Strategy Zoo / S1266
PriceMomentum_V1266
ARCHIVEDhybridllmAdded regime gates to avoid downtrends and high volatility; broadened entries to include SMA50 momentum + breakout+short-term momentum to improve signal diversity; tightened exits with a 20d -3% stop, drawdown cap (8%), and RSI overbought exit to limit large losses; introduced graded volatility scaling and reduced base position to lower risk.
Fitness
0.2231
Generation
58
Complexity
20
Created
2026-10-07
Lineage
Parents (1)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1266 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.06 and (close > sma_50 and sma_50_slope > 0.0)) or (breakout_20 > 0.0 and ret_5d > 0.02 and cumret_252d > -0.3)):
position = 0.8
if long and (ret_20d < -0.03 or drawdown > 0.08 or rsi_14 > 75.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.2% | 11.6% | -3.8% | 1.6% |
| Total Return | 2.0% | 39.1% | -13.4% | 25.6% |
| Sharpe | 0.10 | 0.71 | -0.12 | 0.18 |
| Sortino | 0.07 | 0.62 | -0.09 | 0.13 |
| Calmar | 0.01 | 0.49 | -0.14 | 0.03 |
| Volatility | 16.5% | 17.5% | 18.1% | 17.2% |
| Max DD | -47.7% | -23.6% | -26.8% | -47.7% |
| Win Rate | 49.2% | 53.6% | 48.3% | 50.4% |
| Avg Win | 4.5% | 5.7% | 4.3% | 4.7% |
| Avg Loss | -4.0% | -3.6% | -4.6% | -4.1% |
| Payoff | 1.12 | 1.60 | 0.93 | 1.16 |
| Expectancy | 0.2% | 1.4% | -0.3% | 0.4% |
| Profit Factor | 1.09 | 1.84 | 0.87 | 1.18 |
| Trades | 65 | 28 | 29 | 123 |
| Avg Holding Days | 8.9 | 9.0 | 9.3 | 9.0 |
| Turnover | 12.6 | 12.4 | 11.6 | 12.4 |
| Exposure | 18.5% | 19.7% | 18.0% | 18.7% |
Growth of $100
PriceMomentum_V1266 vs TSLA Buy & Hold
PriceMomentum_V1266 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 | -17.3% | -1.45 | -24.1% | 7 |
| 2017 | -0.1% | 0.07 | -12.4% | 23 |
| 2018 | -12.2% | -1.25 | -13.8% | 3 |
| 2019 | 12.9% | 0.67 | -15.6% | 8 |
| 2020 | 40.1% | 2.40 | -7.0% | 11 |
| 2021 | 11.4% | 0.60 | -19.3% | 14 |
| 2022 | -12.8% | -0.84 | -23.6% | 3 |
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 | -2.3% | -1.38 | 0% |
| hidden test | EXPENSIVE | 83 | 53.2% | 2.06 | 33% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.1% | -1.13 | 1% |
| hidden test | LOW VOLATILITY | 439 | 19.1% | 1.06 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.4% | -1.23 | 20% |
| hidden test | NORMAL | 812 | -8.0% | -0.45 | 18% |
| hidden test | SIDEWAYS | 294 | -16.4% | -0.91 | 25% |
| hidden test | UPTREND | 371 | 9.2% | 0.39 | 25% |
| train | DOWNTREND | 518 | -2.3% | -0.58 | 1% |
| train | EXPENSIVE | 311 | 22.0% | 1.10 | 25% |
| train | EXTREME | 100 | 6.5% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.1% | 0.19 | 1% |
| train | LOW VOLATILITY | 745 | 18.4% | 1.05 | 37% |
| train | MEDIUM VOLATILITY | 568 | -22.2% | -1.43 | 15% |
| train | NORMAL | 1,601 | -2.7% | -0.16 | 18% |
| train | SIDEWAYS | 592 | -19.1% | -1.25 | 15% |
| train | UPTREND | 902 | 17.4% | 0.83 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 56.9% | 2.61 | 28% |
| validation | EXTREME | 144 | 18.7% | 2.24 | 1% |
| validation | HIGH VOLATILITY | 258 | -6.6% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -0.7% | -0.04 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 35.9% | 1.61 | 23% |
| validation | NORMAL | 474 | -2.3% | -0.13 | 23% |
| validation | SIDEWAYS | 206 | -19.0% | -1.05 | 23% |
| validation | UPTREND | 425 | 31.5% | 1.60 | 24% |
Trades (full period)
latest 100 of 123
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.30% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.25% | 2 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -3.95% | 21 | |
| 2025-09-26 | 2025-11-14 | $440.40 | $404.35 | -4.22% | 36 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.43% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 1.61% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.64% | 2 | |
| 2025-08-25 | 2025-09-16 | $346.60 | $421.62 | 16.10% | 16 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.73% | 8 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -10.05% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -10.46% | 15 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.22% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.84% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.97% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.05% | 2 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 18.26% | 11 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -1.72% | 37 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -7.01% | 13 | |
| 2023-06-21 | 2023-08-02 | $259.46 | $254.11 | -2.79% | 30 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -5.52% | 7 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -8.87% | 4 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.92% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.34% | 27 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.64% | 6 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -9.35% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.63% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.81% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.81% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.96% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.44% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.70% | 2 | |
| 2021-08-02 | 2021-10-18 | $236.56 | $290.04 | 17.73% | 55 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.71% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -10.12% | 20 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -1.68% | 22 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 18.55% | 20 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 7.11% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.03% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 13.83% | 6 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.18% | 6 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -3.84% | 4 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 2.73% | 4 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 3.01% | 4 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 1.28% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.69% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.77% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.38% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 2.83% | 3 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.26% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.99% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 2.83% | 2 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.30% | 9 | |
| 2019-09-11 | 2019-09-27 | $16.47 | $16.14 | -0.70% | 13 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -2.85% | 11 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.18% | 3 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -6.59% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.65% | 10 | |
| 2017-09-14 | 2017-09-29 | $25.18 | $22.74 | -5.23% | 12 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.94% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.47% | 2 | |
| 2017-07-03 | 2017-07-06 | $23.51 | $20.59 | -5.50% | 3 | |
| 2017-06-12 | 2017-06-14 | $23.93 | $25.38 | 2.80% | 3 | |
| 2017-06-05 | 2017-06-09 | $23.15 | $23.82 | 5.44% | 5 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.83% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 0.91% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.66% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.31% | 6 | |
| 2017-02-16 | 2017-02-28 | $17.93 | $16.67 | -8.94% | 8 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.05% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.15% | 2 | |
| 2017-02-08 | 2017-02-09 | $17.47 | $17.95 | 1.27% | 2 | |
| 2017-02-01 | 2017-02-07 | $16.62 | $17.17 | 1.69% | 5 | |
| 2017-01-30 | 2017-01-31 | $16.71 | $16.80 | -0.89% | 2 | |
| 2017-01-26 | 2017-01-27 | $16.83 | $16.86 | -0.78% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.67% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.16% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.78% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.08% | 5 | |
| 2016-12-30 | 2017-01-09 | $14.25 | $15.42 | 5.16% | 6 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.12% | 3 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -2.61% | 21 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -12.47% | 12 | |
| 2016-04-07 | 2016-05-04 | $17.15 | $14.84 | -8.53% | 20 | |
| 2016-03-28 | 2016-04-06 | $15.35 | $17.69 | 7.52% | 8 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.23% | 2 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 |