Strategy Zoo / S1283
PriceMomentum_V1283
ARCHIVEDhybridllmSimplified and regularized entry: require 20d momentum + long-bias trend (price>200sma or positive 200sma slope), tightened drawdown guard (cumret_252d>-0.25), avoid extreme overbought (rsi_14<85) and extreme volatility (vol_pctile<0.85). Improved exits: use larger 20d loss threshold (-3%) OR negative MACD histogram to exit earlier. Added regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to reduce overfitting across market states. Added volatility-based position scaling (reduce size when vol_pctile>0.8, full size when vol_pctile<0.3) and lowered base_position to 0.8 to reduce exposure and turnover.
Fitness
0.4688
Generation
59
Complexity
11
Created
2026-10-08
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4743
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1283 [hybrid]
if flat and (ret_20d > 0.05 and (close > sma_200 or sma_200_slope > 0.0) and cumret_252d > -0.25 and rsi_14 < 85.0 and vol_pctile < 0.85):
position = 0.8
if long and (ret_20d < -0.03 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.8% | 49.1% | 3.2% | 15.2% |
| Total Return | 110.9% | 231.8% | 12.6% | 706.4% |
| Sharpe | 0.53 | 1.38 | 0.26 | 0.71 |
| Sortino | 0.51 | 1.49 | 0.20 | 0.67 |
| Calmar | 0.26 | 1.98 | 0.12 | 0.40 |
| Volatility | 22.2% | 32.8% | 19.3% | 24.2% |
| Max DD | -38.1% | -24.8% | -27.8% | -38.1% |
| Win Rate | 43.7% | 56.1% | 34.8% | 45.5% |
| Avg Win | 5.6% | 6.1% | 6.1% | 6.0% |
| Avg Loss | -2.6% | -2.7% | -2.6% | -2.6% |
| Payoff | 2.15 | 2.27 | 2.33 | 2.29 |
| Expectancy | 1.0% | 2.2% | 0.4% | 1.3% |
| Profit Factor | 1.67 | 2.89 | 1.24 | 1.91 |
| Trades | 119 | 66 | 46 | 231 |
| Avg Holding Days | 6.1 | 5.4 | 6.0 | 5.9 |
| Turnover | 23.9 | 35.2 | 19.6 | 25.1 |
| Exposure | 24.7% | 30.9% | 19.3% | 24.6% |
Growth of $100
PriceMomentum_V1283 vs TSLA Buy & Hold
PriceMomentum_V1283 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 | -1.6% | -0.06 | -15.8% | 10 |
| 2017 | 7.8% | 0.52 | -15.0% | 22 |
| 2018 | -10.1% | -1.23 | -13.7% | 7 |
| 2019 | 24.4% | 1.19 | -7.6% | 5 |
| 2020 | 213.8% | 2.69 | -17.9% | 27 |
| 2021 | 28.4% | 1.07 | -15.7% | 27 |
| 2022 | -18.1% | -1.07 | -18.3% | 11 |
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 | -7.8% | -0.89 | 6% |
| hidden test | EXPENSIVE | 83 | 3.2% | 0.12 | 31% |
| hidden test | EXTREME | 48 | 44.7% | 1.55 | 25% |
| hidden test | HIGH VOLATILITY | 254 | 2.2% | 0.13 | 8% |
| hidden test | LOW VOLATILITY | 440 | 27.8% | 1.53 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -32.1% | -1.40 | 21% |
| hidden test | NORMAL | 813 | 2.9% | 0.16 | 18% |
| hidden test | SIDEWAYS | 295 | -0.7% | -0.04 | 23% |
| hidden test | UPTREND | 371 | 19.2% | 0.73 | 26% |
| train | DOWNTREND | 518 | -13.6% | -1.31 | 7% |
| train | EXPENSIVE | 311 | 28.4% | 1.04 | 44% |
| train | EXTREME | 100 | 224.1% | 4.27 | 50% |
| train | HIGH VOLATILITY | 699 | 31.6% | 1.11 | 18% |
| train | LOW VOLATILITY | 745 | 12.5% | 0.76 | 32% |
| train | MEDIUM VOLATILITY | 568 | -13.6% | -0.68 | 24% |
| train | NORMAL | 1,601 | -4.7% | -0.28 | 19% |
| train | SIDEWAYS | 592 | -1.9% | -0.12 | 22% |
| train | UPTREND | 902 | 35.3% | 1.20 | 36% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 55.4% | 1.82 | 36% |
| validation | EXTREME | 144 | 188.8% | 3.33 | 52% |
| validation | HIGH VOLATILITY | 258 | 48.2% | 1.16 | 25% |
| validation | LOW VOLATILITY | 183 | 20.8% | 1.16 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 57.2% | 1.83 | 34% |
| validation | NORMAL | 474 | -1.3% | -0.06 | 23% |
| validation | SIDEWAYS | 206 | -2.7% | -0.12 | 25% |
| validation | UPTREND | 425 | 81.9% | 2.01 | 43% |
Trades (full period)
latest 100 of 231
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-15 | $394.76 | $394.46 | -2.43% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-04-29 | 2026-05-21 | $372.80 | $417.85 | 8.61% | 17 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -5.55% | 5 | |
| 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 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 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 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.09% | 12 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 11.72% | 16 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.04% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.02% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -2.80% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.57% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 13.06% | 13 | |
| 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 | |
| 2024-09-04 | 2024-10-04 | $219.41 | $250.08 | 11.33% | 23 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -1.79% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 11.11% | 14 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -6.56% | 9 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.71% | 10 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.82% | 19 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -5.54% | 7 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 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 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 8.97% | 15 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.11% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -9.23% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.34% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.23% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.38% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.10% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -2.42% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 27.33% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.56% | 10 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.79% | 10 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.79% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 6.03% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.71% | 6 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 21.91% | 20 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.36% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.03% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 11.19% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.31% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.14% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.27% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 2.87% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.78% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -3.44% | 2 |