Strategy Zoo / S1394
PriceMomentum_V1394
ARCHIVEDhybridllmRestrict to UPTREND regime and exclude HIGH_VOL and EXTREME bubble to improve applicability; entry broadened to momentum+uptrend OR breakout to increase trade coverage; exits improved with a shorter-term stop (ret_5d) and a tighter 20d stop and a volatility spike exit; added position scaling: cut size in high vol (vol_pctile>0.8) and allow full size on high-volume breakouts; lowered base position to 0.7 to reduce drawdown risk.
Fitness
0.2374
Generation
64
Complexity
12
Created
2026-10-09
Lineage
Parents (1)
changed ret_20d threshold -0.1499 -> -0.1076
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1394 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.045 and sma_50_slope > 0.0) or breakout_20 > 0.0):
position = 0.7
if long and (ret_20d < -0.08 or ret_5d < -0.06 or vol_chg > 0.6):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.5% | 13.4% | 2.7% | 3.7% |
| Total Return | 3.8% | 45.9% | 10.4% | 70.6% |
| Sharpe | 0.10 | 0.84 | 0.26 | 0.34 |
| Sortino | 0.06 | 0.64 | 0.15 | 0.22 |
| Calmar | 0.02 | 0.42 | 0.20 | 0.11 |
| Volatility | 11.8% | 16.6% | 13.9% | 13.5% |
| Max DD | -23.9% | -32.2% | -13.6% | -32.2% |
| Win Rate | 54.7% | 58.3% | 53.8% | 55.5% |
| Avg Win | 2.9% | 4.4% | 3.6% | 3.5% |
| Avg Loss | -3.3% | -3.4% | -3.1% | -3.3% |
| Payoff | 0.90 | 1.30 | 1.13 | 1.07 |
| Expectancy | 0.1% | 1.2% | 0.5% | 0.5% |
| Profit Factor | 1.09 | 1.82 | 1.32 | 1.33 |
| Trades | 75 | 36 | 26 | 137 |
| Avg Holding Days | 5.3 | 5.3 | 5.8 | 5.5 |
| Turnover | 13.2 | 16.8 | 9.7 | 13.0 |
| Exposure | 11.5% | 14.4% | 9.3% | 11.6% |
Growth of $100
PriceMomentum_V1394 vs TSLA Buy & Hold
PriceMomentum_V1394 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 | -7.7% | -1.07 | -10.3% | 5 |
| 2017 | 7.5% | 0.61 | -8.9% | 18 |
| 2018 | -6.7% | -1.05 | -7.5% | 3 |
| 2019 | 0.4% | 0.09 | -6.8% | 7 |
| 2020 | 51.6% | 2.55 | -9.1% | 12 |
| 2021 | 16.5% | 0.85 | -16.1% | 14 |
| 2022 | -19.4% | -1.95 | -21.5% | 9 |
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 | 41.6% | 1.56 | 35% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.3% | -0.67 | 1% |
| hidden test | LOW VOLATILITY | 441 | 13.6% | 1.20 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.9% | -0.19 | 17% |
| hidden test | NORMAL | 814 | -0.1% | -0.00 | 7% |
| hidden test | SIDEWAYS | 296 | -7.7% | -1.39 | 1% |
| hidden test | UPTREND | 371 | 15.3% | 0.71 | 23% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 21.6% | 1.10 | 24% |
| train | EXTREME | 100 | 8.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.1% | 0.69 | 1% |
| train | LOW VOLATILITY | 745 | 8.3% | 0.66 | 23% |
| train | MEDIUM VOLATILITY | 568 | -15.6% | -1.25 | 9% |
| train | NORMAL | 1,601 | -3.2% | -0.33 | 10% |
| train | SIDEWAYS | 592 | -2.4% | -1.09 | 1% |
| train | UPTREND | 902 | 4.1% | 0.24 | 25% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 50.9% | 2.16 | 33% |
| validation | EXTREME | 144 | 33.0% | 2.62 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 6.6% | 0.48 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 34.4% | 1.55 | 19% |
| validation | NORMAL | 474 | -2.6% | -0.17 | 13% |
| validation | SIDEWAYS | 206 | -14.8% | -2.12 | 1% |
| validation | UPTREND | 425 | 32.0% | 1.48 | 25% |
Trades (full period)
latest 100 of 137
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -5.38% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -1.95% | 2 | |
| 2025-12-22 | 2025-12-31 | $488.73 | $449.72 | -4.04% | 7 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 2.27% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.00% | 2 | |
| 2025-12-08 | 2025-12-15 | $439.58 | $475.31 | 0.49% | 6 | |
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -4.60% | 12 | |
| 2025-09-17 | 2025-10-24 | $425.86 | $433.72 | 4.61% | 28 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 7.62% | 3 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | -0.60% | 10 | |
| 2024-10-09 | 2024-10-14 | $241.05 | $219.16 | -7.82% | 4 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -2.41% | 4 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.04% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-04 | 2024-09-06 | $219.41 | $210.73 | 6.31% | 3 | |
| 2024-07-09 | 2024-07-12 | $262.33 | $248.23 | -3.36% | 4 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.32% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 6.99% | 2 | |
| 2023-07-27 | 2023-08-03 | $255.71 | $259.32 | -2.82% | 6 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.12% | 2 | |
| 2023-06-28 | 2023-07-24 | $256.24 | $269.06 | 2.79% | 18 | |
| 2023-06-06 | 2023-06-27 | $221.31 | $250.21 | 7.47% | 15 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.89% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-19 | 2022-04-22 | $342.72 | $335.02 | 0.22% | 4 | |
| 2022-04-13 | 2022-04-18 | $340.79 | $334.76 | -0.25% | 3 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -3.52% | 2 | |
| 2022-04-05 | 2022-04-08 | $363.75 | $341.83 | -5.55% | 4 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-10-29 | 2021-11-10 | $371.33 | $355.98 | -3.34% | 9 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.19% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 8.72% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.26% | 3 | |
| 2021-09-21 | 2021-10-19 | $246.46 | $288.09 | 12.96% | 21 | |
| 2021-08-24 | 2021-09-20 | $236.16 | $243.39 | 5.10% | 19 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -4.59% | 10 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.01% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.34% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.18% | 5 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 5.34% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 1.85% | 2 | |
| 2020-12-22 | 2021-01-05 | $213.45 | $245.04 | 8.35% | 9 | |
| 2020-12-10 | 2020-12-21 | $209.02 | $216.62 | 10.23% | 8 | |
| 2020-12-02 | 2020-12-08 | $189.61 | $216.63 | 6.66% | 5 | |
| 2020-11-25 | 2020-12-01 | $191.33 | $194.92 | 1.42% | 4 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 4.47% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.68% | 2 | |
| 2020-10-23 | 2020-10-30 | $140.21 | $129.35 | -2.58% | 6 | |
| 2020-10-13 | 2020-10-22 | $148.88 | $141.93 | -3.24% | 8 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.13% | 5 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 6.19% | 3 | |
| 2020-01-07 | 2020-01-09 | $31.27 | $32.09 | 6.11% | 3 | |
| 2019-12-24 | 2020-01-06 | $28.35 | $30.10 | 3.83% | 8 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.13% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 2.47% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.11% | 3 | |
| 2019-12-03 | 2019-12-09 | $22.41 | $22.64 | 0.08% | 5 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.42% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -5.54% | 7 | |
| 2018-11-27 | 2018-12-07 | $22.93 | $23.86 | 3.30% | 8 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.46% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-30 | 2017-07-05 | $24.11 | $21.81 | -1.71% | 3 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 3.16% | 2 | |
| 2017-06-05 | 2017-06-12 | $23.15 | $23.93 | 3.46% | 6 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-05-03 | 2017-05-05 | $20.73 | $20.56 | -5.30% | 3 | |
| 2017-04-27 | 2017-05-02 | $20.58 | $21.26 | 2.71% | 4 | |
| 2017-04-24 | 2017-04-26 | $20.54 | $20.68 | 1.73% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-29 | 2017-04-04 | $18.49 | $20.25 | 5.16% | 5 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.74% | 2 | |
| 2017-02-22 | 2017-02-24 | $18.23 | $17.13 | -5.55% | 3 | |
| 2017-02-15 | 2017-02-21 | $18.65 | $18.49 | -2.31% | 4 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 2.81% | 2 | |
| 2017-01-23 | 2017-02-10 | $16.59 | $17.95 | 6.78% | 15 | |
| 2017-01-05 | 2017-01-20 | $15.12 | $16.32 | 4.99% | 11 | |
| 2016-08-08 | 2016-08-24 | $15.08 | $14.84 | -1.71% | 13 | |
| 2016-07-26 | 2016-08-05 | $15.30 | $15.34 | 0.06% | 9 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-07 | 2016-05-04 | $17.15 | $14.84 | -8.96% | 20 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.26% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-07-14 | 2015-07-20 | $17.71 | $18.82 | 3.18% | 5 | |
| 2015-07-07 | 2015-07-08 | $17.86 | $17.00 | -3.10% | 2 | |
| 2015-06-25 | 2015-07-06 | $17.92 | $18.65 | 3.77% | 7 |