Strategy Zoo / S1287
PriceMomentum_V1287
ARCHIVEDhybridllmSimplified and regularized entry: require trend confirmation (price above SMA50/SMA200 or positive SMA200 slope) plus broad momentum triggers (20d return + RSI, MACD momentum, or 20d breakout). Added a volatility percentile cap to avoid extreme bursts. Strengthened exit to include a larger stop (ret_20d < -4%), trend break (price < SMA50) and overbought RSI to cut winners. Added regime gating to only trade in UPTREND and position scaling by volatility and bubble state to reduce risk and improve generalization.
Fitness
0.5415
Generation
59
Complexity
18
Created
2026-10-08
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1287 [hybrid]
if flat and ((close > sma_50 or close > sma_200 or sma_200_slope > 0.0) and (breakout_20 == 1 or (ret_20d > 0.03 and rsi_14 < 75.0) or (macd_hist > 0.0 and ret_5d > 0.01)) and vol_pctile < 0.95):
position = 1.0
if long and (ret_20d < -0.04 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.5% | 76.4% | -6.0% | 20.8% |
| Total Return | 262.2% | 448.8% | -20.7% | 1522.8% |
| Sharpe | 0.65 | 1.44 | 0.01 | 0.69 |
| Sortino | 0.72 | 1.64 | 0.01 | 0.76 |
| Calmar | 0.29 | 2.11 | -0.11 | 0.35 |
| Volatility | 33.4% | 47.0% | 36.0% | 37.2% |
| Max DD | -59.8% | -36.1% | -53.4% | -59.8% |
| Win Rate | 38.0% | 50.0% | 35.5% | 39.9% |
| Avg Win | 8.8% | 12.4% | 6.7% | 9.3% |
| Avg Loss | -3.1% | -4.5% | -3.7% | -3.5% |
| Payoff | 2.88 | 2.77 | 1.81 | 2.65 |
| Expectancy | 1.4% | 4.0% | -0.0% | 1.6% |
| Profit Factor | 1.76 | 2.77 | 1.00 | 1.76 |
| Trades | 137 | 60 | 76 | 273 |
| Avg Holding Days | 8.5 | 7.6 | 6.6 | 7.8 |
| Turnover | 34.4 | 40.0 | 40.8 | 37.1 |
| Exposure | 51.0% | 52.5% | 45.4% | 49.9% |
Growth of $100
PriceMomentum_V1287 vs TSLA Buy & Hold
PriceMomentum_V1287 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 | 13.4% | 0.79 | -18.8% | 10 |
| 2017 | 1.9% | 0.21 | -36.6% | 24 |
| 2018 | -10.7% | -0.29 | -19.7% | 9 |
| 2019 | 18.6% | 0.65 | -30.6% | 17 |
| 2020 | 497.8% | 3.11 | -30.6% | 17 |
| 2021 | 9.2% | 0.42 | -26.5% | 27 |
| 2022 | -19.3% | -0.50 | -25.8% | 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 | 5.1% | 0.21 | 23% |
| hidden test | EXPENSIVE | 83 | 68.4% | 1.58 | 66% |
| hidden test | EXTREME | 48 | 125.2% | 2.57 | 56% |
| hidden test | HIGH VOLATILITY | 254 | -3.6% | -0.08 | 38% |
| hidden test | LOW VOLATILITY | 440 | 37.9% | 1.42 | 46% |
| hidden test | MEDIUM VOLATILITY | 250 | -61.8% | -1.51 | 53% |
| hidden test | NORMAL | 813 | -14.0% | -0.41 | 43% |
| hidden test | SIDEWAYS | 295 | -42.1% | -1.19 | 51% |
| hidden test | UPTREND | 371 | 30.6% | 0.71 | 57% |
| train | DOWNTREND | 518 | -15.1% | -0.78 | 22% |
| train | EXPENSIVE | 311 | 64.8% | 1.64 | 76% |
| train | EXTREME | 100 | 321.3% | 5.43 | 77% |
| train | HIGH VOLATILITY | 699 | 36.6% | 0.91 | 42% |
| train | LOW VOLATILITY | 745 | 37.5% | 1.42 | 62% |
| train | MEDIUM VOLATILITY | 568 | -17.6% | -0.55 | 48% |
| train | NORMAL | 1,601 | -5.5% | -0.19 | 45% |
| train | SIDEWAYS | 592 | -1.4% | -0.05 | 46% |
| train | UPTREND | 902 | 57.8% | 1.40 | 71% |
| validation | DOWNTREND | 125 | 38.3% | 1.69 | 10% |
| validation | EXPENSIVE | 138 | 49.2% | 0.86 | 63% |
| validation | EXTREME | 144 | 303.7% | 4.43 | 71% |
| validation | HIGH VOLATILITY | 258 | 68.2% | 1.17 | 38% |
| validation | LOW VOLATILITY | 183 | 16.5% | 0.59 | 66% |
| validation | MEDIUM VOLATILITY | 315 | 97.2% | 2.13 | 57% |
| validation | NORMAL | 474 | 1.5% | 0.05 | 44% |
| validation | SIDEWAYS | 206 | -23.3% | -0.66 | 46% |
| validation | UPTREND | 425 | 120.6% | 2.15 | 68% |
Trades (full period)
latest 100 of 274
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-06 | — | $380.68 | — | -0.34% | 2 | OPEN |
| 2026-09-09 | 2026-09-30 | $367.81 | $354.81 | -4.35% | 16 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-01 | 2026-06-08 | $390.82 | $408.95 | 2.25% | 26 | |
| 2026-04-28 | 2026-04-29 | $376.02 | $372.80 | -0.90% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-04-15 | 2026-04-17 | $391.95 | $400.62 | 6.58% | 3 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2025-12-03 | 2026-01-05 | $446.74 | $451.67 | 1.86% | 22 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-09-19 | 2025-11-14 | $426.07 | $404.35 | -3.76% | 41 | |
| 2025-08-25 | 2025-09-18 | $346.60 | $416.85 | 25.00% | 18 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-09 | 2025-06-13 | $308.58 | $325.31 | 7.91% | 5 | |
| 2025-05-08 | 2025-06-06 | $284.82 | $295.14 | 2.87% | 21 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-12-18 | 2025-01-14 | $440.13 | $396.36 | -16.13% | 17 | |
| 2024-11-22 | 2024-12-17 | $352.56 | $479.86 | 36.06% | 17 | |
| 2024-09-10 | 2024-10-14 | $226.17 | $219.16 | 0.51% | 25 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -4.14% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-07-11 | 2024-08-02 | $241.03 | $207.67 | -17.80% | 17 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-06-14 | 2024-07-03 | $178.01 | $246.39 | 26.48% | 13 | |
| 2024-06-10 | 2024-06-12 | $173.79 | $177.29 | -4.04% | 3 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-05-06 | 2024-05-10 | $184.76 | $168.47 | -5.28% | 5 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-27 | 2024-02-28 | $199.73 | $202.04 | -0.03% | 2 | |
| 2024-02-23 | 2024-02-26 | $191.97 | $199.40 | -2.95% | 2 | |
| 2024-02-21 | 2024-02-22 | $194.77 | $197.41 | 0.32% | 2 | |
| 2024-02-16 | 2024-02-20 | $199.95 | $193.76 | -0.45% | 2 | |
| 2024-02-12 | 2024-02-13 | $188.13 | $184.02 | -3.01% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.96% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -5.66% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 1.13% | 2 | |
| 2023-10-11 | 2023-10-13 | $262.99 | $251.12 | -2.00% | 3 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.42% | 29 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-05-22 | 2023-06-08 | $188.87 | $234.86 | 24.42% | 13 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -4.50% | 6 | |
| 2023-03-24 | 2023-03-28 | $190.41 | $189.19 | -0.41% | 3 | |
| 2023-01-27 | 2023-03-09 | $177.90 | $172.92 | 13.34% | 29 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -9.20% | 8 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-07-19 | 2022-08-30 | $245.53 | $277.70 | 18.17% | 31 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-06-02 | 2022-06-03 | $258.33 | $234.52 | 4.47% | 2 | |
| 2022-05-31 | 2022-06-01 | $252.75 | $246.79 | -0.38% | 2 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.32% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 1.59% | 2 | |
| 2022-02-10 | 2022-02-11 | $301.52 | $286.67 | -3.14% | 2 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.39% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.90% | 3 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-08 | 2021-12-01 | $387.65 | $365.00 | -6.52% | 17 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 |