Strategy Zoo / S1433
PriceMomentum_V1433
ARCHIVEDhybridllmSimplified and regularized entry: replace overfit multi-branch logic with a concise breakout or modest 20d momentum (>6%) confirmed by price above SMA50, plus EMA20, MACD histogram positive, and elevated relative volume (>1.2). Exit generalized to faster, robust signals: MACD histogram turning negative OR price dropping below SMA50 OR sharp 5d loss (< -5%). Added regime gates to avoid high-volatility and extreme-bubble environments (allow only UPTREND/SIDEWAYS & LOW/MEDIUM vol; exclude EXTREME bubble). Reduced base position to 0.8 to lower risk/exposure. Aim: reduce overfitting, improve generalization and drawdown control while keeping momentum/breakout core.
Fitness
0.3392
Generation
66
Complexity
16
Created
2026-10-10
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1433 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((breakout_20 == 1 or (ret_20d > 0.06 and close > sma_50)) and close > ema_20 and macd_hist > 0.0 and rel_volume > 1.2):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.6% | 20.4% | 5.3% | 6.9% |
| Total Return | 22.9% | 74.4% | 21.4% | 166.2% |
| Sharpe | 0.26 | 1.12 | 0.44 | 0.53 |
| Sortino | 0.14 | 0.74 | 0.23 | 0.30 |
| Calmar | 0.10 | 1.23 | 0.30 | 0.26 |
| Volatility | 13.2% | 17.9% | 13.8% | 14.5% |
| Max DD | -26.3% | -16.5% | -17.7% | -26.3% |
| Win Rate | 48.5% | 41.7% | 45.5% | 46.4% |
| Avg Win | 6.1% | 16.6% | 11.0% | 9.5% |
| Avg Loss | -4.6% | -2.7% | -5.0% | -4.2% |
| Payoff | 1.34 | 6.24 | 2.19 | 2.26 |
| Expectancy | 0.6% | 5.4% | 2.3% | 2.2% |
| Profit Factor | 1.26 | 4.46 | 1.83 | 1.96 |
| Trades | 33 | 12 | 11 | 56 |
| Avg Holding Days | 8.9 | 10.5 | 10.1 | 9.7 |
| Turnover | 6.7 | 6.4 | 4.7 | 6.1 |
| Exposure | 10.8% | 12.1% | 8.5% | 10.5% |
Growth of $100
PriceMomentum_V1433 vs TSLA Buy & Hold
PriceMomentum_V1433 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 | 1.0% | 0.17 | -7.5% | 3 |
| 2017 | 19.8% | 1.44 | -8.1% | 8 |
| 2018 | -0.9% | -0.19 | -3.4% | 1 |
| 2019 | -0.3% | 0.09 | -19.0% | 3 |
| 2020 | 56.3% | 2.35 | -8.5% | 4 |
| 2021 | 4.9% | 0.34 | -13.6% | 6 |
| 2022 | 6.2% | 0.52 | -12.1% | 2 |
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 | -1.6% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | 39.1% | 2.08 | 15% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.6% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 442 | 22.0% | 1.51 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.9% | -0.12 | 10% |
| hidden test | NORMAL | 815 | 3.1% | 0.23 | 8% |
| hidden test | SIDEWAYS | 297 | -14.9% | -1.34 | 11% |
| hidden test | UPTREND | 371 | 28.7% | 1.47 | 13% |
| train | DOWNTREND | 518 | -1.1% | -0.95 | 0% |
| train | EXPENSIVE | 311 | 27.7% | 1.53 | 17% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.3% | 0.69 | 1% |
| train | LOW VOLATILITY | 745 | 11.5% | 0.93 | 22% |
| train | MEDIUM VOLATILITY | 568 | -14.4% | -1.03 | 9% |
| train | NORMAL | 1,601 | -1.6% | -0.13 | 10% |
| train | SIDEWAYS | 592 | -16.4% | -1.19 | 12% |
| train | UPTREND | 902 | 19.1% | 1.17 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 64.8% | 2.64 | 17% |
| validation | EXTREME | 144 | 19.8% | 1.85 | 1% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 12.2% | 0.96 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 48.9% | 2.00 | 16% |
| validation | NORMAL | 474 | 7.2% | 0.42 | 14% |
| validation | SIDEWAYS | 206 | 8.7% | 0.60 | 12% |
| validation | UPTREND | 425 | 31.6% | 1.46 | 16% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-19 | $433.45 | $404.11 | -6.46% | 6 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 22.38% | 17 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-06-01 | 2023-06-27 | $207.52 | $250.21 | 14.30% | 18 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -3.88% | 7 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 14.11% | 17 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-08 | $226.61 | $217.60 | -1.58% | 10 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.71% | 6 | |
| 2020-12-21 | 2020-12-23 | $216.62 | $215.33 | -6.46% | 3 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 33.52% | 24 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 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 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.79% | 7 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-07 | 2017-06-14 | $23.98 | $25.38 | 5.07% | 6 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.29% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 10.56% | 25 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 5.55% | 9 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.92% | 11 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.69% | 19 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 7.86% | 16 | |
| 2014-06-17 | 2014-07-07 | $15.44 | $14.84 | 1.53% | 14 | |
| 2014-02-19 | 2014-02-26 | $12.91 | $16.87 | 17.11% | 6 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 5.28% | 16 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 5.24% | 28 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -4.20% | 4 | |
| 2012-07-17 | 2012-07-23 | $2.22 | $2.04 | -9.49% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |