Strategy Zoo / S1346
PriceMomentum_V1346
ARCHIVEDhybridllm1) Relaxed and diversified entry: ret_20d > 3% with positive 50-day slope OR 20-day breakout — to increase valid entry coverage in validation. 2) Added multi-conditional exit: earlier exits on short-term loss (ret_5d < -8%), moderate 20d loss (ret_20d < -7%), or trend reversal (sma_50_slope < 0) for cleaner risk control. 3) Tightened regime gates: only UPTREND and non-bubbly (NORMAL) and avoid HIGH volatility — reduce false signals in unfavorable regimes. 4) Position sizing rules based on volatility and momentum: cut size in high vol, full size in low vol or very strong momentum. 5) Reduced base_position to 0.70 to lower drawdown exposure.
Fitness
0.0819
Generation
62
Complexity
12
Created
2026-10-09
Lineage
Parents (1)
entry from PriceMomentum_V1294, exit from LongTermTrend_V0909
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1346 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.03 and sma_50_slope > 0.0008) or breakout_20 > 0.5):
position = 0.7
if long and (ret_20d < -0.07 or ret_5d < -0.08 or sma_50_slope < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.2% | -6.7% | 1.3% | -1.7% |
| Total Return | -8.9% | -18.7% | 5.0% | -22.2% |
| Sharpe | -0.06 | -0.43 | 0.16 | -0.08 |
| Sortino | -0.03 | -0.20 | 0.07 | -0.04 |
| Calmar | -0.04 | -0.15 | 0.06 | -0.04 |
| Volatility | 10.5% | 13.8% | 13.7% | 12.1% |
| Max DD | -29.9% | -43.3% | -21.2% | -43.3% |
| Win Rate | 38.5% | 18.2% | 52.9% | 38.9% |
| Avg Win | 5.0% | 16.4% | 4.9% | 6.0% |
| Avg Loss | -3.5% | -5.3% | -4.5% | -4.2% |
| Payoff | 1.43 | 3.08 | 1.09 | 1.43 |
| Expectancy | -0.2% | -1.4% | 0.5% | -0.2% |
| Profit Factor | 0.89 | 0.68 | 1.23 | 0.91 |
| Trades | 26 | 11 | 17 | 54 |
| Avg Holding Days | 12.2 | 10.4 | 6.4 | 10.0 |
| Turnover | 4.6 | 5.1 | 6.3 | 5.1 |
| Exposure | 10.1% | 9.5% | 6.8% | 9.1% |
Growth of $100
PriceMomentum_V1346 vs TSLA Buy & Hold
PriceMomentum_V1346 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 | -7.9% | -1.01 | -12.4% | 3 |
| 2017 | 10.3% | 2.26 | -0.7% | 3 |
| 2018 | -12.0% | -1.37 | -11.9% | 3 |
| 2019 | 3.4% | 0.49 | -6.6% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.6% | 0.66 | -22.1% | 4 |
| 2022 | -27.2% | -2.21 | -29.0% | 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 | 29.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -22.1% | -1.48 | 1% |
| hidden test | LOW VOLATILITY | 441 | 7.0% | 0.64 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 18.7% | 1.14 | 9% |
| hidden test | NORMAL | 814 | -0.4% | -0.03 | 8% |
| hidden test | SIDEWAYS | 296 | -13.4% | -1.27 | 1% |
| hidden test | UPTREND | 371 | 16.4% | 0.84 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.8% | 1.78 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.5% | -0.06 | 0% |
| train | LOW VOLATILITY | 745 | 9.2% | 0.73 | 22% |
| train | MEDIUM VOLATILITY | 568 | -13.6% | -1.42 | 7% |
| train | NORMAL | 1,601 | -2.5% | -0.22 | 12% |
| train | SIDEWAYS | 592 | -7.1% | -1.39 | 1% |
| train | UPTREND | 902 | 3.3% | 0.22 | 22% |
| 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 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 9.0% | 0.75 | 24% |
| validation | MEDIUM VOLATILITY | 315 | -14.8% | -0.84 | 9% |
| validation | NORMAL | 474 | -9.5% | -0.54 | 15% |
| validation | SIDEWAYS | 206 | -24.4% | -2.08 | 2% |
| validation | UPTREND | 425 | 1.2% | 0.08 | 16% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -5.38% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.65% | 19 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.78% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -12.73% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -9.25% | 6 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.90% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.05% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.12% | 5 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-07-27 | 2023-08-03 | $255.71 | $259.32 | -2.82% | 6 | |
| 2023-06-29 | 2023-07-26 | $257.50 | $264.35 | 2.52% | 19 | |
| 2023-06-02 | 2023-06-28 | $213.97 | $256.24 | 14.07% | 18 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.89% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-13 | 2022-04-27 | $340.79 | $293.84 | -7.87% | 10 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -10.66% | 6 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-09 | 2021-12-15 | $334.60 | $325.33 | -7.42% | 5 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 30.22% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.11% | 13 | |
| 2019-11-29 | 2019-12-17 | $22.00 | $25.27 | 10.30% | 13 | |
| 2019-11-22 | 2019-11-27 | $22.20 | $22.09 | -5.26% | 4 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.88% | 16 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -6.18% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.74% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -4.65% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.23% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 4.88% | 55 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.07% | 2 | |
| 2014-09-19 | 2014-09-30 | $17.29 | $16.18 | -5.09% | 8 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 6.17% | 31 | |
| 2014-07-10 | 2014-07-23 | $14.63 | $14.83 | -1.20% | 10 | |
| 2014-06-24 | 2014-07-09 | $15.50 | $14.87 | -5.51% | 11 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -5.76% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2012-12-18 | 2013-01-24 | $2.31 | $2.47 | 3.15% | 25 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-02-28 | 2012-04-10 | $2.25 | $2.16 | -0.85% | 30 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |