Strategy Zoo / S1328
PriceMomentum_V1328
ARCHIVEDhybridllmAdded momentum+trend gating and volatility-aware sizing. Entry now requires 20d positive return plus positive 50-day slope and MACD histogram while avoiding overbought RSI; restrict trading to UPTREND/SIDEWAYS and low-to-medium volatility and exclude EXTREME bubble states. Exit improved to include short-term reversal, looser 20d stop, MACD flip and 20-day new lows. Position sizing scaled down in high-volatility (0.4) and full size in low-volatility, base position lowered to 0.7 to reduce drawdown risk.
Fitness
0.2746
Generation
61
Complexity
13
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0191
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1328 [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 > 0.018 and sma_50_slope > 0.0 and macd_hist > 0.0 and rsi_14 < 70.0):
position = 0.7
if long and (ret_5d < -0.06 or ret_20d < -0.12 or macd_hist < 0.0 or roll_low_20 > 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.8% | 5.3% | -2.9% | 2.4% |
| Total Return | 34.5% | 16.9% | -10.4% | 40.9% |
| Sharpe | 0.48 | 0.86 | -0.33 | 0.33 |
| Sortino | 0.30 | 0.57 | -0.15 | 0.19 |
| Calmar | 0.19 | 0.74 | -0.15 | 0.12 |
| Volatility | 8.5% | 6.3% | 8.0% | 8.0% |
| Max DD | -19.7% | -7.3% | -18.7% | -19.7% |
| Win Rate | 53.3% | 54.1% | 40.0% | 50.5% |
| Avg Win | 1.7% | 1.6% | 2.2% | 1.7% |
| Avg Loss | -1.2% | -0.9% | -1.8% | -1.3% |
| Payoff | 1.34 | 1.70 | 1.19 | 1.30 |
| Expectancy | 0.3% | 0.4% | -0.2% | 0.2% |
| Profit Factor | 1.53 | 2.00 | 0.79 | 1.33 |
| Trades | 105 | 37 | 40 | 182 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 18.4 | 17.3 | 15.1 | 17.3 |
| Exposure | 3.7% | 3.4% | 3.0% | 3.5% |
Growth of $100
PriceMomentum_V1328 vs TSLA Buy & Hold
PriceMomentum_V1328 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 | 1.0% | 0.27 | -2.9% | 10 |
| 2017 | -1.5% | -0.20 | -6.8% | 16 |
| 2018 | -7.1% | -1.31 | -7.3% | 9 |
| 2019 | 22.5% | 1.55 | -1.5% | 11 |
| 2020 | 14.9% | 1.67 | -2.0% | 9 |
| 2021 | 5.6% | 1.15 | -2.4% | 21 |
| 2022 | -3.7% | -0.80 | -5.2% | 7 |
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 | 24.4% | 1.66 | 6% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.1% | -1.41 | 0% |
| hidden test | LOW VOLATILITY | 440 | -3.0% | -0.32 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.4% | -0.48 | 4% |
| hidden test | NORMAL | 813 | -5.5% | -0.77 | 3% |
| hidden test | SIDEWAYS | 295 | -6.9% | -0.82 | 4% |
| hidden test | UPTREND | 371 | -1.1% | -0.11 | 5% |
| train | DOWNTREND | 518 | 0.1% | 0.08 | 0% |
| train | EXPENSIVE | 311 | 6.2% | 0.63 | 6% |
| train | EXTREME | 100 | -0.2% | -1.59 | 0% |
| train | HIGH VOLATILITY | 699 | 6.7% | 0.65 | 1% |
| train | LOW VOLATILITY | 745 | 5.7% | 0.89 | 6% |
| train | MEDIUM VOLATILITY | 568 | -1.4% | -0.16 | 4% |
| train | NORMAL | 1,601 | 3.9% | 0.46 | 3% |
| train | SIDEWAYS | 592 | -0.1% | -0.02 | 3% |
| train | UPTREND | 902 | 9.1% | 0.76 | 6% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 33.5% | 2.69 | 6% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.3% | 0.34 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 12.2% | 1.32 | 4% |
| validation | NORMAL | 474 | -1.1% | -0.28 | 4% |
| validation | SIDEWAYS | 206 | 3.5% | 1.17 | 1% |
| validation | UPTREND | 425 | 7.9% | 0.97 | 6% |
Trades (full period)
latest 100 of 183
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.60% | 1 | OPEN |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.34% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.14% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.14% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -3.46% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -1.61% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.59% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.45% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.37% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.35% | 2 | |
| 2025-12-11 | 2025-12-12 | $446.89 | $458.96 | -0.85% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.51% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.74% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.13% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 2.67% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.03% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.16% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.21% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.35% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.29% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.29% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.09% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.23% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.69% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.38% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 3.57% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -4.38% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -2.70% | 2 | |
| 2023-03-31 | 2023-04-03 | $207.46 | $194.77 | 4.22% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.22% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.40% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.58% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.41% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.24% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -3.06% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.33% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.05% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.43% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.66% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.36% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.09% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.93% | 2 | |
| 2021-09-13 | 2021-09-14 | $247.67 | $248.16 | 0.50% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.05% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.71% | 2 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.30% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.32% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.63% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.35% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.33% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.23% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.13% | 2 | |
| 2021-01-21 | 2021-01-22 | $281.66 | $282.21 | -0.59% | 2 | |
| 2021-01-19 | 2021-01-20 | $281.52 | $283.48 | 1.42% | 2 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 3.16% | 2 | |
| 2020-12-22 | 2020-12-23 | $213.45 | $215.33 | -1.16% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 4.03% | 2 | |
| 2020-12-16 | 2020-12-17 | $207.59 | $218.63 | -1.30% | 2 | |
| 2020-12-14 | 2020-12-15 | $213.28 | $211.08 | 3.28% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 2.47% | 2 | |
| 2020-12-03 | 2020-12-04 | $197.79 | $199.68 | 2.88% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 4.47% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.68% | 2 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -2.02% | 2 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.37% | 2 | |
| 2019-10-24 | 2019-10-25 | $19.98 | $21.88 | 12.22% | 2 | |
| 2019-10-22 | 2019-10-23 | $17.04 | $16.98 | 0.43% | 2 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -1.48% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.36% | 2 | |
| 2019-09-23 | 2019-09-24 | $16.08 | $14.88 | 0.04% | 2 | |
| 2019-09-19 | 2019-09-20 | $16.44 | $16.04 | 0.75% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.43% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.33% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 3.29% | 2 | |
| 2019-07-23 | 2019-07-24 | $17.34 | $17.66 | 1.09% | 2 | |
| 2018-12-17 | 2018-12-18 | $23.23 | $22.47 | -3.45% | 2 | |
| 2018-12-13 | 2018-12-14 | $25.12 | $24.38 | 1.80% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.17% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.25% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.14% | 2 | |
| 2018-01-30 | 2018-01-31 | $23.05 | $23.62 | -0.88% | 2 | |
| 2018-01-26 | 2018-01-29 | $22.86 | $23.30 | 0.94% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -1.51% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.17% | 2 | |
| 2017-09-22 | 2017-09-25 | $23.41 | $23.00 | -3.08% | 2 | |
| 2017-09-20 | 2017-09-21 | $24.93 | $24.43 | -0.36% | 2 |