Strategy Zoo / S1288
PriceMomentum_V1288
ARCHIVEDhybridllm- Simplified and de-overfitted entry logic: replaced many stacked ret_20d thresholds with three clear entry lanes (long-term trend + low vol, breakout + sma_50, momentum + sma_50). - Added volatility filter (vol_pctile) to entry lanes to avoid trading in unusually turbulent periods. - Added sma_50 support requirement for most entries to improve trade quality. - Strengthened exit: now exit on close crossing below sma_50 or a larger short-term loss (ret_20d < -7.5%) to reduce whipsaws and protect drawdown. - Added regime gates: only trade in UPTREND, avoid HIGH_VOLATILITY, and require NORMAL bubble to reduce exposure in risky regimes. - Reduced base_position from 1.0 to 0.7 to lower portfolio-level risk after prior large drawdowns.
Fitness
0.3649
Generation
59
Complexity
17
Created
2026-10-08
Lineage
Parents (1)
entry from PriceMomentum_V1129, exit from LongTermTrend_V1154
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1288 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((close > sma_200 and sma_200_slope > 0.0 and vol_pctile < 0.8) or (breakout_20 == 1 and close > sma_50 and vol_pctile < 0.85) or (ret_20d > 0.06 and close > sma_50 and cumret_252d > -0.3)):
position = 0.7
if long and (close < sma_50 or ret_20d < -0.075):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.2% | 41.6% | -13.6% | 2.9% |
| Total Return | -8.9% | 183.8% | -42.1% | 52.9% |
| Sharpe | 0.05 | 1.37 | -0.55 | 0.24 |
| Sortino | 0.04 | 1.69 | -0.53 | 0.24 |
| Calmar | -0.03 | 1.55 | -0.25 | 0.05 |
| Volatility | 20.7% | 28.3% | 22.1% | 22.8% |
| Max DD | -40.0% | -26.8% | -53.5% | -54.8% |
| Win Rate | 39.9% | 45.0% | 32.6% | 38.6% |
| Avg Win | 3.5% | 8.6% | 3.5% | 4.9% |
| Avg Loss | -2.4% | -2.9% | -2.5% | -2.5% |
| Payoff | 1.45 | 2.94 | 1.44 | 1.95 |
| Expectancy | -0.1% | 2.3% | -0.5% | 0.3% |
| Profit Factor | 0.96 | 2.40 | 0.70 | 1.23 |
| Trades | 138 | 60 | 92 | 290 |
| Avg Holding Days | 6.7 | 7.0 | 4.9 | 6.3 |
| Turnover | 24.3 | 28.0 | 34.6 | 27.6 |
| Exposure | 28.3% | 33.5% | 28.3% | 29.4% |
Growth of $100
PriceMomentum_V1288 vs TSLA Buy & Hold
PriceMomentum_V1288 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 | 7.5% | 0.69 | -10.3% | 3 |
| 2017 | 6.1% | 0.39 | -21.3% | 27 |
| 2018 | -13.8% | -1.26 | -17.1% | 3 |
| 2019 | 13.6% | 0.70 | -15.9% | 5 |
| 2020 | 154.5% | 3.36 | -12.2% | 11 |
| 2021 | 12.6% | 0.53 | -26.8% | 30 |
| 2022 | -3.6% | -0.05 | -18.3% | 18 |
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 | -9.3% | -0.93 | 9% |
| hidden test | EXPENSIVE | 83 | 22.5% | 0.73 | 46% |
| hidden test | EXTREME | 48 | 15.5% | 0.64 | 16% |
| hidden test | HIGH VOLATILITY | 254 | -17.4% | -1.08 | 2% |
| hidden test | LOW VOLATILITY | 440 | 18.1% | 0.87 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -60.0% | -2.12 | 37% |
| hidden test | NORMAL | 813 | -17.3% | -0.83 | 27% |
| hidden test | SIDEWAYS | 295 | -49.1% | -2.24 | 35% |
| hidden test | UPTREND | 371 | 15.1% | 0.54 | 38% |
| train | DOWNTREND | 518 | -17.0% | -1.18 | 9% |
| train | EXPENSIVE | 311 | 23.7% | 0.87 | 37% |
| train | EXTREME | 100 | 48.4% | 2.34 | 22% |
| train | HIGH VOLATILITY | 699 | -14.3% | -0.70 | 3% |
| train | LOW VOLATILITY | 745 | 25.0% | 1.34 | 46% |
| train | MEDIUM VOLATILITY | 568 | -11.7% | -0.50 | 36% |
| train | NORMAL | 1,601 | -6.4% | -0.33 | 27% |
| train | SIDEWAYS | 592 | -5.9% | -0.35 | 24% |
| train | UPTREND | 902 | 15.9% | 0.62 | 43% |
| validation | DOWNTREND | 125 | 17.5% | 1.13 | 6% |
| validation | EXPENSIVE | 138 | 62.8% | 1.89 | 48% |
| validation | EXTREME | 144 | 128.9% | 4.70 | 17% |
| validation | HIGH VOLATILITY | 258 | 27.7% | 1.30 | 2% |
| validation | LOW VOLATILITY | 183 | -2.9% | -0.13 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 71.9% | 2.02 | 48% |
| validation | NORMAL | 474 | 4.3% | 0.16 | 34% |
| validation | SIDEWAYS | 206 | -26.6% | -1.11 | 34% |
| validation | UPTREND | 425 | 76.6% | 2.35 | 41% |
Trades (full period)
latest 100 of 291
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | 1.83% | 21 | OPEN |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.28% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.39% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.09% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.63% | 3 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.52% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.81% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.36% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.20% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.21% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.03% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.18% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.23% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.18% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.07% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.18% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.78% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.54% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -2.56% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -0.83% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.19% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 1.89% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.31% | 2 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.05% | 4 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.57% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.39% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.29% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.45% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.87% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.34% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.65% | 2 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.98% | 59 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -2.15% | 10 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -13.28% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -3.24% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.60% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -2.91% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -1.65% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.33% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.48% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.90% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -4.57% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -2.51% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -2.64% | 2 | |
| 2025-01-30 | 2025-02-04 | $400.28 | $392.21 | -1.08% | 4 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.54% | 9 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.04% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 19.45% | 17 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -2.15% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.38% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.25% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.16% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.36% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -1.46% | 2 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -2.72% | 2 | |
| 2023-10-17 | 2023-10-19 | $254.85 | $220.11 | -3.23% | 3 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -2.83% | 8 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -1.55% | 2 | |
| 2023-09-29 | 2023-10-02 | $250.22 | $251.60 | 0.95% | 2 | |
| 2023-09-27 | 2023-09-28 | $240.50 | $246.38 | -1.18% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.46% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.97% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 1.76% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.46% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 0.96% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 4.99% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.12% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-04 | 2023-08-08 | $253.86 | $249.70 | -2.27% | 3 | |
| 2023-05-22 | 2023-08-03 | $188.87 | $259.32 | 27.74% | 51 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.60% | 4 | |
| 2023-02-28 | 2023-03-09 | $205.71 | $172.92 | -8.87% | 8 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-07-19 | 2022-08-31 | $245.53 | $275.61 | 10.80% | 32 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -4.72% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.77% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -1.82% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -3.37% | 2 |