Strategy Zoo / S1352
PriceMomentum_V1352
ARCHIVEDhybridllmTightened momentum entry (ret_20d>4%) and added a confirmed-breakout branch requiring breakout_20 + elevated rel_volume + positive sma_50_slope + positive macd_hist to reduce false signals; expanded exit to an OR of 20d stop (-12%), short-term drop (ret_1d<-5%) and MACD histogram deterioration to improve exits; added volatility-based sizing via vol_pctile (smaller position in high vol) and lowered base_position to 0.8; restricted regime gates to UPTREND/SIDEWAYS, LOW/MEDIUM volatility and NORMAL bubble to avoid bubble/high-volatility environments.
Fitness
0.1131
Generation
62
Complexity
14
Created
2026-10-09
Lineage
Parents (1)
swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1352 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 or (breakout_20 == 1 and rel_volume > 1.2 and sma_50_slope > 0.0 and macd_hist > 0.0)):
position = 0.8
if long and (ret_20d < -0.12 or macd_hist < -0.02 or ret_1d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | -0.9% | 3.0% | 0.4% |
| Total Return | -3.0% | -2.7% | 11.7% | 5.4% |
| Sharpe | 0.05 | 0.03 | 0.26 | 0.10 |
| Sortino | 0.03 | 0.02 | 0.19 | 0.07 |
| Calmar | -0.01 | -0.04 | 0.12 | 0.01 |
| Volatility | 15.3% | 16.6% | 16.7% | 15.9% |
| Max DD | -46.1% | -25.5% | -24.8% | -51.4% |
| Win Rate | 36.2% | 40.0% | 37.0% | 37.3% |
| Avg Win | 5.5% | 4.1% | 5.2% | 5.1% |
| Avg Loss | -3.0% | -2.7% | -2.4% | -2.7% |
| Payoff | 1.84 | 1.53 | 2.15 | 1.86 |
| Expectancy | 0.1% | 0.0% | 0.4% | 0.2% |
| Profit Factor | 1.05 | 1.02 | 1.26 | 1.11 |
| Trades | 58 | 30 | 46 | 134 |
| Avg Holding Days | 7.6 | 5.6 | 4.7 | 6.1 |
| Turnover | 11.6 | 16.0 | 19.6 | 14.6 |
| Exposure | 15.1% | 14.7% | 14.4% | 14.9% |
Growth of $100
PriceMomentum_V1352 vs TSLA Buy & Hold
PriceMomentum_V1352 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 | -8.2% | -0.68 | -15.6% | 10 |
| 2017 | 11.7% | 1.58 | -4.3% | 3 |
| 2018 | -12.3% | -1.51 | -13.6% | 5 |
| 2019 | -10.4% | -0.40 | -21.7% | 9 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.8% | 0.15 | -22.9% | 18 |
| 2022 | -3.5% | -0.13 | -21.3% | 12 |
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 | -3.1% | -1.50 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.6% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 441 | 13.7% | 0.78 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.1% | -0.28 | 14% |
| hidden test | NORMAL | 814 | 1.5% | 0.09 | 17% |
| hidden test | SIDEWAYS | 296 | -17.2% | -0.93 | 26% |
| hidden test | UPTREND | 371 | 27.0% | 1.31 | 15% |
| train | DOWNTREND | 518 | -6.8% | -0.97 | 1% |
| train | EXPENSIVE | 311 | 4.6% | 1.65 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.1% | 0.22 | 1% |
| train | LOW VOLATILITY | 745 | 13.9% | 0.90 | 30% |
| train | MEDIUM VOLATILITY | 568 | -19.3% | -1.18 | 14% |
| train | NORMAL | 1,601 | 0.1% | 0.01 | 19% |
| train | SIDEWAYS | 592 | -8.9% | -0.53 | 20% |
| train | UPTREND | 902 | 11.5% | 0.65 | 20% |
| 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 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 3.3% | 0.19 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 4.5% | 0.22 | 13% |
| validation | NORMAL | 474 | 0.7% | 0.03 | 23% |
| validation | SIDEWAYS | 206 | -15.1% | -0.78 | 23% |
| validation | UPTREND | 425 | 8.1% | 0.46 | 15% |
Trades (full period)
latest 100 of 134
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 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 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 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 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 2.19% | 8 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 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 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 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 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 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 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 25.07% | 19 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.71% | 10 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.82% | 19 | |
| 2023-10-09 | 2023-10-17 | $259.67 | $254.85 | -2.18% | 7 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.11% | 2 | |
| 2023-07-05 | 2023-07-10 | $282.48 | $269.61 | -1.70% | 4 | |
| 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 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -7.30% | 3 | |
| 2023-05-31 | 2023-06-22 | $203.93 | $264.61 | 22.52% | 16 | |
| 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 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 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 | |
| 2022-09-12 | 2022-09-26 | $304.42 | $276.01 | -6.64% | 11 | |
| 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 | |
| 2022-08-09 | 2022-08-12 | $283.33 | $300.03 | -1.18% | 4 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 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 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 8.97% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 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 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-09-28 | 2021-10-12 | $259.19 | $268.57 | -0.10% | 11 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.79% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 6.03% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -0.91% | 2 | |
| 2019-12-02 | 2019-12-03 | $22.32 | $22.41 | 1.03% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.42% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 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 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -2.64% | 9 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.64% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -3.37% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.12% | 3 | |
| 2016-07-22 | 2016-08-10 | $14.82 | $15.04 | 2.96% | 14 | |
| 2016-06-08 | 2016-06-20 | $15.70 | $14.65 | -5.97% | 9 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.40% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.88% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.77% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.70% | 2 |