Strategy Zoo / S1416
PriceMomentum_V1416
ARCHIVEDhybridllm1) Added regime gates: require UPTREND, avoid high volatility by targeting MEDIUM_VOLATILITY, and exclude bubble regimes (NORMAL only) to improve robustness. 2) Simplified and regularized entry logic: keep clear momentum/breakout signals (ret_20d + breakout_20, stronger ret_20d with positive sma_200_slope, or price above sma_20) and a MACD histogram filter to reduce false entries. 3) Reworked exit to a small set of robust rules: a more sensible multi-day stop (ret_20d < -4%), trend break (price below sma_50 via dist_sma_50 < 0), or strong MACD collapse. 4) Reduced base position to 0.6 to limit drawdowns and added position scaling rules: cut size when volatility percentile is high (vol_pctile > 0.8 -> 0.35), increase when near-term trend (sma_50_slope > 0 -> 0.8). These structural changes aim to improve generalization and reduce overfitting/drawdown rather than tiny threshold tweaks.
Fitness
0.4890
Generation
65
Complexity
14
Created
2026-10-10
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1416 [hybrid]
if flat and (((ret_20d > 0.05 and breakout_20 == 1) or (ret_20d > 0.08 and sma_200_slope > 0.0) or sma_20 < close) and macd_hist > -1.5):
position = 0.6
if long and (ret_20d < -0.04 or dist_sma_50 < 0.0 or macd_hist < -2.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.4% | 46.3% | 7.4% | 18.0% |
| Total Return | 173.7% | 213.0% | 30.8% | 1040.8% |
| Sharpe | 0.68 | 1.41 | 0.43 | 0.81 |
| Sortino | 0.80 | 1.56 | 0.49 | 0.92 |
| Calmar | 0.26 | 1.44 | 0.21 | 0.35 |
| Volatility | 22.0% | 30.2% | 22.3% | 24.0% |
| Max DD | -51.4% | -32.1% | -35.0% | -51.4% |
| Win Rate | 35.2% | 40.7% | 30.8% | 34.9% |
| Avg Win | 4.6% | 10.6% | 5.9% | 6.6% |
| Avg Loss | -1.6% | -2.5% | -2.0% | -1.8% |
| Payoff | 2.96 | 4.21 | 2.98 | 3.63 |
| Expectancy | 0.6% | 2.8% | 0.4% | 1.1% |
| Profit Factor | 1.61 | 2.90 | 1.33 | 1.94 |
| Trades | 176 | 54 | 91 | 321 |
| Avg Holding Days | 7.3 | 8.7 | 5.9 | 7.3 |
| Turnover | 26.5 | 21.6 | 29.2 | 26.2 |
| Exposure | 34.5% | 32.9% | 28.4% | 32.6% |
Growth of $100
PriceMomentum_V1416 vs TSLA Buy & Hold
PriceMomentum_V1416 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 | 18.2% | 1.43 | -9.2% | 26 |
| 2017 | 6.1% | 0.43 | -21.1% | 18 |
| 2018 | -25.8% | -1.31 | -30.9% | 25 |
| 2019 | 17.9% | 0.84 | -19.4% | 24 |
| 2020 | 196.9% | 2.73 | -32.1% | 10 |
| 2021 | 28.5% | 1.30 | -16.6% | 18 |
| 2022 | -20.0% | -1.06 | -19.9% | 25 |
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 | -6.5% | -0.32 | 22% |
| hidden test | EXPENSIVE | 83 | 65.2% | 2.19 | 37% |
| hidden test | EXTREME | 48 | 117.1% | 3.84 | 31% |
| hidden test | HIGH VOLATILITY | 254 | 25.0% | 0.84 | 30% |
| hidden test | LOW VOLATILITY | 442 | 22.9% | 1.34 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.5% | -1.40 | 26% |
| hidden test | NORMAL | 815 | -2.4% | -0.11 | 27% |
| hidden test | SIDEWAYS | 297 | -11.8% | -0.61 | 31% |
| hidden test | UPTREND | 371 | 38.9% | 1.51 | 31% |
| train | DOWNTREND | 518 | -15.2% | -1.04 | 18% |
| train | EXPENSIVE | 311 | 30.3% | 1.19 | 48% |
| train | EXTREME | 100 | 244.4% | 5.51 | 59% |
| train | HIGH VOLATILITY | 699 | 24.3% | 0.85 | 32% |
| train | LOW VOLATILITY | 745 | 24.7% | 1.53 | 40% |
| train | MEDIUM VOLATILITY | 568 | -9.1% | -0.47 | 31% |
| train | NORMAL | 1,601 | -2.3% | -0.12 | 30% |
| train | SIDEWAYS | 592 | 2.3% | 0.13 | 30% |
| train | UPTREND | 902 | 40.7% | 1.50 | 47% |
| validation | DOWNTREND | 125 | -7.9% | -0.43 | 11% |
| validation | EXPENSIVE | 138 | 27.1% | 0.81 | 37% |
| validation | EXTREME | 144 | 193.7% | 3.96 | 55% |
| validation | HIGH VOLATILITY | 258 | 17.0% | 0.42 | 29% |
| validation | LOW VOLATILITY | 183 | 21.6% | 1.31 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 75.8% | 2.89 | 32% |
| validation | NORMAL | 474 | 1.2% | 0.06 | 25% |
| validation | SIDEWAYS | 206 | -1.5% | -0.08 | 27% |
| validation | UPTREND | 425 | 78.9% | 2.17 | 42% |
Trades (full period)
latest 100 of 322
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-05 | — | $378.73 | — | 1.90% | 5 | OPEN |
| 2026-09-09 | 2026-09-30 | $367.81 | $354.81 | -2.59% | 16 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.53% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.14% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -0.88% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-08-20 | 2026-08-21 | $345.13 | $362.86 | -1.14% | 2 | |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.55% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.29% | 2 | |
| 2026-07-10 | 2026-07-13 | $407.76 | $394.76 | 0.06% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -2.53% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -2.74% | 4 | |
| 2026-05-01 | 2026-06-05 | $390.82 | $391.00 | 5.75% | 25 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -0.63% | 2 | |
| 2026-04-27 | 2026-04-28 | $378.67 | $376.02 | 0.26% | 2 | |
| 2026-04-23 | 2026-04-24 | $373.72 | $376.30 | -2.25% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.25% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.59% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.69% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.16% | 2 | |
| 2025-12-03 | 2025-12-31 | $446.74 | $449.72 | 3.50% | 20 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.12% | 2 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -4.08% | 9 | |
| 2025-08-25 | 2025-10-08 | $346.60 | $438.69 | 15.91% | 32 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.05% | 12 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-07-28 | 2025-07-30 | $325.59 | $319.04 | 0.87% | 3 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.04% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.33% | 3 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -3.77% | 3 | |
| 2025-04-25 | 2025-06-05 | $284.95 | $284.70 | 16.26% | 29 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -3.08% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -4.48% | 2 | |
| 2025-04-04 | 2025-04-07 | $239.43 | $233.29 | -6.37% | 2 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 3.07% | 2 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.12% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.12% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 1.98% | 2 | |
| 2024-10-25 | 2024-12-30 | $269.19 | $417.41 | 36.68% | 45 | |
| 2024-09-10 | 2024-10-10 | $226.17 | $238.77 | 6.82% | 23 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.39% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.10% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.06% | 2 | |
| 2024-08-21 | 2024-08-23 | $223.27 | $220.32 | -2.94% | 3 | |
| 2024-08-19 | 2024-08-20 | $222.72 | $221.10 | 1.71% | 2 | |
| 2024-06-13 | 2024-07-25 | $182.47 | $220.25 | 13.24% | 29 | |
| 2024-06-07 | 2024-06-12 | $177.48 | $177.29 | -2.58% | 4 | |
| 2024-05-31 | 2024-06-05 | $178.08 | $175.00 | -1.47% | 4 | |
| 2024-05-13 | 2024-05-29 | $171.89 | $176.19 | 2.92% | 12 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -7.04% | 9 | |
| 2024-04-26 | 2024-04-29 | $168.29 | $194.05 | -0.79% | 2 | |
| 2024-04-11 | 2024-04-12 | $174.60 | $171.05 | 0.87% | 2 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 1.23% | 2 | |
| 2024-04-02 | 2024-04-03 | $166.63 | $168.38 | -3.06% | 2 | |
| 2024-03-28 | 2024-04-01 | $175.79 | $175.22 | -1.47% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -4.41% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.17% | 2 | |
| 2024-02-27 | 2024-02-28 | $199.73 | $202.04 | -0.02% | 2 | |
| 2024-02-23 | 2024-02-26 | $191.97 | $199.40 | -1.77% | 2 | |
| 2024-02-21 | 2024-02-22 | $194.77 | $197.41 | 0.19% | 2 | |
| 2024-02-16 | 2024-02-20 | $199.95 | $193.76 | -0.27% | 2 | |
| 2023-11-29 | 2024-01-05 | $244.14 | $237.49 | -2.15% | 26 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 3.55% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -2.98% | 2 | |
| 2023-10-11 | 2023-10-13 | $262.99 | $251.12 | -1.20% | 3 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.46% | 4 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-07-05 | 2023-07-24 | $282.48 | $269.06 | -4.27% | 14 | |
| 2023-05-22 | 2023-06-30 | $188.87 | $261.77 | 24.17% | 28 | |
| 2023-05-18 | 2023-05-19 | $176.89 | $180.14 | 0.93% | 2 | |
| 2023-05-16 | 2023-05-17 | $166.52 | $173.86 | -0.06% | 2 | |
| 2023-05-12 | 2023-05-15 | $167.98 | $166.35 | -1.55% | 2 | |
| 2023-05-09 | 2023-05-10 | $169.15 | $168.54 | -1.04% | 2 | |
| 2023-03-31 | 2023-04-06 | $207.46 | $185.06 | -3.04% | 5 | |
| 2023-03-29 | 2023-03-30 | $193.88 | $195.28 | 1.37% | 2 | |
| 2023-03-24 | 2023-03-28 | $190.41 | $189.19 | -0.25% | 3 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -2.07% | 2 | |
| 2023-01-26 | 2023-03-03 | $160.27 | $197.79 | 18.89% | 26 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.06% | 2 | |
| 2023-01-20 | 2023-01-23 | $133.42 | $143.75 | 2.83% | 2 | |
| 2023-01-18 | 2023-01-19 | $128.78 | $127.17 | -1.36% | 2 | |
| 2022-12-05 | 2022-12-06 | $182.45 | $179.82 | -3.94% | 2 | |
| 2022-12-01 | 2022-12-02 | $194.70 | $194.86 | -0.12% | 2 | |
| 2022-11-02 | 2022-11-03 | $214.98 | $215.31 | -3.50% | 2 | |
| 2022-10-31 | 2022-11-01 | $227.54 | $227.82 | -0.38% | 2 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -5.57% | 8 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-07-19 | 2022-08-24 | $245.53 | $297.10 | 13.64% | 27 | |
| 2022-07-15 | 2022-07-18 | $240.07 | $240.55 | 0.32% | 2 |