Strategy Zoo / S1414
PriceMomentum_V1414
ARCHIVEDhybridllmRelaxed ret_20d threshold and allowed breakout entry; added rel_volume and sma_50_slope filters to require participation and positive short-term trend; loosened vol_chg limit. Replaced a brittle single-threshold exit with a short-term stop (ret_5d) plus a momentum-reversal exit (macd_hist < 0 AND ret_1d < 0). Added regime gates to avoid downtrend, very high volatility, or bubble conditions. Introduced position sizing rules: reduce size in high volatility (vol_pctile>0.8) and full size when above the 200-day level. Reduced base position to 0.8 to lower risk and improve generalization.
Fitness
0.1698
Generation
65
Complexity
15
Created
2026-10-10
Lineage
Parents (1)
entry = PriceMomentum_V0640 AND PriceMomentum_V1125
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1414 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.06 or breakout_20 == 1) and rel_volume > 1.0 and vol_chg < 1.5 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_5d < -0.03 or (macd_hist < 0.0 and ret_1d < 0.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.0% | 1.5% | 2.4% | 2.0% |
| Total Return | 17.4% | 4.6% | 9.2% | 34.1% |
| Sharpe | 0.25 | 0.19 | 0.25 | 0.23 |
| Sortino | 0.10 | 0.09 | 0.10 | 0.10 |
| Calmar | 0.08 | 0.06 | 0.12 | 0.06 |
| Volatility | 10.1% | 11.1% | 13.0% | 11.1% |
| Max DD | -26.8% | -25.4% | -19.2% | -31.9% |
| Win Rate | 50.0% | 16.7% | 42.9% | 40.7% |
| Avg Win | 4.9% | 17.6% | 8.3% | 7.0% |
| Avg Loss | -3.5% | -2.5% | -4.5% | -3.4% |
| Payoff | 1.42 | 6.93 | 1.84 | 2.03 |
| Expectancy | 0.7% | 0.8% | 1.0% | 0.8% |
| Profit Factor | 1.42 | 1.39 | 1.38 | 1.40 |
| Trades | 28 | 12 | 14 | 54 |
| Avg Holding Days | 6.9 | 6.9 | 5.9 | 6.7 |
| Turnover | 5.6 | 6.4 | 6.0 | 5.9 |
| Exposure | 6.6% | 7.5% | 5.8% | 6.6% |
Growth of $100
PriceMomentum_V1414 vs TSLA Buy & Hold
PriceMomentum_V1414 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 | 5.2% | 0.66 | -6.9% | 3 |
| 2017 | 15.8% | 2.47 | -0.7% | 2 |
| 2018 | -9.3% | -1.22 | -10.7% | 4 |
| 2019 | -10.2% | -0.66 | -18.1% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 31.1% | 1.70 | -6.5% | 6 |
| 2022 | -20.3% | -2.39 | -20.3% | 6 |
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 | 17.6% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.6% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 442 | 13.0% | 0.96 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | 3.0% | 0.20 | 4% |
| hidden test | NORMAL | 815 | 1.9% | 0.14 | 7% |
| hidden test | SIDEWAYS | 297 | -9.9% | -1.10 | 7% |
| hidden test | UPTREND | 371 | 16.1% | 0.84 | 9% |
| train | DOWNTREND | 518 | 2.3% | 0.69 | 0% |
| train | EXPENSIVE | 311 | 8.0% | 1.50 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.7% | -0.07 | 0% |
| train | LOW VOLATILITY | 745 | 12.2% | 1.16 | 14% |
| train | MEDIUM VOLATILITY | 568 | -6.1% | -0.67 | 4% |
| train | NORMAL | 1,601 | 1.6% | 0.15 | 8% |
| train | SIDEWAYS | 592 | -12.3% | -1.17 | 5% |
| train | UPTREND | 902 | 12.4% | 1.02 | 11% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 5.9% | 0.52 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 1.7% | 0.11 | 6% |
| validation | NORMAL | 474 | 3.3% | 0.24 | 12% |
| validation | SIDEWAYS | 206 | -9.7% | -1.15 | 3% |
| validation | UPTREND | 425 | 8.4% | 0.62 | 12% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-19 | $443.30 | $404.11 | -6.52% | 4 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 22.38% | 17 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-04-11 | 2023-04-12 | $186.79 | $180.54 | 0.83% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.11% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2021-11-24 | 2021-11-29 | $372.00 | $379.00 | -2.11% | 3 | |
| 2021-10-13 | 2021-11-09 | $270.36 | $341.17 | 34.25% | 20 | |
| 2021-09-27 | 2021-10-11 | $263.79 | $263.98 | 0.99% | 11 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.74% | 4 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.04% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-04 | 2018-12-10 | $23.98 | $24.34 | -0.27% | 4 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-01 | 2016-04-14 | $15.84 | $16.79 | 8.43% | 10 | |
| 2016-03-28 | 2016-03-30 | $15.35 | $15.13 | 0.68% | 3 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-04-29 | 2015-05-27 | $15.50 | $16.50 | 5.71% | 20 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-05 | 2014-08-27 | $15.90 | $17.55 | 7.59% | 17 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.67% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.30% | 2 | |
| 2014-06-24 | 2014-07-03 | $15.50 | $15.28 | -2.77% | 8 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-19 | 2013-02-21 | $2.62 | $2.34 | 3.10% | 3 | |
| 2013-02-13 | 2013-02-14 | $2.56 | $2.55 | 1.02% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.56% | 4 |