Strategy Zoo / S1292
PriceMomentum_V1292
ARCHIVEDhybridllm1) Tightened and diversified entry: lower ret_20d threshold (0.03) plus require positive sma_50_slope and either price above SMA50 or a 20-day breakout to prefer structurally strong momentum. 2) Improved exits: add short-term daily stop (ret_1d < -6%) and relax multi-day stop to -12% for better drawdown control. 3) Regime gates tightened: only allow UPTREND or SIDEWAYS, exclude DOWNTREND; avoid HIGH_VOLATILITY; include NORMAL/EXPENSIVE bubbles (exclude EXTREME). 4) Reduced base_position to 0.8 to lower single-trade risk.
Fitness
0.2696
Generation
59
Complexity
12
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold -0.0017 -> -0.1499
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1292 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.03 and sma_50_slope > 0.0 and (dist_sma_50 > 0.0 or breakout_20 == 1)):
position = 0.8
if long and (ret_20d < -0.12 or ret_1d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.1% | 21.3% | -7.1% | 2.9% |
| Total Return | 9.2% | 78.3% | -24.1% | 51.3% |
| Sharpe | 0.15 | 0.91 | -0.26 | 0.24 |
| Sortino | 0.11 | 0.77 | -0.18 | 0.18 |
| Calmar | 0.02 | 0.47 | -0.22 | 0.05 |
| Volatility | 18.2% | 24.4% | 20.3% | 20.1% |
| Max DD | -47.8% | -45.4% | -32.7% | -58.6% |
| Win Rate | 40.6% | 50.0% | 35.7% | 41.4% |
| Avg Win | 9.1% | 21.6% | 13.4% | 14.3% |
| Avg Loss | -6.1% | -8.8% | -9.3% | -7.4% |
| Payoff | 1.48 | 2.47 | 1.44 | 1.93 |
| Expectancy | 0.0% | 6.4% | -1.2% | 1.6% |
| Profit Factor | 1.01 | 2.47 | 0.80 | 1.36 |
| Trades | 32 | 12 | 14 | 58 |
| Avg Holding Days | 17.5 | 20.7 | 16.1 | 18.2 |
| Turnover | 6.5 | 6.4 | 6.2 | 6.4 |
| Exposure | 21.9% | 25.0% | 18.1% | 21.6% |
Growth of $100
PriceMomentum_V1292 vs TSLA Buy & Hold
PriceMomentum_V1292 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 | -14.0% | -1.24 | -23.9% | 2 |
| 2017 | 1.6% | 0.18 | -24.3% | 10 |
| 2018 | -14.6% | -1.10 | -15.3% | 3 |
| 2019 | 8.6% | 0.49 | -19.2% | 4 |
| 2020 | 94.0% | 2.80 | -12.9% | 4 |
| 2021 | 20.6% | 0.82 | -26.2% | 5 |
| 2022 | -26.2% | -1.44 | -26.1% | 3 |
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 | 57.8% | 1.80 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.2% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 440 | 19.4% | 1.06 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -34.5% | -1.30 | 23% |
| hidden test | NORMAL | 813 | -12.0% | -0.62 | 16% |
| hidden test | SIDEWAYS | 295 | -36.2% | -1.92 | 17% |
| hidden test | UPTREND | 371 | 15.3% | 0.56 | 32% |
| train | DOWNTREND | 518 | -3.0% | -0.78 | 0% |
| train | EXPENSIVE | 311 | 30.6% | 1.23 | 35% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 1.1% | 0.06 | 2% |
| train | LOW VOLATILITY | 745 | 22.2% | 1.21 | 41% |
| train | MEDIUM VOLATILITY | 568 | -20.8% | -1.12 | 22% |
| train | NORMAL | 1,601 | -3.1% | -0.18 | 21% |
| train | SIDEWAYS | 592 | -17.4% | -1.35 | 10% |
| train | UPTREND | 902 | 19.2% | 0.77 | 42% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 119.7% | 3.35 | 54% |
| validation | EXTREME | 144 | 37.8% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 23.0% | 1.03 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 47.8% | 1.46 | 30% |
| validation | NORMAL | 474 | -10.8% | -0.48 | 23% |
| validation | SIDEWAYS | 206 | -24.3% | -1.25 | 14% |
| validation | UPTREND | 425 | 51.4% | 1.74 | 38% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.68% | 1 | OPEN |
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -9.93% | 17 | |
| 2025-12-12 | 2026-01-21 | $458.96 | $431.44 | -5.02% | 26 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 14.70% | 59 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-10 | 2024-07-12 | $173.79 | $248.23 | 27.91% | 23 | |
| 2024-01-03 | 2024-01-17 | $238.45 | $215.55 | -9.41% | 10 | |
| 2023-07-25 | 2023-08-14 | $265.28 | $239.76 | -8.03% | 15 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 4.03% | 17 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -13.68% | 9 | |
| 2022-08-09 | 2022-09-30 | $283.33 | $265.25 | -6.12% | 38 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-23 | 2021-12-06 | $369.68 | $336.34 | -10.00% | 9 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 34.50% | 71 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -9.60% | 29 | |
| 2020-12-23 | 2021-01-11 | $215.33 | $270.40 | 28.92% | 12 | |
| 2020-12-10 | 2020-12-22 | $209.02 | $213.45 | 5.92% | 9 | |
| 2020-10-13 | 2020-12-08 | $148.88 | $216.63 | 35.03% | 40 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2019-11-27 | 2020-01-22 | $22.09 | $37.97 | 50.41% | 37 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-11-26 | 2018-12-21 | $23.07 | $21.32 | -2.61% | 19 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-09-18 | 2017-11-03 | $25.67 | $20.41 | -17.37% | 35 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -7.64% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 13.05% | 40 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -10.40% | 29 | |
| 2016-03-28 | 2016-05-05 | $15.35 | $14.10 | -1.87% | 29 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -4.79% | 4 | |
| 2015-04-29 | 2015-08-07 | $15.50 | $16.17 | 5.52% | 71 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-09-19 | 2014-10-01 | $17.29 | $16.02 | -6.60% | 9 | |
| 2014-06-23 | 2014-09-16 | $15.81 | $17.38 | 8.48% | 60 | |
| 2014-03-20 | 2014-03-27 | $15.66 | $13.82 | -7.96% | 6 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-10-07 | 2013-10-29 | $12.20 | $10.96 | -8.12% | 17 | |
| 2013-09-09 | 2013-10-03 | $10.71 | $11.55 | 6.59% | 19 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2012-11-12 | 2013-02-22 | $2.07 | $2.41 | 12.69% | 70 | |
| 2012-04-09 | 2012-04-25 | $2.21 | $2.19 | -6.33% | 13 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 1.86% | 31 |