Strategy Zoo / S1263
PriceMomentum_V1263
ARCHIVEDhybridllmSimplified and de-duplicated entry rules; require either (price>200sma + rising 200sma + 20d momentum) or strong 20d breakout, both with non-severe 252d drawdown. Added regime gates to restrict to UPTREND, LOW_VOLATILITY, NORMAL bubble to avoid stressed regimes. Strengthened exits: 20d stop-loss (-2%), portfolio drawdown cut (12%), and a short-term MACD+5d loss exit. Added volatility-based position sizing (cut size in high vol, full size in low vol) and reduced base position to 0.6 to limit risk.
Fitness
0.6192
Generation
58
Complexity
15
Created
2026-10-07
Lineage
Parents (1)
entry from PriceMomentum_V1129, exit from LongTermTrend_V1154
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1263 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.05 and cumret_252d > -0.2) or (ret_20d > 0.12 and cumret_252d > -0.2)):
position = 0.6
if long and (ret_20d < -0.02 or drawdown > 0.12 or (macd_hist < 0.0 and ret_5d < -0.01)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.5% | 62.2% | 5.4% | 18.2% |
| Total Return | 122.6% | 326.4% | 21.6% | 1074.4% |
| Sharpe | 0.64 | 1.89 | 0.39 | 0.92 |
| Sortino | 0.63 | 2.18 | 0.33 | 0.91 |
| Calmar | 0.25 | 3.59 | 0.22 | 0.43 |
| Volatility | 18.3% | 27.6% | 17.4% | 20.4% |
| Max DD | -42.4% | -17.3% | -24.0% | -42.4% |
| Win Rate | 48.2% | 52.1% | 37.5% | 46.8% |
| Avg Win | 5.6% | 8.7% | 6.3% | 7.0% |
| Avg Loss | -3.0% | -2.2% | -2.7% | -2.7% |
| Payoff | 1.87 | 3.89 | 2.29 | 2.56 |
| Expectancy | 1.1% | 3.5% | 0.6% | 1.8% |
| Profit Factor | 1.74 | 4.23 | 1.38 | 2.25 |
| Trades | 83 | 48 | 40 | 171 |
| Avg Holding Days | 9.6 | 8.7 | 8.0 | 9.1 |
| Turnover | 12.5 | 19.2 | 12.8 | 13.9 |
| Exposure | 21.8% | 29.2% | 17.7% | 22.3% |
Growth of $100
PriceMomentum_V1263 vs TSLA Buy & Hold
PriceMomentum_V1263 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 | 14.2% | 1.40 | -8.2% | 4 |
| 2017 | 2.3% | 0.23 | -15.8% | 12 |
| 2018 | -21.0% | -1.47 | -24.5% | 10 |
| 2019 | 16.4% | 0.94 | -15.7% | 5 |
| 2020 | 213.7% | 3.11 | -15.1% | 20 |
| 2021 | 30.6% | 1.37 | -12.9% | 16 |
| 2022 | 1.5% | 0.17 | -12.0% | 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 | -8.3% | -0.74 | 9% |
| hidden test | EXPENSIVE | 83 | 1.7% | 0.07 | 32% |
| hidden test | EXTREME | 48 | 94.3% | 2.94 | 34% |
| hidden test | HIGH VOLATILITY | 254 | 0.9% | 0.04 | 16% |
| hidden test | LOW VOLATILITY | 439 | 27.8% | 1.98 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.4% | -1.34 | 18% |
| hidden test | NORMAL | 812 | 2.1% | 0.14 | 15% |
| hidden test | SIDEWAYS | 294 | 2.9% | 0.20 | 18% |
| hidden test | UPTREND | 371 | 21.1% | 0.94 | 24% |
| train | DOWNTREND | 518 | -2.7% | -0.49 | 4% |
| train | EXPENSIVE | 311 | 18.3% | 0.83 | 38% |
| train | EXTREME | 100 | 210.1% | 4.82 | 54% |
| train | HIGH VOLATILITY | 699 | 28.4% | 1.16 | 20% |
| train | LOW VOLATILITY | 745 | 13.0% | 1.02 | 26% |
| train | MEDIUM VOLATILITY | 568 | -10.6% | -0.68 | 18% |
| train | NORMAL | 1,601 | -2.0% | -0.14 | 17% |
| train | SIDEWAYS | 592 | -2.4% | -0.17 | 20% |
| train | UPTREND | 902 | 29.2% | 1.21 | 33% |
| validation | DOWNTREND | 125 | 25.3% | 1.94 | 6% |
| validation | EXPENSIVE | 138 | 72.3% | 2.86 | 32% |
| validation | EXTREME | 144 | 167.8% | 3.51 | 51% |
| validation | HIGH VOLATILITY | 258 | 58.3% | 1.61 | 26% |
| validation | LOW VOLATILITY | 183 | 25.7% | 1.88 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 62.5% | 2.46 | 30% |
| validation | NORMAL | 474 | 11.2% | 0.63 | 22% |
| validation | SIDEWAYS | 206 | 1.9% | 0.11 | 22% |
| validation | UPTREND | 425 | 84.4% | 2.49 | 40% |
Trades (full period)
latest 100 of 171
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -0.73% | 18 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-22 | 2026-06-02 | $426.01 | $423.74 | -0.36% | 7 | |
| 2026-05-06 | 2026-05-21 | $398.73 | $417.85 | 4.25% | 12 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -4.18% | 5 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -4.37% | 3 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.70% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.16% | 2 | |
| 2025-10-14 | 2025-10-17 | $429.24 | $439.31 | -1.10% | 4 | |
| 2025-10-09 | 2025-10-13 | $435.54 | $435.90 | -3.57% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.79% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 13.11% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-04-30 | 2025-06-04 | $282.16 | $332.05 | 10.54% | 25 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -6.47% | 4 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -2.55% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 4.81% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -2.07% | 2 | |
| 2024-12-26 | 2024-12-30 | $454.13 | $417.41 | -4.11% | 3 | |
| 2024-12-02 | 2024-12-24 | $357.09 | $462.28 | 14.41% | 17 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 9.22% | 16 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 2.86% | 21 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -2.57% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.06% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -1.34% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 8.39% | 14 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.29% | 10 | |
| 2023-11-17 | 2024-01-02 | $234.30 | $248.42 | 3.81% | 30 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -6.49% | 10 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -5.78% | 4 | |
| 2023-06-30 | 2023-07-12 | $261.77 | $271.99 | 2.78% | 8 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-05-24 | 2023-06-27 | $182.90 | $250.21 | 17.10% | 23 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-15 | 2022-08-22 | $309.32 | $289.91 | -0.77% | 6 | |
| 2022-07-19 | 2022-08-12 | $245.53 | $300.03 | 11.30% | 19 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.68% | 4 | |
| 2022-04-19 | 2022-04-22 | $342.72 | $335.02 | 0.20% | 4 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 6.79% | 15 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.08% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.21% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -4.17% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -6.96% | 7 | |
| 2021-11-16 | 2021-11-29 | $351.58 | $379.00 | 3.97% | 9 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -1.82% | 2 | |
| 2021-09-23 | 2021-11-11 | $251.21 | $354.50 | 24.06% | 36 | |
| 2021-08-23 | 2021-09-21 | $235.43 | $246.46 | 4.29% | 21 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.08% | 10 | |
| 2021-07-21 | 2021-07-26 | $218.43 | $219.21 | -1.68% | 4 | |
| 2021-07-13 | 2021-07-19 | $222.85 | $215.41 | -3.78% | 5 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 4.54% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.47% | 12 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.30% | 6 | |
| 2021-02-05 | 2021-02-10 | $284.08 | $268.27 | -0.15% | 4 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.36% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.38% | 2 | |
| 2020-12-30 | 2021-01-29 | $231.59 | $264.51 | 14.83% | 21 | |
| 2020-11-19 | 2020-12-29 | $166.42 | $222.00 | 20.92% | 27 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.33% | 2 | |
| 2020-10-12 | 2020-10-20 | $147.43 | $140.65 | -0.52% | 7 | |
| 2020-10-07 | 2020-10-09 | $141.77 | $144.67 | 1.61% | 3 | |
| 2020-09-15 | 2020-09-23 | $149.92 | $126.79 | 0.69% | 7 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.10% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 6.43% | 2 | |
| 2020-08-14 | 2020-09-08 | $110.05 | $110.07 | 17.12% | 17 | |
| 2020-08-05 | 2020-08-10 | $99.00 | $94.57 | -1.50% | 4 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 2.15% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.58% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -2.58% | 2 | |
| 2020-06-30 | 2020-07-27 | $71.99 | $102.64 | 23.30% | 19 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.72% | 2 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 9.04% | 19 | |
| 2020-05-19 | 2020-05-29 | $53.87 | $55.67 | -0.69% | 8 | |
| 2020-04-14 | 2020-05-18 | $47.33 | $54.24 | 13.74% | 25 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.03% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -7.80% | 2 | |
| 2019-12-03 | 2020-02-26 | $22.41 | $51.92 | 71.49% | 58 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.36% | 2 | |
| 2019-10-23 | 2019-11-25 | $16.98 | $22.42 | 17.69% | 24 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -2.47% | 6 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -5.52% | 8 | |
| 2019-07-16 | 2019-07-26 | $16.83 | $15.20 | -5.82% | 9 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.05% | 13 | |
| 2018-10-29 | 2018-11-23 | $22.32 | $21.72 | 1.29% | 19 | |
| 2018-08-27 | 2018-08-29 | $21.28 | $20.33 | -2.16% | 3 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -7.60% | 12 | |
| 2018-06-29 | 2018-07-05 | $22.86 | $20.61 | -6.90% | 4 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.32% | 2 | |
| 2018-06-13 | 2018-06-26 | $22.99 | $22.80 | -1.73% | 10 |