Strategy Zoo / S1347
PriceMomentum_V1347
ARCHIVEDhybridllmWrapped original entry in a regime-filtered trend gate and added momentum/RSI sanity checks; replaced single numeric exit with multi-rule exit (stop-loss, overbought, deep pullback); added volatility-based position scaling (reduce size in high vol, moderate in medium vol); tightened regime gates to avoid DOWNTREND and EXTREME bubble states and lowered base exposure to improve robustness and reduce overfitting.
Fitness
0.2299
Generation
62
Complexity
16
Created
2026-10-09
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1347 [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 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)) and rsi_14 < 72.0 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_20d < -0.08 or rsi_14 > 78.0 or dist_sma_20 < -0.2):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.1% | 5.9% | -8.2% | 1.9% |
| Total Return | 48.9% | 18.8% | -27.4% | 31.4% |
| Sharpe | 0.37 | 0.40 | -0.35 | 0.19 |
| Sortino | 0.27 | 0.27 | -0.22 | 0.13 |
| Calmar | 0.12 | 0.16 | -0.27 | 0.03 |
| Volatility | 17.6% | 19.1% | 19.3% | 18.4% |
| Max DD | -42.1% | -36.5% | -30.8% | -53.9% |
| Win Rate | 47.1% | 57.1% | 26.7% | 44.4% |
| Avg Win | 10.4% | 11.1% | 12.3% | 11.0% |
| Avg Loss | -6.2% | -10.0% | -6.6% | -7.0% |
| Payoff | 1.66 | 1.10 | 1.87 | 1.57 |
| Expectancy | 1.6% | 2.0% | -1.5% | 1.0% |
| Profit Factor | 1.48 | 1.47 | 0.68 | 1.25 |
| Trades | 34 | 14 | 15 | 63 |
| Avg Holding Days | 15.8 | 14.1 | 14.1 | 15.0 |
| Turnover | 6.9 | 7.5 | 6.6 | 6.9 |
| Exposure | 20.0% | 19.4% | 16.8% | 19.1% |
Growth of $100
PriceMomentum_V1347 vs TSLA Buy & Hold
PriceMomentum_V1347 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 | -12.6% | -1.15 | -17.9% | 4 |
| 2017 | 7.2% | 0.48 | -16.3% | 12 |
| 2018 | -18.5% | -1.55 | -19.7% | 3 |
| 2019 | 24.5% | 1.12 | -14.7% | 4 |
| 2020 | 52.2% | 2.42 | -9.7% | 6 |
| 2021 | 13.1% | 0.73 | -17.7% | 4 |
| 2022 | -33.1% | -1.95 | -35.0% | 4 |
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 | -0.2% | -1.30 | 0% |
| hidden test | EXPENSIVE | 83 | 55.6% | 1.83 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -18.4% | -1.18 | 1% |
| hidden test | LOW VOLATILITY | 441 | 16.7% | 1.08 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.0% | -1.33 | 26% |
| hidden test | NORMAL | 814 | -13.4% | -0.73 | 15% |
| hidden test | SIDEWAYS | 296 | -44.5% | -2.29 | 19% |
| hidden test | UPTREND | 371 | 18.7% | 0.74 | 27% |
| train | DOWNTREND | 518 | 2.0% | 0.59 | 0% |
| train | EXPENSIVE | 311 | 34.7% | 1.48 | 30% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.11 | 2% |
| train | LOW VOLATILITY | 745 | 29.9% | 1.79 | 36% |
| train | MEDIUM VOLATILITY | 568 | -18.4% | -0.99 | 22% |
| train | NORMAL | 1,601 | 0.9% | 0.05 | 19% |
| train | SIDEWAYS | 592 | -13.5% | -1.05 | 9% |
| train | UPTREND | 902 | 22.3% | 0.93 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.7% | 2.65 | 39% |
| validation | EXTREME | 144 | 26.6% | 2.24 | 2% |
| validation | HIGH VOLATILITY | 258 | 2.9% | 0.96 | 0% |
| validation | LOW VOLATILITY | 183 | -3.3% | -0.19 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 17.7% | 0.67 | 24% |
| validation | NORMAL | 474 | -17.2% | -0.96 | 19% |
| validation | SIDEWAYS | 206 | -36.6% | -1.94 | 11% |
| validation | UPTREND | 425 | 31.2% | 1.43 | 29% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -1.27% | 2 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-14 | 2026-06-10 | $443.30 | $381.59 | -8.86% | 19 | |
| 2025-12-08 | 2026-01-16 | $439.58 | $437.50 | -2.95% | 28 | |
| 2025-09-26 | 2025-11-18 | $440.40 | $401.25 | -2.59% | 38 | |
| 2025-08-25 | 2025-09-17 | $346.60 | $425.86 | 18.73% | 17 | |
| 2025-07-31 | 2025-08-06 | $308.27 | $319.91 | -2.74% | 5 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -9.19% | 12 | |
| 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 | 2024-07-03 | $184.86 | $246.39 | 18.26% | 11 | |
| 2023-06-26 | 2023-08-03 | $241.05 | $259.32 | -0.70% | 28 | |
| 2023-05-31 | 2023-06-07 | $203.93 | $224.57 | 7.78% | 6 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -10.59% | 13 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -13.68% | 9 | |
| 2022-09-20 | 2022-10-04 | $308.73 | $249.44 | -17.67% | 11 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -5.92% | 23 | |
| 2022-04-06 | 2022-04-27 | $348.59 | $293.84 | -16.02% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-08-02 | 2021-10-19 | $236.56 | $288.09 | 20.76% | 56 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -9.60% | 29 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 27.20% | 20 | |
| 2020-12-03 | 2020-12-08 | $197.79 | $216.63 | 10.02% | 4 | |
| 2020-11-19 | 2020-11-30 | $166.42 | $189.20 | 15.90% | 7 | |
| 2020-10-13 | 2020-10-30 | $148.88 | $129.35 | -5.84% | 14 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2020-01-21 | 2020-01-22 | $36.48 | $37.97 | 5.59% | 2 | |
| 2019-12-31 | 2020-01-06 | $27.89 | $30.10 | 5.27% | 4 | |
| 2019-11-29 | 2019-12-20 | $22.00 | $27.04 | 17.10% | 16 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-11 | 2019-09-27 | $16.47 | $16.14 | 2.33% | 13 | |
| 2019-07-23 | 2019-07-26 | $17.34 | $15.20 | -8.48% | 4 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -7.62% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -7.48% | 17 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -6.29% | 22 | |
| 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 | 2017-07-06 | $24.11 | $20.59 | -7.64% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.99% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 10.49% | 7 | |
| 2017-02-17 | 2017-02-28 | $18.15 | $16.67 | -6.91% | 7 | |
| 2017-02-02 | 2017-02-09 | $16.77 | $17.95 | 3.94% | 6 | |
| 2016-12-30 | 2017-01-17 | $14.25 | $15.71 | 8.37% | 11 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -10.40% | 29 | |
| 2016-04-08 | 2016-05-04 | $16.67 | $14.84 | -7.92% | 19 | |
| 2016-03-28 | 2016-04-07 | $15.35 | $17.15 | 12.90% | 9 | |
| 2015-12-31 | 2016-01-12 | $16.00 | $14.00 | -10.39% | 8 | |
| 2015-05-01 | 2015-08-07 | $15.07 | $16.17 | 7.16% | 69 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-09-08 | 2014-09-30 | $18.81 | $16.18 | -9.43% | 17 | |
| 2014-06-23 | 2014-09-03 | $15.81 | $18.75 | 18.60% | 51 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -5.39% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-10-03 | 2013-10-24 | $11.55 | $11.54 | -7.38% | 16 | |
| 2013-09-09 | 2013-10-01 | $10.71 | $12.87 | 12.36% | 17 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2012-11-12 | 2013-02-27 | $2.07 | $2.34 | 10.85% | 73 | |
| 2012-02-23 | 2012-04-11 | $2.30 | $2.21 | -4.08% | 34 |