Strategy Zoo / S1435
PriceMomentum_V1435
ARCHIVEDhybridllmAdded conservative regime gates (only UPTREND and non-HIGH volatility; avoid EXTREME bubble), tightened exits to include a larger momentum stop, MA-based exit and volatility spike exit, added MA confirmation (sma_50 or sma_200) and volatility percentile filter to entry, reduced base_position to 0.8 to lower risk and improve generalization.
Fitness
0.1747
Generation
66
Complexity
19
Created
2026-10-10
Lineage
Parents (1)
entry = PriceMomentum_V1253 OR PriceMomentum_V1133
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1435 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.184 and breakout_20 == 1) or (ret_20d > 0.05 and (close > sma_50 or close > sma_200) and sma_200_slope > 0.0 and cumret_252d > -0.1997 and vol_pctile < 0.85)):
position = 0.8
if long and (ret_20d < -0.02 or close < sma_50 or vol_chg > 0.35):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.7% | 18.6% | -1.6% | 0.6% |
| Total Return | -31.7% | 66.8% | -5.9% | 9.7% |
| Sharpe | -0.33 | 1.02 | -0.04 | 0.12 |
| Sortino | -0.19 | 0.75 | -0.02 | 0.07 |
| Calmar | -0.11 | 0.65 | -0.05 | 0.01 |
| Volatility | 12.3% | 18.4% | 14.7% | 14.4% |
| Max DD | -42.2% | -28.6% | -31.1% | -42.2% |
| Win Rate | 43.8% | 62.5% | 57.1% | 51.5% |
| Avg Win | 2.9% | 4.2% | 4.7% | 3.7% |
| Avg Loss | -3.1% | -3.4% | -6.2% | -3.6% |
| Payoff | 0.95 | 1.26 | 0.76 | 1.05 |
| Expectancy | -0.4% | 1.4% | 0.0% | 0.2% |
| Profit Factor | 0.74 | 2.09 | 1.01 | 1.11 |
| Trades | 73 | 40 | 21 | 134 |
| Avg Holding Days | 4.4 | 4.5 | 5.5 | 4.6 |
| Turnover | 14.7 | 21.3 | 9.0 | 14.5 |
| Exposure | 10.1% | 14.6% | 8.0% | 10.5% |
Growth of $100
PriceMomentum_V1435 vs TSLA Buy & Hold
PriceMomentum_V1435 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 | -5.2% | -0.71 | -9.1% | 3 |
| 2017 | -5.0% | -0.27 | -14.1% | 20 |
| 2018 | -8.3% | -1.17 | -8.6% | 3 |
| 2019 | -2.1% | -0.26 | -5.5% | 4 |
| 2020 | 57.3% | 2.51 | -8.5% | 14 |
| 2021 | 26.1% | 1.13 | -18.7% | 20 |
| 2022 | -16.0% | -1.44 | -18.5% | 5 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 50.3% | 1.80 | 31% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -25.0% | -1.69 | 1% |
| hidden test | LOW VOLATILITY | 442 | 15.5% | 1.25 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.9% | -0.22 | 12% |
| hidden test | NORMAL | 815 | -5.7% | -0.44 | 6% |
| hidden test | SIDEWAYS | 297 | -10.9% | -1.02 | 1% |
| hidden test | UPTREND | 371 | 7.4% | 0.34 | 20% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -2.2% | -0.11 | 22% |
| train | EXTREME | 100 | 9.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.1% | 0.49 | 1% |
| train | LOW VOLATILITY | 745 | -4.6% | -0.37 | 19% |
| train | MEDIUM VOLATILITY | 568 | -15.7% | -1.28 | 10% |
| train | NORMAL | 1,601 | -5.2% | -0.50 | 8% |
| train | SIDEWAYS | 592 | -2.6% | -1.13 | 0% |
| train | UPTREND | 902 | -7.3% | -0.40 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 52.8% | 2.03 | 35% |
| validation | EXTREME | 144 | 37.7% | 2.62 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 10.5% | 0.78 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 44.3% | 1.77 | 21% |
| validation | NORMAL | 474 | 3.1% | 0.18 | 12% |
| validation | SIDEWAYS | 206 | -7.8% | -1.24 | 1% |
| validation | UPTREND | 425 | 37.1% | 1.54 | 25% |
Trades (full period)
latest 100 of 134
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-19 | 2026-01-05 | $481.20 | $451.67 | -7.70% | 10 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -3.85% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.69% | 2 | |
| 2025-11-03 | 2025-11-07 | $468.37 | $429.52 | -1.98% | 5 | |
| 2025-10-09 | 2025-10-24 | $435.54 | $433.72 | 1.77% | 12 | |
| 2025-10-06 | 2025-10-08 | $453.25 | $438.69 | 0.49% | 3 | |
| 2025-09-18 | 2025-10-03 | $416.85 | $429.83 | 1.82% | 12 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -16.49% | 7 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -10.54% | 6 | |
| 2024-09-25 | 2024-09-27 | $257.02 | $260.46 | -0.17% | 3 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-10 | 2024-07-12 | $263.26 | $248.23 | -6.64% | 3 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2023-06-06 | 2023-07-20 | $221.31 | $262.90 | 26.33% | 31 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-08 | 2022-04-22 | $341.83 | $335.02 | -3.76% | 10 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-26 | 2021-12-01 | $360.64 | $365.00 | 1.92% | 4 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-29 | 2021-11-10 | $371.33 | $355.98 | -3.92% | 9 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-10-04 | 2021-10-19 | $260.51 | $288.09 | 9.53% | 12 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.76% | 2 | |
| 2021-09-21 | 2021-09-29 | $246.46 | $260.44 | 5.01% | 7 | |
| 2021-09-15 | 2021-09-20 | $251.94 | $243.39 | 1.45% | 4 | |
| 2021-09-08 | 2021-09-14 | $251.29 | $248.16 | -1.21% | 5 | |
| 2021-08-24 | 2021-09-01 | $236.16 | $244.70 | 3.16% | 7 | |
| 2021-08-19 | 2021-08-23 | $224.49 | $235.43 | -1.17% | 3 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -3.62% | 2 | |
| 2021-08-05 | 2021-08-13 | $238.21 | $239.06 | 1.12% | 7 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-14 | 2021-02-01 | $281.67 | $279.94 | -5.84% | 12 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 3.61% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 6.11% | 2 | |
| 2021-01-05 | 2021-01-07 | $245.04 | $272.01 | 2.71% | 3 | |
| 2020-12-22 | 2021-01-04 | $213.45 | $243.26 | 6.67% | 8 | |
| 2020-12-14 | 2020-12-21 | $213.28 | $216.62 | 10.90% | 6 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 2.83% | 2 | |
| 2020-12-02 | 2020-12-08 | $189.61 | $216.63 | 7.61% | 5 | |
| 2020-11-25 | 2020-12-01 | $191.33 | $194.92 | 1.62% | 4 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 5.10% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.91% | 2 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.29% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.26% | 5 | |
| 2020-01-13 | 2020-01-14 | $34.99 | $35.86 | 7.65% | 2 | |
| 2020-01-09 | 2020-01-10 | $32.09 | $31.88 | -1.91% | 2 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 2.94% | 2 | |
| 2019-12-24 | 2020-01-06 | $28.35 | $30.10 | 4.38% | 8 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.28% | 3 | |
| 2019-11-29 | 2019-12-09 | $22.00 | $22.64 | 0.95% | 7 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2018-12-13 | 2018-12-19 | $25.12 | $22.20 | -6.62% | 5 | |
| 2018-11-29 | 2018-12-07 | $22.74 | $23.86 | 3.33% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -7.64% | 4 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 3.61% | 2 | |
| 2017-06-08 | 2017-06-12 | $24.67 | $23.93 | -0.66% | 3 | |
| 2017-06-05 | 2017-06-07 | $23.15 | $23.98 | 2.89% | 3 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.63% | 6 | |
| 2017-05-03 | 2017-05-04 | $20.73 | $19.70 | -2.13% | 2 | |
| 2017-04-27 | 2017-05-02 | $20.58 | $21.26 | 3.10% | 4 | |
| 2017-04-24 | 2017-04-26 | $20.54 | $20.68 | 1.98% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-22 | 2017-02-24 | $18.23 | $17.13 | -6.34% | 3 | |
| 2017-02-16 | 2017-02-21 | $17.93 | $18.49 | -2.30% | 3 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.05% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.15% | 2 | |
| 2017-01-24 | 2017-01-26 | $16.97 | $16.83 | 1.62% | 3 | |
| 2017-01-09 | 2017-01-20 | $15.42 | $16.32 | 4.97% | 9 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-07-26 | 2016-08-05 | $15.30 | $15.34 | 0.06% | 9 | |
| 2016-04-07 | 2016-05-02 | $17.15 | $16.12 | -7.61% | 18 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.58% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-10 | 2015-06-11 | $16.71 | $16.76 | -1.81% | 2 | |
| 2015-06-02 | 2015-06-09 | $16.56 | $17.07 | 2.03% | 6 | |
| 2015-05-13 | 2015-06-01 | $16.21 | $16.63 | 1.82% | 13 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-09-09 | 2014-09-16 | $18.57 | $17.38 | -8.17% | 6 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -2.58% | 2 | |
| 2014-09-03 | 2014-09-04 | $18.75 | $19.07 | -0.98% | 2 |