Strategy Zoo / S1333
PriceMomentum_V1333
ARCHIVEDhybridllmSimplified and regularized entry to robust momentum + breakout signals (ret_20d>6% with positive sma_50_slope and price > sma_50 OR recent breakout with short-term confirmation and not overextended). Added multi-condition exit (price under sma_50 OR larger 20d loss OR drawdown or volatility spike) to reduce deep drawdowns. Introduced regime gates to trade only in UPTREND / MEDIUM_VOLATILITY and avoid bubble states. Reduced base position and added volatility-scaled sizing to lower risk in volatile regimes.
Fitness
0.3777
Generation
61
Complexity
17
Created
2026-10-08
Lineage
Parents (1)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1333 [hybrid]
if flat and ((ret_20d > 0.06 and sma_50_slope > 0.0 and close > sma_50) or (breakout_20 > 0.0 and ret_5d > 0.01 and dist_sma_20 < 0.3)):
position = 0.7
if long and (close < sma_50 or ret_20d < -0.06 or drawdown > 0.12 or vol_chg > 0.4):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.9% | 30.0% | -4.6% | 5.4% |
| Total Return | 16.0% | 119.6% | -16.1% | 118.1% |
| Sharpe | 0.20 | 1.49 | -0.20 | 0.41 |
| Sortino | 0.18 | 1.77 | -0.16 | 0.38 |
| Calmar | 0.05 | 1.64 | -0.12 | 0.14 |
| Volatility | 14.7% | 18.7% | 16.8% | 16.1% |
| Max DD | -35.2% | -18.2% | -39.5% | -39.5% |
| Win Rate | 51.2% | 61.5% | 45.5% | 52.4% |
| Avg Win | 2.3% | 3.7% | 3.6% | 2.9% |
| Avg Loss | -2.2% | -2.6% | -3.4% | -2.5% |
| Payoff | 1.08 | 1.43 | 1.07 | 1.17 |
| Expectancy | 0.1% | 1.3% | -0.2% | 0.3% |
| Profit Factor | 1.13 | 2.29 | 0.89 | 1.28 |
| Trades | 170 | 65 | 55 | 290 |
| Avg Holding Days | 5.2 | 5.9 | 6.6 | 5.6 |
| Turnover | 22.4 | 21.4 | 16.8 | 20.7 |
| Exposure | 18.0% | 20.4% | 17.6% | 18.4% |
Growth of $100
PriceMomentum_V1333 vs TSLA Buy & Hold
PriceMomentum_V1333 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 | 1.8% | 0.26 | -6.1% | 13 |
| 2017 | 3.6% | 0.33 | -15.1% | 23 |
| 2018 | -10.7% | -0.99 | -14.2% | 17 |
| 2019 | 1.5% | 0.18 | -14.8% | 18 |
| 2020 | 102.5% | 3.13 | -7.8% | 35 |
| 2021 | 21.5% | 1.17 | -12.8% | 19 |
| 2022 | -11.0% | -0.85 | -18.2% | 10 |
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 | -10.7% | -1.04 | 7% |
| hidden test | EXPENSIVE | 83 | 25.1% | 1.09 | 30% |
| hidden test | EXTREME | 48 | 33.1% | 1.53 | 20% |
| hidden test | HIGH VOLATILITY | 254 | -11.1% | -0.78 | 9% |
| hidden test | LOW VOLATILITY | 440 | 16.4% | 1.01 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -30.0% | -1.53 | 17% |
| hidden test | NORMAL | 813 | -8.3% | -0.53 | 16% |
| hidden test | SIDEWAYS | 295 | -19.6% | -1.24 | 19% |
| hidden test | UPTREND | 371 | 15.2% | 0.73 | 25% |
| train | DOWNTREND | 518 | -1.9% | -0.27 | 6% |
| train | EXPENSIVE | 311 | 9.6% | 0.52 | 27% |
| train | EXTREME | 100 | 88.0% | 4.13 | 28% |
| train | HIGH VOLATILITY | 699 | 8.0% | 0.49 | 9% |
| train | LOW VOLATILITY | 745 | 9.6% | 0.69 | 30% |
| train | MEDIUM VOLATILITY | 568 | -12.0% | -0.88 | 14% |
| train | NORMAL | 1,601 | -3.7% | -0.28 | 16% |
| train | SIDEWAYS | 592 | -10.5% | -0.92 | 12% |
| train | UPTREND | 902 | 14.6% | 0.76 | 29% |
| validation | DOWNTREND | 125 | 1.1% | 0.18 | 2% |
| validation | EXPENSIVE | 138 | 21.9% | 1.01 | 27% |
| validation | EXTREME | 144 | 109.3% | 4.43 | 24% |
| validation | HIGH VOLATILITY | 258 | 16.5% | 0.93 | 9% |
| validation | LOW VOLATILITY | 183 | -0.5% | -0.03 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 53.9% | 2.63 | 22% |
| validation | NORMAL | 474 | 5.0% | 0.33 | 18% |
| validation | SIDEWAYS | 206 | -7.4% | -0.57 | 16% |
| validation | UPTREND | 425 | 53.0% | 2.31 | 28% |
Trades (full period)
latest 100 of 291
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | — | $380.12 | — | 0.01% | 11 | OPEN |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.28% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.39% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.82% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -3.77% | 2 | |
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -8.70% | 17 | |
| 2026-05-08 | 2026-05-12 | $428.35 | $433.45 | 5.47% | 3 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -1.84% | 3 | |
| 2025-12-22 | 2026-01-05 | $488.73 | $451.67 | -6.46% | 9 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 2.27% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.00% | 2 | |
| 2025-12-08 | 2025-12-15 | $439.58 | $475.31 | 0.49% | 6 | |
| 2025-10-29 | 2025-11-07 | $461.51 | $429.52 | -2.68% | 8 | |
| 2025-10-06 | 2025-10-24 | $453.25 | $433.72 | 2.22% | 15 | |
| 2025-09-18 | 2025-10-03 | $416.85 | $429.83 | 0.62% | 12 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.84% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-08-27 | 2025-09-08 | $349.60 | $346.40 | -0.27% | 8 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.06% | 9 | |
| 2025-05-15 | 2025-06-06 | $342.82 | $295.14 | -8.64% | 16 | |
| 2025-04-30 | 2025-05-14 | $282.16 | $347.68 | 5.05% | 11 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.03% | 2 | |
| 2025-01-06 | 2025-01-17 | $411.05 | $426.50 | 0.24% | 9 | |
| 2024-12-24 | 2025-01-03 | $462.28 | $410.44 | -2.98% | 7 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -1.79% | 2 | |
| 2024-12-12 | 2024-12-19 | $418.10 | $436.17 | 1.96% | 6 | |
| 2024-12-09 | 2024-12-11 | $389.79 | $424.77 | 0.69% | 3 | |
| 2024-11-13 | 2024-12-06 | $330.24 | $389.22 | 3.02% | 17 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 2.15% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 0.66% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -0.66% | 2 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -9.25% | 6 | |
| 2024-09-24 | 2024-10-03 | $254.27 | $240.66 | -0.26% | 8 | |
| 2024-09-11 | 2024-09-20 | $228.13 | $238.25 | 3.28% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.23% | 2 | |
| 2024-07-26 | 2024-08-02 | $219.80 | $207.67 | -0.33% | 6 | |
| 2024-07-09 | 2024-07-25 | $262.33 | $220.25 | -4.70% | 13 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.92% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 6.99% | 2 | |
| 2024-06-18 | 2024-07-01 | $184.86 | $209.86 | 3.76% | 9 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -2.91% | 9 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.15% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.20% | 2 | |
| 2023-12-15 | 2024-01-10 | $253.50 | $233.94 | -4.59% | 17 | |
| 2023-11-29 | 2023-12-04 | $244.14 | $235.58 | -2.38% | 4 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -1.96% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.32% | 9 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -0.79% | 6 | |
| 2023-06-06 | 2023-07-20 | $221.31 | $262.90 | 23.71% | 31 | |
| 2023-05-30 | 2023-06-05 | $201.16 | $217.61 | 7.31% | 5 | |
| 2023-05-19 | 2023-05-24 | $180.14 | $182.90 | 3.38% | 4 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -4.42% | 2 | |
| 2023-02-08 | 2023-03-09 | $201.29 | $172.92 | -4.83% | 21 | |
| 2023-01-26 | 2023-01-30 | $160.27 | $166.66 | 5.40% | 3 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.03% | 2 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-08-03 | 2022-08-31 | $307.40 | $275.61 | -5.51% | 21 | |
| 2022-07-28 | 2022-08-02 | $280.90 | $300.59 | 3.87% | 4 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -3.30% | 2 | |
| 2022-04-08 | 2022-04-22 | $341.83 | $335.02 | -2.24% | 10 | |
| 2022-03-24 | 2022-04-07 | $337.97 | $352.42 | 2.34% | 11 | |
| 2022-03-21 | 2022-03-23 | $307.05 | $333.04 | 4.66% | 3 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.70% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -1.07% | 2 | |
| 2021-10-29 | 2021-12-02 | $371.33 | $361.53 | -1.80% | 24 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.84% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 8.72% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.26% | 3 | |
| 2021-10-05 | 2021-10-19 | $260.20 | $288.09 | 7.68% | 11 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.66% | 2 | |
| 2021-09-21 | 2021-09-29 | $246.46 | $260.44 | 4.38% | 7 | |
| 2021-09-15 | 2021-09-20 | $251.94 | $243.39 | 1.27% | 4 | |
| 2021-09-08 | 2021-09-14 | $251.29 | $248.16 | -1.06% | 5 | |
| 2021-08-24 | 2021-09-01 | $236.16 | $244.70 | 2.77% | 7 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-06-29 | 2021-07-28 | $226.92 | $215.66 | -4.58% | 21 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.34% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -2.03% | 2 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.24% | 8 | |
| 2021-01-14 | 2021-02-01 | $281.67 | $279.94 | -3.57% | 12 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 2.21% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 3.74% | 2 | |
| 2021-01-05 | 2021-01-07 | $245.04 | $272.01 | 1.66% | 3 | |
| 2020-12-22 | 2021-01-04 | $213.45 | $243.26 | 4.06% | 8 | |
| 2020-12-14 | 2020-12-21 | $213.28 | $216.62 | 6.61% | 6 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 1.73% | 2 | |
| 2020-12-02 | 2020-12-09 | $189.61 | $201.49 | 5.31% | 6 | |
| 2020-11-24 | 2020-12-01 | $185.13 | $194.92 | 4.19% | 5 | |
| 2020-11-20 | 2020-11-23 | $163.20 | $173.95 | -1.05% | 2 | |
| 2020-11-18 | 2020-11-19 | $162.21 | $166.42 | 4.90% | 2 | |
| 2020-10-07 | 2020-10-29 | $141.77 | $136.94 | -3.32% | 17 | |
| 2020-09-22 | 2020-09-24 | $141.41 | $129.26 | -3.92% | 3 | |
| 2020-09-03 | 2020-09-21 | $135.67 | $149.80 | 0.57% | 12 | |
| 2020-08-25 | 2020-09-02 | $134.89 | $149.12 | 8.96% | 7 | |
| 2020-08-20 | 2020-08-24 | $133.46 | $134.28 | 2.16% | 3 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 0.64% | 2 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 0.40% | 2 | |
| 2020-07-27 | 2020-08-12 | $102.64 | $103.65 | -2.05% | 13 |