Strategy Zoo / S1409
PriceMomentum_V1409
ARCHIVEDhybridllm1) Added momentum + breakout confirmation to entry (ret_20d > 3.5% AND (breakout_20 OR macd_hist>0)) to reduce false signals. 2) Replaced harsh single-threshold exit with dual exit: earlier stop (ret_20d < -7%) OR trend deterioration (sma_50_slope < 0) for timelier exits. 3) Tightened regime gates: only trade in UPTREND or SIDEWAYS, avoid DOWNTREND; restrict volatility to LOW/MEDIUM; avoid EXTREME bubble states. 4) Added volatility-based position sizing: reduce size when vol_pctile > 0.8 (0.5) and keep full size when vol_pctile < 0.4 (1.0). 5) Lowered base_position to 0.8 to be more conservative overall.
Fitness
0.3325
Generation
65
Complexity
11
Created
2026-10-10
Lineage
Parents (1)
entry from PriceMomentum_V1294, exit from LongTermTrend_V0909
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1409 [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 > 0.035 and (breakout_20 == 1 or macd_hist > 0.0)):
position = 0.8
if long and (ret_20d < -0.07 or sma_50_slope < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.6% | 26.3% | 0.8% | 7.9% |
| Total Return | 43.5% | 101.5% | 3.2% | 205.5% |
| Sharpe | 0.34 | 1.15 | 0.14 | 0.48 |
| Sortino | 0.27 | 0.97 | 0.11 | 0.38 |
| Calmar | 0.12 | 0.83 | 0.03 | 0.20 |
| Volatility | 17.9% | 22.6% | 20.8% | 19.7% |
| Max DD | -39.2% | -31.6% | -25.2% | -39.2% |
| Win Rate | 47.9% | 54.8% | 44.2% | 48.3% |
| Avg Win | 4.0% | 8.7% | 4.7% | 5.6% |
| Avg Loss | -2.8% | -4.1% | -3.2% | -3.2% |
| Payoff | 1.42 | 2.13 | 1.46 | 1.76 |
| Expectancy | 0.5% | 2.9% | 0.3% | 1.0% |
| Profit Factor | 1.31 | 2.58 | 1.16 | 1.64 |
| Trades | 73 | 31 | 43 | 147 |
| Avg Holding Days | 8.2 | 7.9 | 6.4 | 7.7 |
| Turnover | 14.7 | 16.5 | 18.3 | 16.0 |
| Exposure | 21.4% | 22.6% | 19.8% | 21.2% |
Growth of $100
PriceMomentum_V1409 vs TSLA Buy & Hold
PriceMomentum_V1409 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 | -13.4% | -1.14 | -21.4% | 10 |
| 2017 | 16.9% | 0.96 | -10.8% | 14 |
| 2018 | -20.5% | -1.84 | -21.1% | 3 |
| 2019 | 15.5% | 0.78 | -17.9% | 4 |
| 2020 | 68.3% | 2.50 | -9.8% | 3 |
| 2021 | 46.7% | 1.63 | -16.6% | 20 |
| 2022 | -20.9% | -1.09 | -30.6% | 8 |
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 | -1.6% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | 57.8% | 1.80 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.9% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 442 | 26.5% | 1.48 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.4% | -0.77 | 29% |
| hidden test | NORMAL | 815 | -2.4% | -0.12 | 18% |
| hidden test | SIDEWAYS | 297 | -31.0% | -1.57 | 23% |
| hidden test | UPTREND | 371 | 33.6% | 1.21 | 32% |
| train | DOWNTREND | 518 | -0.8% | -0.17 | 1% |
| train | EXPENSIVE | 311 | 43.6% | 1.83 | 33% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.9% | 0.47 | 2% |
| train | LOW VOLATILITY | 745 | 24.1% | 1.37 | 40% |
| train | MEDIUM VOLATILITY | 568 | -19.7% | -1.00 | 22% |
| train | NORMAL | 1,601 | -1.4% | -0.08 | 20% |
| train | SIDEWAYS | 592 | -11.1% | -0.74 | 14% |
| train | UPTREND | 902 | 21.3% | 0.91 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 99.7% | 3.07 | 45% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 7.3% | 0.38 | 44% |
| validation | MEDIUM VOLATILITY | 315 | 65.7% | 2.15 | 29% |
| validation | NORMAL | 474 | 3.0% | 0.14 | 22% |
| validation | SIDEWAYS | 206 | -15.3% | -0.77 | 17% |
| validation | UPTREND | 425 | 53.5% | 2.01 | 32% |
Trades (full period)
latest 100 of 147
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-06-10 | $443.30 | $381.59 | -8.86% | 19 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2026-01-13 | $458.96 | $447.20 | 0.31% | 21 | |
| 2025-08-25 | 2025-11-17 | $346.60 | $408.92 | 15.24% | 60 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -4.28% | 3 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -9.19% | 12 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 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 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.64% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.34% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.78% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.61% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.54% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 20.79% | 45 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -10.59% | 13 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -5.35% | 22 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-04-01 | 2022-04-04 | $361.53 | $381.82 | 0.36% | 2 | |
| 2022-03-30 | 2022-03-31 | $364.66 | $359.20 | -0.57% | 2 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 6.26% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.02% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 6.16% | 2 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 34.50% | 71 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -2.16% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.35% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -1.97% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.04% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.28% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.84% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-16 | 2021-06-17 | $201.62 | $205.53 | 0.57% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.33% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 0.80% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -2.78% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.33% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.06% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -2.36% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 35.18% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-10-15 | 2020-10-30 | $149.63 | $129.35 | -8.97% | 12 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -1.54% | 12 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 1.15% | 2 | |
| 2018-12-06 | 2018-12-21 | $24.20 | $21.32 | -10.06% | 12 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-12-22 | 2017-12-26 | $21.68 | $21.15 | -1.72% | 2 | |
| 2017-12-20 | 2017-12-21 | $21.93 | $22.11 | -0.67% | 2 | |
| 2017-12-18 | 2017-12-19 | $22.59 | $22.07 | -1.23% | 2 | |
| 2017-12-14 | 2017-12-15 | $22.53 | $22.90 | -0.43% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.79% | 2 | |
| 2017-09-15 | 2017-10-17 | $25.32 | $23.72 | -5.86% | 23 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-15 | 2017-05-19 | $21.06 | $20.72 | -3.04% | 5 | |
| 2017-04-26 | 2017-05-10 | $20.68 | $21.68 | 1.81% | 11 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.60% | 42 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-26 | 2016-08-31 | $15.30 | $14.13 | -6.67% | 27 | |
| 2016-07-22 | 2016-07-25 | $14.82 | $15.33 | 0.48% | 2 | |
| 2016-06-14 | 2016-06-15 | $14.33 | $14.51 | -1.23% | 2 | |
| 2016-06-10 | 2016-06-13 | $14.59 | $14.52 | -3.84% | 2 |