Strategy Zoo / S1396
PriceMomentum_V1396
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-volatility/extreme-bubble environments; tightened entries by requiring low-to-moderate vol on breakout branch and preserved strong-momentum branch with sma_200 trend check; improved exits by adding sma_50 breakdown and absolute drawdown stop; added volatility-based position scaling (reduce size in high vol). Aims: fewer false entries in bad regimes, more robust exits, adaptive sizing.
Fitness
0.3177
Generation
64
Complexity
20
Created
2026-10-09
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1396 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.0191 and breakout_50 == 1 and vol_pctile < 0.8) or (ret_20d > 0.05 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and cumret_252d > -0.1997)):
position = 1.0
if long and (ret_20d < -0.0017 or close < sma_50 or drawdown < -0.07):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.9% | 45.1% | -7.0% | 2.1% |
| Total Return | -43.4% | 205.8% | -23.9% | 35.6% |
| Sharpe | -0.30 | 1.64 | -0.33 | 0.20 |
| Sortino | -0.21 | 1.47 | -0.20 | 0.15 |
| Calmar | -0.11 | 1.96 | -0.18 | 0.03 |
| Volatility | 18.2% | 24.5% | 17.3% | 19.5% |
| Max DD | -60.0% | -23.1% | -40.1% | -60.0% |
| Win Rate | 42.6% | 58.7% | 46.7% | 47.4% |
| Avg Win | 2.4% | 4.3% | 2.4% | 3.1% |
| Avg Loss | -2.4% | -2.0% | -2.5% | -2.4% |
| Payoff | 0.98 | 2.18 | 0.93 | 1.30 |
| Expectancy | -0.4% | 1.7% | -0.2% | 0.2% |
| Profit Factor | 0.73 | 3.09 | 0.82 | 1.17 |
| Trades | 162 | 75 | 92 | 329 |
| Avg Holding Days | 3.0 | 3.0 | 2.1 | 2.8 |
| Turnover | 40.7 | 50.0 | 49.1 | 44.7 |
| Exposure | 16.8% | 19.6% | 11.1% | 15.9% |
Growth of $100
PriceMomentum_V1396 vs TSLA Buy & Hold
PriceMomentum_V1396 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 | -2.7% | -0.21 | -7.3% | 20 |
| 2017 | 4.2% | 0.31 | -14.5% | 31 |
| 2018 | -14.4% | -1.86 | -14.7% | 10 |
| 2019 | -1.7% | -0.05 | -16.4% | 12 |
| 2020 | 99.6% | 2.86 | -8.0% | 7 |
| 2021 | 23.1% | 0.85 | -23.1% | 48 |
| 2022 | 20.0% | 1.19 | -9.4% | 20 |
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 | -2.0% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | -28.3% | -0.99 | 24% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.1% | -0.51 | 1% |
| hidden test | LOW VOLATILITY | 441 | 7.6% | 0.46 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.0% | -1.34 | 14% |
| hidden test | NORMAL | 814 | -3.8% | -0.23 | 10% |
| hidden test | SIDEWAYS | 296 | -25.7% | -1.32 | 14% |
| hidden test | UPTREND | 371 | 7.3% | 0.34 | 17% |
| train | DOWNTREND | 518 | -3.5% | -0.92 | 0% |
| train | EXPENSIVE | 311 | 31.3% | 1.11 | 37% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.0% | 0.68 | 1% |
| train | LOW VOLATILITY | 745 | 5.2% | 0.28 | 31% |
| train | MEDIUM VOLATILITY | 568 | -38.5% | -1.83 | 17% |
| train | NORMAL | 1,601 | -13.7% | -0.85 | 14% |
| train | SIDEWAYS | 592 | -16.1% | -1.19 | 12% |
| train | UPTREND | 902 | 0.4% | 0.02 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 126.0% | 3.53 | 46% |
| validation | EXTREME | 144 | 47.3% | 2.61 | 3% |
| validation | HIGH VOLATILITY | 258 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 28.3% | 1.86 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 86.9% | 2.54 | 31% |
| validation | NORMAL | 474 | 13.1% | 0.60 | 17% |
| validation | SIDEWAYS | 206 | 19.0% | 1.11 | 15% |
| validation | UPTREND | 425 | 62.4% | 2.05 | 28% |
Trades (full period)
latest 100 of 329
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.95% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-15 | 2025-12-31 | $475.31 | $449.72 | -1.18% | 12 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -4.63% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.56% | 3 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 |