Strategy Zoo / S1412
PriceMomentum_V1412
ARCHIVEDhybridllm- Simplified and consolidated entry conditions into two robust patterns: (1) short-term momentum + breakout, (2) price above 50 SMA with positive MACD and mildly positive 200SMA slope — to reduce overfitting and increase generalization. - Added regime gates: only trade in UPTREND, MEDIUM_VOLATILITY, NORMAL bubble to avoid bad market regimes seen in validation. - Added entry filters: rsi_14 < 75 and vol_pctile < 0.8 to avoid overbought and extreme-volatility entries. - Replaced single MACD exit with a safer multi-criteria exit: exit on MACD turn negative OR portfolio drawdown beyond 8% OR a 1-day loss worse than -5% (stop-loss). - Reduced base_position to 0.8 to lower exposure and drawdown risk.
Fitness
0.4562
Generation
65
Complexity
16
Created
2026-10-10
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1412 [hybrid]
if flat and (((ret_20d > 0.12 and breakout_20 == 1) or (close > sma_50 and macd_hist > 0.0 and sma_200_slope > -0.001)) and close > ema_20 and rsi_14 < 75.0 and vol_pctile < 0.8):
position = 0.8
if long and (macd_hist < 0.0 or drawdown < -0.08 or ret_1d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.1% | 53.0% | -4.3% | 10.4% |
| Total Return | 37.8% | 257.9% | -15.3% | 327.9% |
| Sharpe | 0.31 | 1.59 | -0.23 | 0.59 |
| Sortino | 0.26 | 1.52 | -0.16 | 0.50 |
| Calmar | 0.13 | 1.81 | -0.13 | 0.31 |
| Volatility | 18.0% | 29.4% | 14.5% | 20.2% |
| Max DD | -31.7% | -29.2% | -33.8% | -33.8% |
| Win Rate | 42.5% | 53.5% | 46.5% | 45.9% |
| Avg Win | 2.7% | 5.4% | 1.9% | 3.3% |
| Avg Loss | -1.7% | -1.6% | -2.0% | -1.8% |
| Payoff | 1.60 | 3.28 | 0.99 | 1.86 |
| Expectancy | 0.2% | 2.1% | -0.1% | 0.6% |
| Profit Factor | 1.19 | 3.78 | 0.86 | 1.58 |
| Trades | 181 | 71 | 99 | 351 |
| Avg Holding Days | 3.0 | 3.6 | 2.3 | 3.0 |
| Turnover | 36.4 | 37.9 | 42.4 | 38.2 |
| Exposure | 15.1% | 19.3% | 10.7% | 14.9% |
Growth of $100
PriceMomentum_V1412 vs TSLA Buy & Hold
PriceMomentum_V1412 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 | 2.8% | 0.38 | -5.0% | 25 |
| 2017 | 17.8% | 1.14 | -10.3% | 22 |
| 2018 | -4.8% | -0.41 | -9.7% | 15 |
| 2019 | 6.4% | 0.64 | -8.2% | 7 |
| 2020 | 184.3% | 2.68 | -19.1% | 13 |
| 2021 | 20.2% | 0.92 | -15.2% | 37 |
| 2022 | 1.5% | 0.17 | -16.5% | 21 |
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 | -10.9% | -1.30 | 5% |
| hidden test | EXPENSIVE | 83 | -9.5% | -0.52 | 12% |
| hidden test | EXTREME | 48 | 61.7% | 2.25 | 17% |
| hidden test | HIGH VOLATILITY | 254 | 4.4% | 0.33 | 5% |
| hidden test | LOW VOLATILITY | 442 | 5.1% | 0.38 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.2% | -1.51 | 12% |
| hidden test | NORMAL | 815 | -6.6% | -0.51 | 10% |
| hidden test | SIDEWAYS | 297 | -13.1% | -1.03 | 13% |
| hidden test | UPTREND | 371 | 10.1% | 0.54 | 13% |
| train | DOWNTREND | 518 | -15.4% | -1.30 | 6% |
| train | EXPENSIVE | 311 | 29.4% | 1.24 | 31% |
| train | EXTREME | 100 | 131.9% | 3.09 | 29% |
| train | HIGH VOLATILITY | 699 | 10.4% | 0.46 | 9% |
| train | LOW VOLATILITY | 745 | 6.4% | 0.46 | 22% |
| train | MEDIUM VOLATILITY | 568 | -1.4% | -0.09 | 14% |
| train | NORMAL | 1,601 | -6.9% | -0.51 | 11% |
| train | SIDEWAYS | 592 | 4.4% | 0.36 | 11% |
| train | UPTREND | 902 | 18.4% | 0.79 | 23% |
| validation | DOWNTREND | 125 | 23.8% | 1.43 | 4% |
| validation | EXPENSIVE | 138 | 57.3% | 1.89 | 28% |
| validation | EXTREME | 144 | 164.4% | 3.29 | 33% |
| validation | HIGH VOLATILITY | 258 | 26.6% | 0.72 | 11% |
| validation | LOW VOLATILITY | 183 | 25.1% | 1.71 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 75.9% | 2.63 | 25% |
| validation | NORMAL | 474 | 8.0% | 0.43 | 12% |
| validation | SIDEWAYS | 206 | -0.1% | -0.01 | 9% |
| validation | UPTREND | 425 | 76.2% | 2.03 | 29% |
Trades (full period)
latest 100 of 352
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | — | $382.70 | — | 1.56% | 1 | OPEN |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 2 | |
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -3.31% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.62% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.61% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.58% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.69% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.25% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 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 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.76% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.19% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 2.50% | 14 | |
| 2025-12-04 | 2025-12-09 | $454.53 | $445.17 | -1.43% | 4 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.93% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.59% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 1.61% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.47% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 0.95% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.05% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.67% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.48% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.30% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.96% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.28% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 3.78% | 2 | |
| 2025-05-09 | 2025-05-12 | $298.26 | $318.38 | 3.61% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.93% | 2 | |
| 2024-12-06 | 2024-12-19 | $389.22 | $436.17 | 15.04% | 10 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 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 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 5.72% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.22% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.53% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.07% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.08% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.61% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.93% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.91% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.41% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.06% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 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 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.25% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.15% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.47% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 1.75% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 1.66% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 1.85% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 2.86% | 2 |