Strategy Zoo / S1313
PriceMomentum_V1313
ARCHIVEDhybridllmRestrict to UPTREND & NORMAL bubble, allow LOW/MEDIUM volatility; convert entry to momentum + structural filter (ret_20d > 4%, positive 50SMA slope, avoid high vol percentile) to reduce false signals; tighten and diversify exits (faster ret_20d stop, drawdown cap, MACD histogram flip) for better risk control; add volatility-based scaling rules and lower base_position to moderate allocation in higher volatility.
Fitness
0.0553
Generation
60
Complexity
11
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold -0.1499 -> -0.0955
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1313 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and sma_50_slope > 0.0 and vol_pctile < 0.85):
position = 0.8
if long and (ret_20d < -0.07 or drawdown > 0.06 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.2% | -5.8% | 2.8% | -1.7% |
| Total Return | -16.2% | -16.5% | 10.7% | -22.6% |
| Sharpe | -0.18 | -0.39 | 0.28 | -0.10 |
| Sortino | -0.08 | -0.18 | 0.12 | -0.04 |
| Calmar | -0.08 | -0.15 | 0.13 | -0.04 |
| Volatility | 9.6% | 13.2% | 12.9% | 11.3% |
| Max DD | -26.4% | -38.1% | -21.3% | -39.2% |
| Win Rate | 39.0% | 31.8% | 44.4% | 38.9% |
| Avg Win | 2.4% | 4.5% | 3.9% | 3.2% |
| Avg Loss | -1.9% | -3.1% | -2.3% | -2.3% |
| Payoff | 1.23 | 1.47 | 1.71 | 1.40 |
| Expectancy | -0.2% | -0.7% | 0.5% | -0.2% |
| Profit Factor | 0.79 | 0.69 | 1.37 | 0.89 |
| Trades | 59 | 22 | 27 | 108 |
| Avg Holding Days | 3.8 | 4.3 | 3.4 | 3.8 |
| Turnover | 11.8 | 11.7 | 11.5 | 11.7 |
| Exposure | 6.7% | 7.6% | 5.5% | 6.6% |
Growth of $100
PriceMomentum_V1313 vs TSLA Buy & Hold
PriceMomentum_V1313 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 | -5.4% | -0.70 | -10.7% | 8 |
| 2017 | 8.8% | 1.90 | -0.9% | 2 |
| 2018 | -8.3% | -1.51 | -8.2% | 5 |
| 2019 | -5.7% | -1.08 | -6.2% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 4.0% | 0.30 | -22.9% | 13 |
| 2022 | -19.8% | -2.04 | -22.1% | 9 |
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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 440 | 5.6% | 0.48 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | 11.4% | 0.71 | 7% |
| hidden test | NORMAL | 813 | 0.6% | 0.05 | 6% |
| hidden test | SIDEWAYS | 295 | -2.9% | -0.97 | 1% |
| hidden test | UPTREND | 371 | 11.3% | 0.55 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 2.3% | 1.18 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 0.2% | 0.02 | 15% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -1.07 | 4% |
| train | NORMAL | 1,601 | -2.7% | -0.25 | 8% |
| train | SIDEWAYS | 592 | -3.2% | -1.08 | 0% |
| train | UPTREND | 902 | -1.9% | -0.13 | 15% |
| 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 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | -2.9% | -0.24 | 20% |
| validation | MEDIUM VOLATILITY | 315 | -5.3% | -0.33 | 6% |
| validation | NORMAL | 474 | -8.2% | -0.49 | 12% |
| validation | SIDEWAYS | 206 | -14.9% | -1.91 | 1% |
| validation | UPTREND | 425 | -1.9% | -0.11 | 13% |
Trades (full period)
latest 100 of 108
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.01% | 4 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-09-07 | 2021-09-21 | $250.97 | $246.46 | -0.50% | 11 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -0.91% | 2 | |
| 2019-12-02 | 2019-12-03 | $22.32 | $22.41 | 1.03% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.42% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -4.14% | 5 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.59% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.64% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.40% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.88% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.77% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.70% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -2.21% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.68% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-20 | 2015-07-22 | $18.82 | $17.86 | -2.43% | 3 | |
| 2015-07-14 | 2015-07-15 | $17.71 | $17.54 | 0.90% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-06-05 | 2015-06-08 | $16.61 | $17.09 | 0.89% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.05% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.59% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.14% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.25% | 2 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -7.41% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.41% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-07-14 | 2014-07-15 | $15.11 | $14.64 | 2.98% | 2 | |
| 2014-07-10 | 2014-07-11 | $14.63 | $14.54 | -1.45% | 2 | |
| 2014-07-08 | 2014-07-09 | $14.60 | $14.87 | -1.45% | 2 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.67% | 2 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-27 | 2012-12-28 | $2.25 | $2.21 | 0.08% | 2 | |
| 2012-12-24 | 2012-12-26 | $2.29 | $2.24 | 0.50% | 2 | |
| 2012-12-20 | 2012-12-21 | $2.30 | $2.27 | -0.58% | 2 | |
| 2012-12-18 | 2012-12-19 | $2.31 | $2.31 | 0.28% | 2 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 |