Strategy Zoo / S1418
PriceMomentum_V1418
ARCHIVEDhybridllmSimplified entry to robust momentum + breakout rules; added trend/volatility/bubble regime gates to avoid trading in non-uptrends, high-volatility or bubbly conditions; reduced base position to 0.60 and added volatility-based scaling to cut exposure in high vol; improved exits to stop on stronger 20d loss or break below 50-day to reduce drawdown.
Fitness
0.5469
Generation
65
Complexity
14
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1418 [hybrid]
if flat and ((ret_20d > 0.05 and dist_sma_50 > 0.0 and macd_hist > 0.0) or (breakout_20 > 0.0 and ret_5d > 0.0)):
position = 0.6
if long and (ret_20d < -0.02 or dist_sma_50 < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.6% | 36.5% | 2.5% | 11.7% |
| Total Return | 79.4% | 154.2% | 9.8% | 409.5% |
| Sharpe | 0.60 | 2.02 | 0.24 | 0.83 |
| Sortino | 0.57 | 2.56 | 0.22 | 0.81 |
| Calmar | 0.27 | 3.23 | 0.11 | 0.42 |
| Volatility | 13.7% | 16.0% | 15.1% | 14.6% |
| Max DD | -27.8% | -11.3% | -22.5% | -27.8% |
| Win Rate | 29.6% | 42.9% | 25.0% | 30.2% |
| Avg Win | 6.9% | 20.8% | 9.4% | 11.6% |
| Avg Loss | -1.8% | -2.2% | -2.4% | -2.0% |
| Payoff | 3.89 | 9.29 | 3.91 | 5.73 |
| Expectancy | 0.8% | 7.6% | 0.5% | 2.1% |
| Profit Factor | 1.64 | 6.97 | 1.30 | 2.48 |
| Trades | 54 | 14 | 28 | 96 |
| Avg Holding Days | 17.3 | 29.0 | 15.4 | 19.0 |
| Turnover | 7.4 | 4.6 | 8.5 | 7.1 |
| Exposure | 18.8% | 18.8% | 17.3% | 18.4% |
Growth of $100
PriceMomentum_V1418 vs TSLA Buy & Hold
PriceMomentum_V1418 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% | 0.89 | -5.0% | 4 |
| 2017 | 4.0% | 0.39 | -12.5% | 6 |
| 2018 | -6.8% | -0.79 | -11.5% | 8 |
| 2019 | 12.0% | 0.72 | -13.6% | 7 |
| 2020 | 103.6% | 3.91 | -5.7% | 4 |
| 2021 | 26.0% | 1.50 | -11.3% | 4 |
| 2022 | -2.4% | -0.14 | -11.1% | 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 | -6.7% | -0.75 | 8% |
| hidden test | EXPENSIVE | 83 | 41.7% | 2.08 | 29% |
| hidden test | EXTREME | 48 | 37.1% | 2.06 | 15% |
| hidden test | HIGH VOLATILITY | 254 | -0.9% | -0.09 | 8% |
| hidden test | LOW VOLATILITY | 442 | 24.2% | 1.58 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.2% | -1.54 | 17% |
| hidden test | NORMAL | 815 | -2.2% | -0.16 | 16% |
| hidden test | SIDEWAYS | 297 | -10.0% | -0.73 | 19% |
| hidden test | UPTREND | 371 | 22.2% | 1.15 | 23% |
| train | DOWNTREND | 518 | -5.0% | -0.66 | 7% |
| train | EXPENSIVE | 311 | 20.1% | 1.26 | 26% |
| train | EXTREME | 100 | 79.5% | 4.75 | 24% |
| train | HIGH VOLATILITY | 699 | 7.6% | 0.57 | 7% |
| train | LOW VOLATILITY | 745 | 23.8% | 1.60 | 34% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -0.88 | 14% |
| train | NORMAL | 1,601 | 1.5% | 0.12 | 17% |
| train | SIDEWAYS | 592 | -6.4% | -0.54 | 14% |
| train | UPTREND | 902 | 25.5% | 1.48 | 29% |
| validation | DOWNTREND | 125 | 15.7% | 1.53 | 3% |
| validation | EXPENSIVE | 138 | 36.3% | 1.95 | 21% |
| validation | EXTREME | 144 | 100.4% | 5.21 | 20% |
| validation | HIGH VOLATILITY | 258 | 18.1% | 1.42 | 7% |
| validation | LOW VOLATILITY | 183 | 21.0% | 1.38 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 50.7% | 2.72 | 19% |
| validation | NORMAL | 474 | 10.6% | 0.77 | 18% |
| validation | SIDEWAYS | 206 | -6.2% | -0.53 | 15% |
| validation | UPTREND | 425 | 56.0% | 2.97 | 25% |
Trades (full period)
97 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | 0.26% | 3 | OPEN |
| 2026-09-09 | 2026-09-30 | $367.81 | $354.81 | -2.96% | 16 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -3.67% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -2.77% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.14% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -1.35% | 3 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.24% | 19 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 10.64% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -1.88% | 29 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 8.27% | 53 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -4.35% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.11% | 2 | |
| 2024-06-25 | 2024-08-02 | $187.35 | $207.67 | 15.65% | 28 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.00% | 3 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 0.45% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -1.79% | 9 | |
| 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 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -1.44% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -2.44% | 9 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 28.27% | 51 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -5.44% | 4 | |
| 2023-01-26 | 2023-03-08 | $160.27 | $182.00 | 2.18% | 29 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.02% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 8.04% | 30 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -2.43% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -0.69% | 27 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.04% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -1.77% | 4 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 29.81% | 86 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.24% | 22 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -4.16% | 13 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 23.66% | 58 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -2.48% | 4 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 7.13% | 28 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 31.04% | 84 | |
| 2019-10-14 | 2020-03-04 | $17.13 | $49.97 | 61.31% | 98 | |
| 2019-10-02 | 2019-10-07 | $16.21 | $15.85 | -2.04% | 4 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.17% | 11 | |
| 2019-07-01 | 2019-08-08 | $15.14 | $15.89 | 1.87% | 28 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -0.48% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.05% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -5.06% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -1.98% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 2.50% | 37 | |
| 2018-10-02 | 2018-10-03 | $20.07 | $19.65 | -0.50% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -1.88% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -0.40% | 21 | |
| 2018-05-10 | 2018-05-14 | $20.33 | $19.46 | -0.31% | 3 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -1.67% | 2 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -1.16% | 4 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -3.50% | 23 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.82% | 11 | |
| 2017-09-14 | 2017-09-26 | $25.18 | $23.02 | -3.20% | 9 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.18% | 12 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.13% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 3.81% | 42 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 14.52% | 51 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.76% | 2 | |
| 2016-07-12 | 2016-08-18 | $14.98 | $14.90 | 0.39% | 28 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 3.98% | 42 | |
| 2015-12-18 | 2016-01-05 | $15.36 | $14.90 | -2.48% | 11 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -3.16% | 12 | |
| 2015-11-06 | 2015-11-09 | $15.49 | $15.02 | 0.01% | 2 | |
| 2015-09-17 | 2015-09-29 | $17.47 | $16.44 | -2.68% | 9 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 17.39% | 79 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -2.82% | 2 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -4.40% | 8 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.92% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.23% | 9 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 5.33% | 31 | |
| 2014-06-16 | 2014-07-16 | $14.97 | $14.48 | 3.87% | 22 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.40% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.25% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 8.42% | 49 | |
| 2013-12-26 | 2014-01-14 | $10.37 | $10.75 | -4.47% | 13 | |
| 2013-12-17 | 2013-12-19 | $10.16 | $9.38 | -0.01% | 3 | |
| 2013-12-13 | 2013-12-16 | $9.84 | $9.86 | -0.01% | 2 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 10.51% | 82 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 28.58% | 64 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.32% | 21 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 4.08% | 45 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -2.90% | 5 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -0.63% | 2 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.41% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.26% | 11 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 5.36% | 47 | |
| 2012-01-31 | 2012-02-01 | $1.94 | $1.97 | -0.28% | 2 | |
| 2012-01-27 | 2012-01-30 | $1.96 | $1.97 | 0.17% | 2 |