Strategy Zoo / S1434
PriceMomentum_V1434
ARCHIVEDhybridllmAdded explicit regime gates to avoid entries in downtrends and extreme bubbles and to restrict to low/medium volatility; replaced single momentum test with two clear entry branches (momentum + MACD/rsi filter, and trend-follow when price crosses above sma_200 with positive slope); strengthened exits with a larger 20d stop, a drawdown stop, and a sma_50 breakdown trigger; introduced volatility-based position scaling (more size in low vol, smaller in high vol) and reduced base position to lower peak drawdown risk.
Fitness
0.0732
Generation
66
Complexity
22
Created
2026-10-10
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1434 [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 > 0.05 and macd_hist > 0.0 and rsi_14 < 75.0 and sma_50_slope > 0.0) or (close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.02)):
position = 0.8
if long and (ret_20d < -0.03 or drawdown < -0.12 or (close < sma_50 and ret_1d < -0.02)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.3% | 0.8% | -7.9% | -4.2% |
| Total Return | -29.8% | 2.5% | -26.5% | -47.1% |
| Sharpe | -0.27 | 0.13 | -0.67 | -0.29 |
| Sortino | -0.17 | 0.09 | -0.38 | -0.18 |
| Calmar | -0.09 | 0.04 | -0.26 | -0.07 |
| Volatility | 13.3% | 11.2% | 11.2% | 12.4% |
| Max DD | -47.6% | -19.2% | -29.9% | -56.5% |
| Win Rate | 37.3% | 45.3% | 38.6% | 39.8% |
| Avg Win | 2.1% | 1.8% | 1.8% | 1.9% |
| Avg Loss | -1.7% | -1.3% | -1.8% | -1.6% |
| Payoff | 1.25 | 1.36 | 1.00 | 1.18 |
| Expectancy | -0.3% | 0.1% | -0.4% | -0.2% |
| Profit Factor | 0.74 | 1.13 | 0.63 | 0.78 |
| Trades | 110 | 64 | 70 | 244 |
| Avg Holding Days | 3.5 | 2.5 | 2.3 | 2.9 |
| Turnover | 20.2 | 29.7 | 27.1 | 23.9 |
| Exposure | 10.2% | 8.9% | 7.4% | 9.2% |
Growth of $100
PriceMomentum_V1434 vs TSLA Buy & Hold
PriceMomentum_V1434 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 | -2.9% | -0.68 | -5.4% | 12 |
| 2017 | 4.2% | 0.83 | -3.7% | 9 |
| 2018 | -14.2% | -1.50 | -14.5% | 5 |
| 2019 | -7.5% | -0.34 | -16.1% | 18 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.6% | 0.39 | -15.9% | 46 |
| 2022 | -3.0% | -0.40 | -8.2% | 18 |
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 | -1.2% | -1.06 | 0% |
| hidden test | EXPENSIVE | 83 | 33.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.2% | -0.20 | 0% |
| hidden test | LOW VOLATILITY | 442 | -2.4% | -0.19 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -23.2% | -1.92 | 5% |
| hidden test | NORMAL | 815 | -12.2% | -1.09 | 8% |
| hidden test | SIDEWAYS | 297 | -14.3% | -1.15 | 14% |
| hidden test | UPTREND | 371 | -7.0% | -0.50 | 8% |
| train | DOWNTREND | 518 | -3.6% | -0.80 | 0% |
| train | EXPENSIVE | 311 | 7.1% | 1.41 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.2% | 0.34 | 1% |
| train | LOW VOLATILITY | 745 | 4.9% | 0.34 | 22% |
| train | MEDIUM VOLATILITY | 568 | -24.2% | -1.95 | 7% |
| train | NORMAL | 1,601 | -5.8% | -0.40 | 13% |
| train | SIDEWAYS | 592 | -15.6% | -1.33 | 9% |
| train | UPTREND | 902 | 4.4% | 0.26 | 16% |
| 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 | -4.6% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 11.0% | 0.91 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 0.8% | 0.06 | 8% |
| validation | NORMAL | 474 | 2.3% | 0.16 | 14% |
| validation | SIDEWAYS | 206 | -9.5% | -1.24 | 11% |
| validation | UPTREND | 425 | 7.2% | 0.51 | 11% |
Trades (full period)
latest 100 of 244
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -2.04% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.31% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -4.24% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.25% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.06% | 19 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.00% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.31% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.10% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.72% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 0.96% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.99% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -0.96% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.23% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.18% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.50% | 2 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -1.77% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -0.76% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.48% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -0.93% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -1.97% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.87% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.36% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.78% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.11% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.44% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.29% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.43% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.21% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.32% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.61% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.07% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.33% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.11% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.51% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.22% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.16% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.52% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.79% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -2.04% | 4 | |
| 2022-03-29 | 2022-04-01 | $366.52 | $361.53 | -0.84% | 4 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.29% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.18% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.86% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.50% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.09% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.52% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.27% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -3.76% | 4 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 25.39% | 28 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.76% | 4 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.06% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.95% | 2 |