | 3.96% | 15 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -0.96% | 13 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.67% | 2 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.49% | 2 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 4.93% | 22 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -4.73% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.40% | 4 | |
| 2012-03-02 | 2012-03-05 | $2.27 | $2.25 | -1.02% | 2 | |
| 2012-02-21 | 2012-03-01 | $2.30 | $2.29 | -3.73% | 8 |