Strategy Zoo / S1330
PriceMomentum_V1330
ARCHIVEDhybridllmAdd trend confirmation (sma_50_slope>0) and volatility filter (vol_pctile<0.8) to entry to reduce false signals; relax momentum thresh slightly to 0.05. Improve exits by adding momentum stop (ret_20d<-0.12), trend deterioration (sma_50_slope<0) and negative MACD histogram to exit losing/weak trades earlier. Add volatility regime gate (allow only LOW/MED volatility) and restrict bubble states to avoid EXTREME. Add position scaling rule to reduce size in high percentile volatility (>0.7) and lower base position to 0.8 to improve robustness and reduce overfitting.
Fitness
0.2805
Generation
61
Complexity
11
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold 0.0191 -> 0.0594
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1330 [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 > 0.05 and sma_50_slope > 0.0 and vol_pctile < 0.8):
position = 0.8
if long and (ret_20d < -0.12 or sma_50_slope < 0.0 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.1% | 21.2% | -0.4% | 4.7% |
| Total Return | 9.3% | 77.9% | -1.6% | 95.9% |
| Sharpe | 0.15 | 1.11 | 0.05 | 0.37 |
| Sortino | 0.10 | 0.86 | 0.03 | 0.24 |
| Calmar | 0.03 | 0.65 | -0.02 | 0.12 |
| Volatility | 14.8% | 18.8% | 15.7% | 15.9% |
| Max DD | -35.0% | -32.8% | -24.7% | -39.8% |
| Win Rate | 40.0% | 60.0% | 30.8% | 42.6% |
| Avg Win | 3.9% | 4.8% | 5.6% | 4.7% |
| Avg Loss | -2.4% | -3.0% | -2.3% | -2.5% |
| Payoff | 1.62 | 1.61 | 2.41 | 1.88 |
| Expectancy | 0.1% | 1.7% | 0.1% | 0.6% |
| Profit Factor | 1.08 | 2.41 | 1.07 | 1.39 |
| Trades | 90 | 40 | 39 | 169 |
| Avg Holding Days | 4.4 | 4.5 | 4.3 | 4.5 |
| Turnover | 18.1 | 21.3 | 16.7 | 18.4 |
| Exposure | 12.7% | 14.7% | 10.8% | 12.6% |
Growth of $100
PriceMomentum_V1330 vs TSLA Buy & Hold
PriceMomentum_V1330 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 | -4.0% | -0.44 | -12.6% | 9 |
| 2017 | 10.3% | 0.74 | -8.9% | 18 |
| 2018 | -10.9% | -1.47 | -11.7% | 6 |
| 2019 | 0.6% | 0.13 | -18.0% | 7 |
| 2020 | 62.4% | 2.55 | -6.4% | 10 |
| 2021 | 32.2% | 1.33 | -18.8% | 18 |
| 2022 | -17.3% | -1.58 | -19.7% | 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 | 6.4% | 0.25 | 27% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 440 | 20.7% | 1.36 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.5% | -1.28 | 13% |
| hidden test | NORMAL | 813 | 0.3% | 0.02 | 10% |
| hidden test | SIDEWAYS | 295 | -16.9% | -1.60 | 10% |
| hidden test | UPTREND | 371 | 15.5% | 0.67 | 19% |
| train | DOWNTREND | 518 | 2.0% | 0.58 | 0% |
| train | EXPENSIVE | 311 | 19.0% | 0.91 | 25% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.3% | 0.46 | 1% |
| train | LOW VOLATILITY | 745 | 9.2% | 0.64 | 25% |
| train | MEDIUM VOLATILITY | 568 | -13.3% | -0.97 | 10% |
| train | NORMAL | 1,601 | -1.5% | -0.11 | 11% |
| train | SIDEWAYS | 592 | -8.1% | -0.78 | 7% |
| train | UPTREND | 902 | 9.1% | 0.45 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 87.1% | 3.21 | 32% |
| validation | EXTREME | 144 | 37.7% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 7.1% | 0.51 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 51.5% | 2.02 | 22% |
| validation | NORMAL | 474 | -3.4% | -0.20 | 13% |
| validation | SIDEWAYS | 206 | -13.3% | -1.44 | 4% |
| validation | UPTREND | 425 | 43.7% | 1.81 | 24% |
Trades (full period)
latest 100 of 169
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-14 | 2026-05-21 | $443.30 | $417.85 | -5.18% | 6 | |
| 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 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 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 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 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 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 22.38% | 17 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 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 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.83% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 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 | |
| 2021-11-26 | 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 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.56% | 10 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.79% | 10 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.97% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.93% | 2 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 33.52% | 24 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 | |
| 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 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 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 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -4.11% | 4 | |
| 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 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-02-06 | 2018-02-07 | $22.26 | $23.00 | 0.04% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.57% | 11 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 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 | 2017-07-03 | $24.11 | $23.51 | 0.03% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -2.91% | 2 | |
| 2017-05-12 | 2017-05-16 | $21.65 | $21.13 | -1.94% | 3 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 |