Strategy Zoo / S1351
PriceMomentum_V1351
ARCHIVEDhybridllm- Simplified entry logic: require price above SMA50, positive MACD histogram, and either 20d momentum (>5%) or 20d breakout, plus price above EMA20 — reduces overfitting while keeping momentum+trend filter. - Strengthened exit: exit when MACD histogram turns negative OR price falls below SMA50 OR a sharp 1d drop (< -7%) — tighter risk control to lower drawdowns. - Added regime gates: only trade in UPTREND, avoid HIGH_VOLATILITY, and only when bubble is NORMAL to limit trades in adverse regimes. - Reduced base position from 1.0 to 0.8 to lower risk/turnover.
Fitness
0.1402
Generation
62
Complexity
14
Created
2026-10-09
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1351 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (close > sma_50 and macd_hist > 0.0 and (ret_20d > 0.05 or breakout_20 == 1) and close > ema_20):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.07):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | -2.6% | 6.8% | 2.0% |
| Total Return | 12.4% | -7.6% | 28.0% | 33.0% |
| Sharpe | 0.22 | -0.16 | 0.60 | 0.24 |
| Sortino | 0.10 | -0.06 | 0.23 | 0.10 |
| Calmar | 0.13 | -0.08 | 0.47 | 0.06 |
| Volatility | 8.2% | 12.1% | 12.1% | 10.2% |
| Max DD | -11.7% | -30.7% | -14.4% | -30.7% |
| Win Rate | 39.1% | 11.1% | 53.8% | 37.8% |
| Avg Win | 4.9% | 21.4% | 6.8% | 6.6% |
| Avg Loss | -2.1% | -3.3% | -3.3% | -2.7% |
| Payoff | 2.28 | 6.46 | 2.02 | 2.42 |
| Expectancy | 0.6% | -0.6% | 2.1% | 0.8% |
| Profit Factor | 1.46 | 0.81 | 2.35 | 1.47 |
| Trades | 23 | 9 | 13 | 45 |
| Avg Holding Days | 6.7 | 7.8 | 5.3 | 6.5 |
| Turnover | 4.6 | 4.8 | 5.5 | 4.9 |
| Exposure | 5.2% | 6.5% | 4.7% | 5.3% |
Growth of $100
PriceMomentum_V1351 vs TSLA Buy & Hold
PriceMomentum_V1351 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 | 1.7% | 0.29 | -5.3% | 3 |
| 2017 | 11.0% | 2.14 | -0.9% | 3 |
| 2018 | -6.3% | -1.20 | -6.3% | 2 |
| 2019 | -1.2% | -1.07 | -1.2% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 15.2% | 0.84 | -13.6% | 5 |
| 2022 | -19.9% | -2.49 | -19.8% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.9% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 441 | 10.0% | 0.90 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 24.1% | 1.85 | 6% |
| hidden test | NORMAL | 814 | 5.0% | 0.41 | 5% |
| hidden test | SIDEWAYS | 296 | -7.1% | -1.23 | 1% |
| hidden test | UPTREND | 371 | 24.3% | 1.31 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 3.9% | 1.45 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.6% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.50 | 12% |
| train | MEDIUM VOLATILITY | 568 | -5.2% | -0.68 | 2% |
| train | NORMAL | 1,601 | 1.5% | 0.16 | 6% |
| train | SIDEWAYS | 592 | -3.3% | -1.05 | 1% |
| train | UPTREND | 902 | 6.1% | 0.51 | 11% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -1.6% | -0.15 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 4.1% | 0.28 | 5% |
| validation | NORMAL | 474 | -3.0% | -0.20 | 10% |
| validation | SIDEWAYS | 206 | -10.9% | -1.56 | 1% |
| validation | UPTREND | 425 | 1.9% | 0.12 | 11% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 7.86% | 16 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |