Strategy Zoo / S1305
PriceMomentum_V1305
ARCHIVEDhybridllmLowered the 20-day return threshold and added short-term momentum (ret_5d>0) and sma_50_slope>0 to reduce overfitting and require trend confirmation; added regime gates to restrict entries to uptrends and avoid extreme volatility/bubble states; improved exits to include short-term stop (ret_5d<-6%), softer 20d exit (ret_20d<5%) and overbought rsi>75; added volatility-based position sizing (reduce size when vol_pctile>0.6/0.8) and lowered base_position to 0.9 to control risk.
Fitness
0.2131
Generation
60
Complexity
12
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold -0.0017 -> 0.0708
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1305 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.08 and breakout_20 == 1 and ret_5d > 0.0 and sma_50_slope > 0.0):
position = 0.9
if long and (ret_20d < 0.05 or ret_5d < -0.06 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.4% | 6.7% | 0.2% | 2.1% |
| Total Return | 11.5% | 21.4% | 0.9% | 36.6% |
| Sharpe | 0.18 | 0.54 | 0.08 | 0.24 |
| Sortino | 0.08 | 0.27 | 0.03 | 0.10 |
| Calmar | 0.08 | 0.27 | 0.01 | 0.08 |
| Volatility | 10.9% | 13.8% | 13.0% | 12.1% |
| Max DD | -16.7% | -24.7% | -21.7% | -27.2% |
| Win Rate | 50.0% | 63.6% | 61.1% | 56.4% |
| Avg Win | 4.2% | 4.9% | 3.7% | 4.3% |
| Avg Loss | -3.3% | -5.4% | -5.3% | -4.2% |
| Payoff | 1.27 | 0.90 | 0.69 | 1.02 |
| Expectancy | 0.4% | 1.1% | 0.2% | 0.6% |
| Profit Factor | 1.27 | 1.57 | 1.09 | 1.31 |
| Trades | 38 | 22 | 18 | 78 |
| Avg Holding Days | 5.4 | 3.9 | 4.1 | 4.7 |
| Turnover | 8.6 | 13.2 | 8.6 | 9.5 |
| Exposure | 7.5% | 7.5% | 5.3% | 6.9% |
Growth of $100
PriceMomentum_V1305 vs TSLA Buy & Hold
PriceMomentum_V1305 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 | -5.2% | -0.70 | -8.0% | 3 |
| 2017 | 24.6% | 2.01 | -4.6% | 14 |
| 2018 | -12.2% | -2.11 | -12.1% | 2 |
| 2019 | 3.6% | 0.98 | -0.7% | 4 |
| 2020 | 41.1% | 2.35 | -7.1% | 6 |
| 2021 | 6.8% | 0.51 | -18.3% | 13 |
| 2022 | -22.1% | -2.44 | -22.0% | 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 | 15.4% | 0.65 | 20% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -15.5% | -1.44 | 1% |
| hidden test | LOW VOLATILITY | 440 | 20.6% | 1.97 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | -16.4% | -0.91 | 8% |
| hidden test | NORMAL | 813 | -0.3% | -0.03 | 4% |
| hidden test | SIDEWAYS | 295 | -0.1% | -0.92 | 0% |
| hidden test | UPTREND | 371 | 2.8% | 0.14 | 14% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 41.1% | 2.28 | 15% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 7.7% | 0.89 | 0% |
| train | LOW VOLATILITY | 745 | 3.7% | 0.30 | 16% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.63 | 5% |
| train | NORMAL | 1,601 | -5.5% | -0.60 | 7% |
| train | SIDEWAYS | 592 | -4.2% | -1.13 | 0% |
| train | UPTREND | 902 | 7.1% | 0.44 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 61.1% | 2.67 | 17% |
| validation | EXTREME | 144 | 10.9% | 1.29 | 1% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | -0.7% | -0.06 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 18.2% | 0.93 | 11% |
| validation | NORMAL | 474 | -9.3% | -0.83 | 7% |
| validation | SIDEWAYS | 206 | -9.9% | -1.41 | 1% |
| validation | UPTREND | 425 | 18.0% | 1.02 | 13% |
Trades (full period)
78 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -1.03% | 12 | |
| 2025-09-25 | 2025-10-13 | $423.39 | $435.90 | -6.08% | 13 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.54% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.72% | 2 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 9.85% | 3 | |
| 2025-05-28 | 2025-06-05 | $356.90 | $284.70 | -7.84% | 7 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -7.77% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.16% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.69% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 8.99% | 2 | |
| 2023-07-05 | 2023-07-21 | $282.48 | $260.02 | -5.57% | 13 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.62% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.85% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.82% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.94% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.35% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.61% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.86% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.14% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -13.55% | 6 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.01% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 7.46% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.21% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.74% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.40% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.78% | 2 | |
| 2021-10-13 | 2021-10-18 | $270.36 | $290.04 | 3.98% | 4 | |
| 2021-09-27 | 2021-10-06 | $263.79 | $260.92 | 0.55% | 8 | |
| 2021-09-16 | 2021-09-22 | $252.33 | $250.65 | -2.13% | 5 | |
| 2021-08-13 | 2021-08-18 | $239.06 | $229.66 | -7.23% | 4 | |
| 2021-08-05 | 2021-08-10 | $238.21 | $236.66 | 0.18% | 4 | |
| 2021-01-26 | 2021-02-01 | $294.36 | $279.94 | -9.11% | 5 | |
| 2020-12-18 | 2021-01-08 | $231.67 | $293.34 | 21.61% | 14 | |
| 2020-12-04 | 2020-12-08 | $199.68 | $216.63 | 7.14% | 3 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.66% | 2 | |
| 2020-11-19 | 2020-11-25 | $166.42 | $191.33 | 12.47% | 5 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.06% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.24% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.55% | 2 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.30% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.11% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.17% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.57% | 3 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -6.96% | 3 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.56% | 4 | |
| 2017-09-19 | 2017-09-22 | $25.01 | $23.41 | -4.51% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.36% | 2 | |
| 2017-06-06 | 2017-06-09 | $23.52 | $23.82 | 5.68% | 4 | |
| 2017-04-26 | 2017-05-04 | $20.68 | $19.70 | -0.97% | 7 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 9.21% | 6 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.57% | 2 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 3.62% | 2 | |
| 2017-02-09 | 2017-02-10 | $17.95 | $17.95 | 2.26% | 2 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.28% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.23% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.36% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.86% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.33% | 5 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.62% | 3 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.68% | 11 | |
| 2016-04-07 | 2016-04-20 | $17.15 | $16.66 | -6.30% | 10 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.91% | 2 | |
| 2015-06-24 | 2015-07-08 | $17.68 | $17.00 | -0.09% | 10 | |
| 2015-05-29 | 2015-06-11 | $16.72 | $16.76 | -0.44% | 10 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.21% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.79% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.66% | 2 | |
| 2014-09-05 | 2014-09-16 | $18.49 | $17.38 | -10.30% | 8 | |
| 2014-08-07 | 2014-09-03 | $16.83 | $18.75 | 12.47% | 19 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -5.70% | 10 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 21.50% | 8 | |
| 2013-09-30 | 2013-10-01 | $12.89 | $12.87 | 0.98% | 2 | |
| 2013-09-20 | 2013-09-27 | $12.23 | $12.73 | 5.23% | 6 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -6.92% | 18 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.87% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.92% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.70% | 4 |