Strategy Zoo / S1376
PriceMomentum_V1376
ARCHIVEDhybridllm1) Added a trend/momentum gate: require positive sma_50_slope or sma_200_slope and macd_hist>0 to avoid entries in weak/down trends. 2) Added overbought filter rsi_14<70 to reduce chasing peaks. 3) Converted entry into an AND combining the original momentum/breakout logic with the new regime filters to improve signal quality. 4) Replaced single harsh stop with a multi-condition exit (softer ret_20d stop at -8%, OR drop below sma_50, OR macd_hist turn negative) to exit earlier on momentum failure and limit drawdown. 5) Tightened regime gates: allow only UPTREND/SIDEWAYS, disallow HIGH_VOLATILITY, and restrict to NORMAL bubble to avoid trading in extreme regimes. 6) Reduced base_position to 0.8 to lower exposure in live trading.
Fitness
0.1940
Generation
63
Complexity
19
Created
2026-10-09
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1376 [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 > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)) and (sma_50_slope > 0.0 or sma_200_slope > 0.0) and rsi_14 < 70.0 and macd_hist > 0.0):
position = 0.8
if long and (ret_20d < -0.08 or dist_sma_50 < -0.12 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.3% | 4.5% | -0.8% | 1.4% |
| Total Return | 11.2% | 14.0% | -3.1% | 22.7% |
| Sharpe | 0.17 | 0.37 | 0.01 | 0.17 |
| Sortino | 0.09 | 0.21 | 0.01 | 0.09 |
| Calmar | 0.05 | 0.29 | -0.03 | 0.04 |
| Volatility | 12.8% | 14.7% | 14.7% | 13.7% |
| Max DD | -28.2% | -15.6% | -24.4% | -36.2% |
| Win Rate | 43.8% | 25.0% | 33.3% | 36.9% |
| Avg Win | 5.7% | 12.6% | 7.2% | 7.0% |
| Avg Loss | -3.6% | -2.4% | -3.4% | -3.3% |
| Payoff | 1.60 | 5.27 | 2.11 | 2.15 |
| Expectancy | 0.5% | 1.4% | 0.1% | 0.5% |
| Profit Factor | 1.24 | 1.76 | 1.05 | 1.26 |
| Trades | 32 | 12 | 21 | 65 |
| Avg Holding Days | 8.7 | 10.2 | 6.7 | 8.3 |
| Turnover | 6.4 | 6.4 | 9.2 | 7.1 |
| Exposure | 9.8% | 11.6% | 10.3% | 10.3% |
Growth of $100
PriceMomentum_V1376 vs TSLA Buy & Hold
PriceMomentum_V1376 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 | 3.9% | 0.55 | -5.3% | 4 |
| 2017 | 14.6% | 1.89 | -4.3% | 3 |
| 2018 | -8.3% | -1.09 | -9.7% | 3 |
| 2019 | -6.3% | -0.21 | -19.1% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.8% | 0.62 | -13.6% | 8 |
| 2022 | 2.0% | 0.21 | -15.6% | 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 | -2.8% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 441 | 2.3% | 0.16 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | 5.6% | 0.35 | 9% |
| hidden test | NORMAL | 814 | -3.2% | -0.21 | 12% |
| hidden test | SIDEWAYS | 296 | -23.1% | -1.38 | 22% |
| hidden test | UPTREND | 371 | 21.1% | 1.18 | 8% |
| train | DOWNTREND | 518 | -4.3% | -0.94 | 0% |
| train | EXPENSIVE | 311 | 4.0% | 1.48 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.7% | 0.42 | 1% |
| train | LOW VOLATILITY | 745 | 10.7% | 0.95 | 19% |
| train | MEDIUM VOLATILITY | 568 | -13.5% | -0.97 | 10% |
| train | NORMAL | 1,601 | 1.9% | 0.13 | 12% |
| train | SIDEWAYS | 592 | -5.7% | -0.37 | 16% |
| train | UPTREND | 902 | 11.0% | 0.78 | 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 | 5.2% | 0.36 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 17.8% | 0.99 | 11% |
| validation | NORMAL | 474 | 8.7% | 0.47 | 19% |
| validation | SIDEWAYS | 206 | 10.2% | 0.61 | 19% |
| validation | UPTREND | 425 | 4.7% | 0.30 | 11% |
Trades (full period)
66 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 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 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 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 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 | 2024-07-12 | $184.86 | $248.23 | 22.38% | 17 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 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 | |
| 2022-08-08 | 2022-08-12 | $290.42 | $300.03 | -0.56% | 5 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 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 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-23 | 2019-07-26 | $17.34 | $15.20 | -8.48% | 4 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2016-12-30 | 2017-01-25 | $14.25 | $16.96 | 14.49% | 17 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 5.55% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2015-12-31 | 2016-01-06 | $16.00 | $14.60 | -5.07% | 4 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.49% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-25 | 2015-07-09 | $17.92 | $17.19 | -3.19% | 10 | |
| 2015-05-01 | 2015-05-22 | $15.07 | $16.52 | 6.72% | 16 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-11 | 2014-12-01 | $16.74 | $15.44 | 0.74% | 14 | |
| 2014-09-08 | 2014-09-12 | $18.81 | $18.61 | 0.69% | 5 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 6.58% | 28 | |
| 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 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 5.24% | 28 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -2.29% | 7 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 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 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |