Strategy Zoo / S1415
PriceMomentum_V1415
ARCHIVEDhybridllmRestrict trading to UPTREND & NORMAL bubble to avoid regime overfitting; add robust entry combining 50-day breakout/crossover, positive sma_50_slope and MACD confirmation, plus a lower-vol breakout branch; strengthen exits with 20d stop, moving-average breach, and drawdown cap; reduce base position (0.7) and scale down in higher volatility (MEDIUM 0.8, HIGH 0.5) to lower drawdown and improve walk-forward stability.
Fitness
0.4961
Generation
65
Complexity
17
Created
2026-10-10
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1415 [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.06) or (breakout_20 > 0.0 and vol_pctile < 0.8)) and macd_hist > 0.0):
position = 0.7
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.8
if regime.volatility == "HIGH_VOLATILITY": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.7% | 40.8% | 0.3% | 13.5% |
| Total Return | 125.8% | 179.3% | 1.0% | 549.9% |
| Sharpe | 0.66 | 1.57 | 0.11 | 0.75 |
| Sortino | 0.63 | 1.75 | 0.10 | 0.72 |
| Calmar | 0.31 | 1.91 | 0.01 | 0.39 |
| Volatility | 17.7% | 23.5% | 19.4% | 19.5% |
| Max DD | -34.6% | -21.3% | -31.4% | -34.6% |
| Win Rate | 34.1% | 42.9% | 17.4% | 30.8% |
| Avg Win | 10.5% | 26.2% | 18.7% | 18.0% |
| Avg Loss | -2.9% | -3.9% | -3.5% | -3.2% |
| Payoff | 3.63 | 6.70 | 5.42 | 5.56 |
| Expectancy | 1.7% | 9.0% | 0.4% | 3.3% |
| Profit Factor | 1.88 | 5.03 | 1.14 | 2.47 |
| Trades | 41 | 14 | 23 | 78 |
| Avg Holding Days | 20.9 | 26.2 | 16.1 | 21.1 |
| Turnover | 7.3 | 5.9 | 8.9 | 7.4 |
| Exposure | 24.4% | 25.8% | 21.6% | 24.0% |
Growth of $100
PriceMomentum_V1415 vs TSLA Buy & Hold
PriceMomentum_V1415 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 | 6.8% | 0.67 | -9.9% | 4 |
| 2017 | 7.8% | 0.56 | -15.5% | 6 |
| 2018 | -14.6% | -1.18 | -17.8% | 6 |
| 2019 | 23.2% | 1.08 | -12.6% | 5 |
| 2020 | 142.4% | 3.12 | -12.7% | 4 |
| 2021 | 33.9% | 1.45 | -15.0% | 4 |
| 2022 | -16.0% | -0.98 | -21.3% | 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 | -11.8% | -1.25 | 5% |
| hidden test | EXPENSIVE | 83 | 51.7% | 1.94 | 41% |
| hidden test | EXTREME | 48 | 75.5% | 2.88 | 28% |
| hidden test | HIGH VOLATILITY | 254 | -2.8% | -0.16 | 11% |
| hidden test | LOW VOLATILITY | 442 | 26.2% | 1.47 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -35.3% | -1.52 | 23% |
| hidden test | NORMAL | 815 | -7.2% | -0.40 | 19% |
| hidden test | SIDEWAYS | 297 | -17.1% | -0.97 | 24% |
| hidden test | UPTREND | 371 | 28.1% | 1.11 | 32% |
| train | DOWNTREND | 518 | -4.1% | -0.45 | 7% |
| train | EXPENSIVE | 311 | 28.4% | 1.31 | 36% |
| train | EXTREME | 100 | 143.5% | 5.03 | 41% |
| train | HIGH VOLATILITY | 699 | 15.4% | 0.78 | 14% |
| train | LOW VOLATILITY | 745 | 29.1% | 1.76 | 39% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -0.94 | 19% |
| train | NORMAL | 1,601 | 0.3% | 0.02 | 21% |
| train | SIDEWAYS | 592 | -11.3% | -0.81 | 16% |
| train | UPTREND | 902 | 36.0% | 1.58 | 40% |
| validation | DOWNTREND | 125 | 2.9% | 0.31 | 3% |
| validation | EXPENSIVE | 138 | 47.9% | 1.70 | 31% |
| validation | EXTREME | 144 | 131.0% | 4.12 | 29% |
| validation | HIGH VOLATILITY | 258 | 20.3% | 0.85 | 12% |
| validation | LOW VOLATILITY | 183 | 20.2% | 1.12 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 60.5% | 2.35 | 29% |
| validation | NORMAL | 474 | 5.3% | 0.29 | 23% |
| validation | SIDEWAYS | 206 | -12.7% | -0.78 | 20% |
| validation | UPTREND | 425 | 71.1% | 2.49 | 35% |
Trades (full period)
79 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | 0.31% | 3 | OPEN |
| 2026-09-23 | 2026-09-30 | $380.12 | $354.81 | -4.80% | 6 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.28% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.39% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.82% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.30% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.52% | 21 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.10% | 3 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.65% | 19 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.71% | 59 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.06% | 9 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -3.77% | 19 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 14.61% | 45 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -3.77% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 14.94% | 32 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.15% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.20% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.38% | 29 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.24% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.79% | 9 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 32.66% | 51 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.97% | 4 | |
| 2023-02-02 | 2023-03-08 | $188.27 | $182.00 | -0.69% | 24 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 2.75% | 27 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -3.78% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.34% | 27 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.43% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.10% | 4 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 38.12% | 86 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.47% | 22 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.44% | 13 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 40.25% | 58 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -3.84% | 4 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 6.76% | 27 | |
| 2020-06-03 | 2020-08-10 | $58.86 | $94.57 | 31.28% | 48 | |
| 2019-10-14 | 2020-03-04 | $17.13 | $49.97 | 91.57% | 98 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.31% | 11 | |
| 2019-07-02 | 2019-08-12 | $14.97 | $15.27 | 1.83% | 29 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -1.12% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.12% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -5.90% | 2 | |
| 2018-11-07 | 2018-12-19 | $23.21 | $22.20 | 0.76% | 29 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -4.40% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -2.34% | 18 | |
| 2018-05-10 | 2018-05-14 | $20.33 | $19.46 | -0.73% | 3 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.60% | 2 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -6.01% | 17 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.94% | 11 | |
| 2017-09-14 | 2017-09-26 | $25.18 | $23.02 | -3.95% | 9 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.18% | 12 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.19% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 7.41% | 42 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 17.19% | 57 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.89% | 2 | |
| 2016-07-12 | 2016-08-23 | $14.98 | $14.99 | 0.02% | 31 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-03-10 | 2016-05-04 | $13.68 | $14.84 | 3.60% | 39 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -4.44% | 3 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -5.03% | 9 | |
| 2015-11-06 | 2015-11-09 | $15.49 | $15.02 | 0.02% | 2 | |
| 2015-09-17 | 2015-09-29 | $17.47 | $16.44 | -3.43% | 9 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 18.64% | 79 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -5.12% | 8 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.93% | 9 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 6.17% | 31 | |
| 2014-06-17 | 2014-07-17 | $15.44 | $14.36 | -2.37% | 22 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 15.82% | 49 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -1.10% | 2 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 15.03% | 79 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 54.35% | 64 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.59% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 4.48% | 46 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -8.65% | 7 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -1.47% | 2 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -3.27% | 5 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -1.20% | 11 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 2.06% | 38 |