Strategy Zoo / S1284
PriceMomentum_V1284
ARCHIVEDhybridllmSimplified entry to robust breakout or momentum above sma_50 with positive long-term slope; tightened macd_hist filter; added cumulative-252d sanity check. Replaced fragile multi-threshold tree with clear exit rules (20d loss, drawdown, or deep negative MACD). Added regime gates to avoid downtrend/high-volatility/extreme-bubble environments. Introduced volatility-based position scaling (reduce size in high vol, full size in low vol) and reduced base position to lower drawdown risk.
Fitness
0.3989
Generation
59
Complexity
16
Created
2026-10-08
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1284 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((breakout_20 == 1 or (ret_20d > 0.05 and close > sma_50 and sma_200_slope > 0.0)) and macd_hist > -1.0 and cumret_252d > -0.3):
position = 0.7
if long and (ret_20d < -0.03 or drawdown < -0.08 or macd_hist < -2.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.0% | 33.3% | -4.4% | 4.4% |
| Total Return | -7.6% | 137.0% | -15.4% | 89.0% |
| Sharpe | -0.01 | 1.82 | -0.36 | 0.39 |
| Sortino | -0.01 | 1.58 | -0.21 | 0.28 |
| Calmar | -0.03 | 2.36 | -0.17 | 0.14 |
| Volatility | 12.8% | 16.5% | 10.9% | 13.3% |
| Max DD | -31.2% | -14.1% | -25.4% | -31.2% |
| Win Rate | 37.9% | 55.9% | 47.3% | 44.5% |
| Avg Win | 2.2% | 3.8% | 1.5% | 2.6% |
| Avg Loss | -1.5% | -1.1% | -1.7% | -1.5% |
| Payoff | 1.46 | 3.56 | 0.88 | 1.74 |
| Expectancy | -0.1% | 1.7% | -0.2% | 0.3% |
| Profit Factor | 0.89 | 4.52 | 0.79 | 1.39 |
| Trades | 132 | 59 | 74 | 265 |
| Avg Holding Days | 3.4 | 3.3 | 2.3 | 3.1 |
| Turnover | 23.2 | 27.5 | 27.8 | 25.2 |
| Exposure | 11.5% | 12.3% | 7.0% | 10.5% |
Growth of $100
PriceMomentum_V1284 vs TSLA Buy & Hold
PriceMomentum_V1284 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 | 1.7% | 0.44 | -2.4% | 8 |
| 2017 | 5.6% | 0.46 | -9.6% | 25 |
| 2018 | -9.5% | -1.64 | -9.4% | 10 |
| 2019 | 10.4% | 1.16 | -5.1% | 8 |
| 2020 | 75.4% | 3.05 | -5.5% | 6 |
| 2021 | 27.3% | 1.32 | -13.7% | 38 |
| 2022 | 3.4% | 0.47 | -6.2% | 15 |
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 | -1.4% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | -14.0% | -0.67 | 18% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.9% | -0.74 | 1% |
| hidden test | LOW VOLATILITY | 440 | 9.4% | 0.84 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.2% | -2.04 | 8% |
| hidden test | NORMAL | 813 | -3.1% | -0.32 | 6% |
| hidden test | SIDEWAYS | 295 | -12.7% | -1.18 | 9% |
| hidden test | UPTREND | 371 | 1.3% | 0.09 | 10% |
| train | DOWNTREND | 518 | -0.8% | -0.76 | 0% |
| train | EXPENSIVE | 311 | 25.9% | 1.30 | 27% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.1% | 0.68 | 1% |
| train | LOW VOLATILITY | 745 | 6.6% | 0.47 | 22% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -1.31 | 11% |
| train | NORMAL | 1,601 | -5.8% | -0.51 | 9% |
| train | SIDEWAYS | 592 | -5.0% | -0.55 | 8% |
| train | UPTREND | 902 | 3.3% | 0.19 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 104.8% | 4.06 | 30% |
| validation | EXTREME | 144 | 33.1% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 18.6% | 1.76 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 68.3% | 2.98 | 20% |
| validation | NORMAL | 474 | 7.5% | 0.55 | 10% |
| validation | SIDEWAYS | 206 | 3.3% | 0.39 | 8% |
| validation | UPTREND | 425 | 52.0% | 2.45 | 18% |
Trades (full period)
latest 100 of 266
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.60% | 1 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -5.38% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.34% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.14% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.10% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.17% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.45% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.96% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.67% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -0.75% | 12 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.51% | 2 | |
| 2025-11-03 | 2025-11-10 | $468.37 | $445.23 | -4.24% | 6 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -3.24% | 3 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.44% | 3 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.80% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.51% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.20% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.62% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.84% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.40% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.86% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.19% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.44% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.85% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.18% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.48% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.29% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.49% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.01% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.72% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.17% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.90% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.05% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.11% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.26% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 4.44% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.09% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.23% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.10% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.18% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.68% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.54% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.53% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.32% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.82% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.79% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.50% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.87% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.46% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.08% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.70% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.53% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.59% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.82% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.22% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.13% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.58% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.41% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.14% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.64% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -3.52% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.63% | 2 | |
| 2022-04-04 | 2022-04-06 | $381.82 | $348.59 | 0.35% | 3 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.19% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.36% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.37% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.22% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.08% | 2 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 18.12% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.08% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.22% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.16% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.20% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.39% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.74% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.09% | 2 |