Strategy Zoo / S1389
PriceMomentum_V1389
ARCHIVEDhybridllmSimplified and regularized entry: combined SMA/ breakouts + modest 20d momentum; added min-volatility filter (vol_pctile < 0.85) and filter on 252d cumulative return to avoid entries after extreme collapses. Added multi-condition exits (short-term and medium-term losses, cross below sma_50, and drawdown cap) to limit large drawdowns. Added regime gates to trade only in UPTREND/SIDEWAYS, low/medium volatility, and non-bubble environment. Added position scaling: reduce size when vol_pctile high or recent drawdown elevated.
Fitness
0.0945
Generation
64
Complexity
21
Created
2026-10-09
Lineage
Parents (1)
entry from PriceMomentum_V0936, exit from LongTermTrend_V1216
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1389 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and dist_sma_50 > 0.0 and ret_20d > 0.03) or (close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.0) and vol_pctile < 0.85 and cumret_252d > -0.3 and ret_20d > 0.01):
position = 1.0
if long and (ret_5d < -0.06 or ret_20d < -0.02 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.3% | -1.4% | -0.6% | -1.7% |
| Total Return | -16.8% | -4.1% | -2.2% | -22.0% |
| Sharpe | -0.01 | 0.06 | 0.09 | 0.03 |
| Sortino | -0.01 | 0.04 | 0.06 | 0.02 |
| Calmar | -0.05 | -0.03 | -0.02 | -0.03 |
| Volatility | 20.3% | 23.2% | 22.5% | 21.5% |
| Max DD | -48.1% | -40.2% | -36.6% | -50.5% |
| Win Rate | 38.2% | 25.0% | 34.2% | 34.2% |
| Avg Win | 6.2% | 10.6% | 7.2% | 7.2% |
| Avg Loss | -4.0% | -3.1% | -3.4% | -3.6% |
| Payoff | 1.53 | 3.40 | 2.13 | 1.99 |
| Expectancy | -0.1% | 0.3% | 0.2% | 0.1% |
| Profit Factor | 0.95 | 1.13 | 1.11 | 1.03 |
| Trades | 55 | 24 | 38 | 117 |
| Avg Holding Days | 8.8 | 7.8 | 6.2 | 7.8 |
| Turnover | 13.8 | 16.0 | 20.5 | 15.9 |
| Exposure | 21.4% | 21.7% | 21.1% | 21.4% |
Growth of $100
PriceMomentum_V1389 vs TSLA Buy & Hold
PriceMomentum_V1389 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 | -3.8% | -0.21 | -13.4% | 6 |
| 2017 | 18.7% | 1.88 | -5.4% | 4 |
| 2018 | -8.5% | -0.46 | -16.1% | 3 |
| 2019 | -6.4% | -0.10 | -24.2% | 7 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 22.5% | 0.80 | -23.6% | 14 |
| 2022 | -21.8% | -0.86 | -39.8% | 10 |
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 | -3.5% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 42.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.9% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 441 | 16.2% | 0.71 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.2% | -0.39 | 22% |
| hidden test | NORMAL | 814 | -2.1% | -0.09 | 24% |
| hidden test | SIDEWAYS | 296 | -24.8% | -1.07 | 34% |
| hidden test | UPTREND | 371 | 27.3% | 0.94 | 26% |
| train | DOWNTREND | 518 | -10.7% | -1.40 | 1% |
| train | EXPENSIVE | 311 | 11.9% | 1.72 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.04 | 1% |
| train | LOW VOLATILITY | 745 | 20.3% | 0.96 | 41% |
| train | MEDIUM VOLATILITY | 568 | -28.4% | -1.34 | 20% |
| train | NORMAL | 1,601 | -2.6% | -0.12 | 26% |
| train | SIDEWAYS | 592 | -17.3% | -0.81 | 24% |
| train | UPTREND | 902 | 16.9% | 0.70 | 31% |
| 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 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 3.4% | 0.16 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 7.8% | 0.26 | 22% |
| validation | NORMAL | 474 | 2.1% | 0.07 | 35% |
| validation | SIDEWAYS | 206 | -19.2% | -0.66 | 33% |
| validation | UPTREND | 425 | 11.6% | 0.50 | 23% |
Trades (full period)
latest 100 of 118
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -1.59% | 2 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-22 | 2026-06-08 | $426.01 | $408.95 | -6.61% | 11 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.63% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.79% | 2 | |
| 2025-12-08 | 2025-12-31 | $439.58 | $449.72 | -0.33% | 17 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 16.22% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-30 | 2025-07-31 | $319.04 | $308.27 | -0.87% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -4.35% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -11.10% | 4 | |
| 2024-09-23 | 2024-10-08 | $250.00 | $244.50 | 0.89% | 12 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-26 | 2024-07-12 | $196.37 | $248.23 | 28.40% | 12 | |
| 2024-06-14 | 2024-06-21 | $178.01 | $183.01 | -0.69% | 5 | |
| 2024-06-10 | 2024-06-12 | $173.79 | $177.29 | -4.04% | 3 | |
| 2023-11-29 | 2024-01-04 | $244.14 | $237.93 | -3.55% | 25 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.79% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-27 | 2023-09-28 | $240.50 | $246.38 | -1.68% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-31 | 2023-09-05 | $258.08 | $256.49 | -4.82% | 3 | |
| 2023-07-27 | 2023-08-02 | $255.71 | $254.11 | -1.44% | 5 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-06-28 | 2023-07-24 | $256.24 | $269.06 | 3.72% | 18 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-02-28 | 2023-03-07 | $205.71 | $187.71 | -6.84% | 6 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-24 | 2022-08-29 | $297.10 | $284.82 | -3.02% | 4 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -3.56% | 7 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -3.77% | 9 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -12.90% | 7 | |
| 2022-04-13 | 2022-04-18 | $340.79 | $334.76 | -0.39% | 3 | |
| 2022-03-21 | 2022-04-12 | $307.05 | $328.98 | 7.58% | 17 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.25% | 6 | |
| 2021-08-23 | 2021-11-10 | $235.43 | $355.98 | 50.16% | 57 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-02 | 2021-08-18 | $236.56 | $229.66 | -3.32% | 13 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -2.20% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -3.16% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.24% | 2 | |
| 2021-04-30 | 2021-05-04 | $236.48 | $224.53 | 0.97% | 3 | |
| 2021-04-13 | 2021-04-29 | $254.11 | $225.67 | -1.27% | 13 | |
| 2021-04-09 | 2021-04-12 | $225.67 | $233.99 | -1.19% | 2 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 13.70% | 11 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-11-22 | 2019-11-27 | $22.20 | $22.09 | -7.49% | 4 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 16.39% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-11-26 | 2018-12-19 | $23.07 | $22.20 | 3.24% | 17 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-11 | 2018-02-09 | $22.53 | $20.69 | -6.03% | 21 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 15.75% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-08-19 | 2016-08-23 | $15.00 | $14.99 | -0.46% | 3 | |
| 2016-07-22 | 2016-08-18 | $14.82 | $14.90 | 1.04% | 20 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 5.96% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -6.00% | 4 | |
| 2015-10-06 | 2015-10-07 | $16.10 | $15.46 | -2.10% | 2 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -3.63% | 2 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-29 | 2015-08-03 | $17.59 | $17.33 | 0.30% | 4 | |
| 2015-07-14 | 2015-07-28 | $17.71 | $17.65 | -3.68% | 11 | |
| 2015-04-28 | 2015-07-13 | $15.37 | $17.48 | 11.70% | 53 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.35% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -6.30% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-11-10 | 2014-11-11 | $16.13 | $16.74 | 0.52% | 2 | |
| 2014-09-18 | 2014-09-22 | $17.59 | $16.67 | -0.99% | 3 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-07-11 | 2014-07-16 | $14.54 | $14.48 | -0.15% | 4 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.62% | 2 | |
| 2014-06-16 | 2014-07-08 | $14.97 | $14.60 | 7.66% | 16 |