Strategy Zoo / S1267
PriceMomentum_V1267
ARCHIVEDhybridllm1) Fixed regime gating to allow trading in NORMAL and EXPENSIVE bubble states and restrict HIGH volatility; added SIDEWAYS with UPTREND to avoid mis-blocking validation. 2) Kept original momentum branch but added rel_volume>1.0 filter to reduce false breakouts and added a second branch for larger breakout_50 setups (with vol_pctile/dist_52w_high filters) to improve robustness. 3) Replaced single rigid stop with a composite exit: milder 20d stop (-12%) plus momentum-based exit (macd_hist<0 AND rsi<50) and a short-term drawdown exit (ret_5d<-3%) to capture fast reversals. 4) Introduced position scaling rules: reduce size when vol_pctile>0.7, full size when vol_pctile<0.4, and reduce when near 52w highs; lowered base position to 0.8 to reduce overfitting risk and improve walk-forward generalization.
Fitness
0.3265
Generation
58
Complexity
20
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1267 [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 > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007 and rel_volume > 1.0) or (breakout_50 == 1 and dist_52w_high < 0.95 and vol_pctile < 0.8)):
position = 0.8
if long and (ret_20d < -0.12 or (macd_hist < 0.0 and rsi_14 < 50.0) or ret_5d < -0.03):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.8% | 29.5% | -1.6% | 6.2% |
| Total Return | 15.0% | 117.3% | -5.8% | 141.0% |
| Sharpe | 0.19 | 1.30 | 0.01 | 0.41 |
| Sortino | 0.14 | 1.34 | 0.01 | 0.32 |
| Calmar | 0.05 | 1.04 | -0.06 | 0.15 |
| Volatility | 17.5% | 21.7% | 19.3% | 18.9% |
| Max DD | -37.1% | -28.5% | -26.4% | -42.0% |
| Win Rate | 40.0% | 36.4% | 26.8% | 35.4% |
| Avg Win | 5.1% | 14.0% | 7.3% | 8.2% |
| Avg Loss | -3.2% | -3.2% | -2.6% | -3.0% |
| Payoff | 1.57 | 4.39 | 2.79 | 2.70 |
| Expectancy | 0.1% | 3.1% | 0.0% | 0.9% |
| Profit Factor | 1.05 | 2.51 | 1.02 | 1.48 |
| Trades | 70 | 33 | 41 | 144 |
| Avg Holding Days | 8.0 | 7.6 | 6.1 | 7.5 |
| Turnover | 14.1 | 17.6 | 17.5 | 15.6 |
| Exposure | 20.2% | 23.2% | 17.7% | 20.2% |
Growth of $100
PriceMomentum_V1267 vs TSLA Buy & Hold
PriceMomentum_V1267 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 | -6.8% | -0.54 | -15.2% | 8 |
| 2017 | 16.3% | 0.98 | -11.0% | 13 |
| 2018 | -7.8% | -0.86 | -10.7% | 3 |
| 2019 | 6.0% | 0.37 | -21.7% | 7 |
| 2020 | 77.4% | 2.74 | -6.9% | 6 |
| 2021 | 33.7% | 1.25 | -23.7% | 15 |
| 2022 | -11.1% | -0.66 | -28.5% | 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 | -2.0% | -1.20 | 1% |
| hidden test | EXPENSIVE | 83 | 11.7% | 0.41 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.0% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 439 | 25.5% | 1.44 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.5% | -1.24 | 24% |
| hidden test | NORMAL | 812 | -0.9% | -0.05 | 16% |
| hidden test | SIDEWAYS | 294 | -30.1% | -1.48 | 25% |
| hidden test | UPTREND | 371 | 26.0% | 1.05 | 25% |
| train | DOWNTREND | 518 | -4.7% | -0.74 | 1% |
| train | EXPENSIVE | 311 | 29.4% | 1.29 | 32% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.7% | 0.54 | 1% |
| train | LOW VOLATILITY | 745 | 19.4% | 1.13 | 37% |
| train | MEDIUM VOLATILITY | 568 | -24.6% | -1.28 | 21% |
| train | NORMAL | 1,601 | -2.2% | -0.13 | 19% |
| train | SIDEWAYS | 592 | -11.8% | -0.72 | 20% |
| train | UPTREND | 902 | 17.7% | 0.81 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 98.1% | 3.11 | 40% |
| validation | EXTREME | 144 | 30.6% | 2.27 | 2% |
| validation | HIGH VOLATILITY | 258 | 2.8% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 23.0% | 1.22 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 52.0% | 1.72 | 31% |
| validation | NORMAL | 474 | 7.1% | 0.36 | 25% |
| validation | SIDEWAYS | 206 | -10.1% | -0.55 | 23% |
| validation | UPTREND | 425 | 55.1% | 2.13 | 30% |
Trades (full period)
latest 100 of 144
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-04 | $433.59 | $418.45 | -0.57% | 8 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -5.81% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.47% | 17 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -4.21% | 2 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 19.64% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.23% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -4.27% | 6 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-19 | 2025-05-22 | $342.09 | $341.04 | -3.67% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 3.48% | 9 | |
| 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 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 22.38% | 17 | |
| 2023-12-07 | 2024-01-04 | $242.64 | $237.93 | -0.39% | 19 | |
| 2023-11-27 | 2023-12-06 | $236.08 | $239.37 | 0.97% | 8 | |
| 2023-11-16 | 2023-11-24 | $233.59 | $235.45 | -2.99% | 6 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.54% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.57% | 6 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -2.74% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 6.10% | 10 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.83% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -6.62% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-24 | 2022-08-30 | $297.10 | $277.70 | -3.30% | 5 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -2.84% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.11% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.29% | 3 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 12.22% | 14 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-12-06 | $369.68 | $336.34 | -10.00% | 9 | |
| 2021-08-23 | 2021-11-09 | $235.43 | $341.17 | 53.82% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-21 | 2021-07-23 | $218.43 | $214.46 | -1.52% | 3 | |
| 2021-07-12 | 2021-07-16 | $228.57 | $214.74 | -0.91% | 5 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.85% | 2 | |
| 2021-06-14 | 2021-07-07 | $205.90 | $214.88 | 6.36% | 17 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.71% | 6 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.97% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2020-12-30 | 2021-01-11 | $231.59 | $270.40 | 24.93% | 8 | |
| 2020-12-10 | 2020-12-29 | $209.02 | $222.00 | 7.73% | 13 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -3.83% | 7 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.24% | 3 | |
| 2019-12-03 | 2020-01-22 | $22.41 | $37.97 | 48.27% | 34 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 | |
| 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 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.02% | 13 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -3.37% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -3.44% | 8 | |
| 2017-08-30 | 2017-09-07 | $23.55 | $23.37 | -0.80% | 6 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.81% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.03% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-18 | $21.65 | $20.87 | -4.37% | 5 | |
| 2017-04-24 | 2017-05-05 | $20.54 | $20.56 | -2.78% | 10 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 10.49% | 7 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 13.05% | 40 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.12% | 3 | |
| 2016-07-22 | 2016-08-12 | $14.82 | $15.04 | 1.46% | 16 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.08% | 2 |