Strategy Zoo / S1291
PriceMomentum_V1291
ARCHIVEDhybridllmAdded volatility filter (vol_pctile < 0.8) and tightened base exposure (base_position 0.6) to reduce drawdown/overfitting; simplified and consolidated entry into two robust momentum paths (breakout+50SMA and strong momentum with positive sma_50_slope) with a sanity check on medium-term cumulative returns; improved exits by adding 20d loss threshold, SMA50 breakdown, and absolute drawdown stop; restricted regime gates to UPTREND and non-high volatility and normal bubble to avoid adverse regimes.
Fitness
0.1106
Generation
59
Complexity
20
Created
2026-10-08
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1291 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (vol_pctile < 0.8 and ((ret_20d > 0.02 and breakout_20 == 1 and close > sma_50) or (ret_20d > 0.08 and sma_50_slope > 0.0 and (close > sma_200 or cumret_252d > -0.25)))):
position = 0.6
if long and (ret_20d < -0.02 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | 0.5% | 2.4% | -0.0% |
| Total Return | -10.3% | 1.4% | 9.3% | -0.6% |
| Sharpe | -0.14 | 0.09 | 0.34 | 0.03 |
| Sortino | -0.07 | 0.04 | 0.17 | 0.02 |
| Calmar | -0.07 | 0.02 | 0.28 | -0.00 |
| Volatility | 7.6% | 9.1% | 7.7% | 7.9% |
| Max DD | -19.0% | -20.0% | -8.6% | -20.0% |
| Win Rate | 47.6% | 52.0% | 51.4% | 49.6% |
| Avg Win | 1.2% | 1.9% | 2.1% | 1.6% |
| Avg Loss | -1.4% | -1.8% | -1.6% | -1.6% |
| Payoff | 0.88 | 1.04 | 1.27 | 1.05 |
| Expectancy | -0.1% | 0.1% | 0.3% | 0.0% |
| Profit Factor | 0.80 | 1.12 | 1.34 | 1.03 |
| Trades | 63 | 25 | 37 | 125 |
| Avg Holding Days | 3.4 | 2.7 | 2.3 | 3.0 |
| Turnover | 9.5 | 10.0 | 11.9 | 10.2 |
| Exposure | 4.6% | 3.3% | 3.1% | 3.9% |
Growth of $100
PriceMomentum_V1291 vs TSLA Buy & Hold
PriceMomentum_V1291 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 | 0.1% | 0.05 | -2.2% | 13 |
| 2017 | 6.4% | 2.03 | -0.2% | 10 |
| 2018 | -4.7% | -1.01 | -4.6% | 3 |
| 2019 | -0.4% | -0.05 | -4.1% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 10.6% | 0.79 | -12.6% | 14 |
| 2022 | -8.4% | -1.15 | -10.4% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.3% | -1.03 | 0% |
| hidden test | LOW VOLATILITY | 440 | 1.4% | 0.19 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | 12.9% | 1.28 | 4% |
| hidden test | NORMAL | 813 | 0.5% | 0.07 | 3% |
| hidden test | SIDEWAYS | 295 | -1.0% | -0.76 | 1% |
| hidden test | UPTREND | 371 | 7.5% | 0.61 | 7% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.4% | 1.58 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 0.1% | 0.01 | 10% |
| train | MEDIUM VOLATILITY | 568 | -8.1% | -1.15 | 3% |
| train | NORMAL | 1,601 | -2.6% | -0.31 | 6% |
| train | SIDEWAYS | 592 | -2.2% | -0.92 | 0% |
| train | UPTREND | 902 | -1.0% | -0.09 | 10% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 6.6% | 1.11 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 2.3% | 0.19 | 4% |
| validation | NORMAL | 474 | 1.4% | 0.12 | 5% |
| validation | SIDEWAYS | 206 | -5.1% | -1.14 | 0% |
| validation | UPTREND | 425 | 4.0% | 0.34 | 6% |
Trades (full period)
latest 100 of 125
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-15 | 2026-01-02 | $475.31 | $438.07 | -1.24% | 13 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.15% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.77% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 0.90% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.82% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.80% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.37% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.01% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.17% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.16% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.09% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.05% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.03% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -3.02% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 14.89% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.28% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.19% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.08% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.79% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -1.60% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.04% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.27% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.11% | 2 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -2.71% | 2 | |
| 2021-08-12 | 2021-08-13 | $240.75 | $239.06 | 1.10% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 3.52% | 3 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -1.76% | 10 | |
| 2018-02-05 | 2018-02-06 | $22.21 | $22.26 | -1.97% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -0.98% | 2 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.49% | 2 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.44% | 2 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.19% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.25% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.12% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.59% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.01% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.16% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -1.34% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.44% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-28 | 2016-04-29 | $16.51 | $16.05 | -1.02% | 2 | |
| 2016-04-26 | 2016-04-27 | $16.92 | $16.76 | 0.34% | 2 | |
| 2016-04-22 | 2016-04-25 | $16.92 | $16.79 | 1.20% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -1.66% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.51% | 2 | |
| 2016-04-13 | 2016-04-14 | $16.97 | $16.79 | 1.50% | 2 | |
| 2016-04-11 | 2016-04-12 | $16.66 | $16.52 | -0.16% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -1.98% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.94% | 2 | |
| 2015-07-21 | 2015-07-28 | $17.78 | $17.65 | -6.41% | 6 | |
| 2015-07-01 | 2015-07-09 | $17.94 | $17.19 | -3.05% | 6 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.38% | 5 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.74% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-06-02 | 2015-06-03 | $16.56 | $16.60 | -0.38% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.28% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.19% | 2 | |
| 2015-05-21 | 2015-05-22 | $16.37 | $16.52 | 0.19% | 2 |