Strategy Zoo / S1453
PriceMomentum_V1453
ARCHIVEDhybridllm1) Broadened entry signals: lowered ret_20d threshold and added a cleaner breakout_50 + rel_volume + macd_hist arm and a MA-cross + positive sma_200_slope arm to increase trade coverage and regime-adaptive trend capture. 2) Simplified structure: OR of three entry pathways gated by a price-over-ema_20 confirmation to reduce overfitting. 3) Improved exits: use OR of macd_hist<0, significant drop below sma_50 (dist_sma_50<-0.08), or short-term negative momentum (ret_5d<-0.05) for faster, robust exits. 4) Added regime gates to avoid high-volatility and extreme bubble regimes. 5) Reduced base position to 0.8 to lower risk and drawdown sensitivity.
Fitness
0.2809
Generation
67
Complexity
20
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0957
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1453 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((ret_20d > 0.06 and breakout_20 == 1) or (breakout_50 == 1 and rel_volume > 1.2 and macd_hist > 0.0) or (sma_50 > sma_200 and sma_200_slope > 0.0)) and close > ema_20):
position = 0.8
if long and (macd_hist < 0.0 or dist_sma_50 < -0.08 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.3% | 30.6% | -1.1% | 3.6% |
| Total Return | -23.3% | 122.8% | -4.2% | 67.7% |
| Sharpe | -0.11 | 1.27 | 0.02 | 0.28 |
| Sortino | -0.09 | 1.21 | 0.02 | 0.23 |
| Calmar | -0.06 | 1.20 | -0.04 | 0.07 |
| Volatility | 17.0% | 23.1% | 17.6% | 18.6% |
| Max DD | -50.7% | -25.6% | -31.5% | -50.7% |
| Win Rate | 36.4% | 52.0% | 25.6% | 38.2% |
| Avg Win | 3.8% | 6.1% | 7.1% | 5.2% |
| Avg Loss | -2.5% | -2.7% | -2.4% | -2.6% |
| Payoff | 1.50 | 2.24 | 2.94 | 2.05 |
| Expectancy | -0.2% | 1.9% | 0.0% | 0.4% |
| Profit Factor | 0.86 | 2.43 | 1.01 | 1.27 |
| Trades | 118 | 50 | 39 | 207 |
| Avg Holding Days | 4.8 | 4.9 | 6.3 | 5.1 |
| Turnover | 23.7 | 26.7 | 16.6 | 22.5 |
| Exposure | 18.1% | 20.8% | 17.3% | 18.5% |
Growth of $100
PriceMomentum_V1453 vs TSLA Buy & Hold
PriceMomentum_V1453 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 | -12.9% | -1.40 | -14.5% | 6 |
| 2017 | 0.3% | 0.10 | -16.2% | 28 |
| 2018 | -5.8% | -0.85 | -7.3% | 4 |
| 2019 | 3.1% | 0.25 | -15.9% | 9 |
| 2020 | 69.0% | 2.53 | -11.0% | 12 |
| 2021 | 25.8% | 0.99 | -19.2% | 27 |
| 2022 | -5.5% | -0.25 | -25.6% | 9 |
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 | -1.9% | -1.31 | 1% |
| hidden test | EXPENSIVE | 83 | -7.6% | -0.29 | 33% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.6% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 442 | 5.6% | 0.33 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.6% | -0.25 | 23% |
| hidden test | NORMAL | 815 | 1.2% | 0.07 | 17% |
| hidden test | SIDEWAYS | 297 | -9.7% | -0.53 | 25% |
| hidden test | UPTREND | 371 | 10.3% | 0.45 | 24% |
| train | DOWNTREND | 518 | -7.5% | -1.39 | 1% |
| train | EXPENSIVE | 311 | 29.8% | 1.39 | 28% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.3% | 0.65 | 1% |
| train | LOW VOLATILITY | 745 | 7.8% | 0.46 | 32% |
| train | MEDIUM VOLATILITY | 568 | -29.5% | -1.61 | 21% |
| train | NORMAL | 1,601 | -8.8% | -0.53 | 17% |
| train | SIDEWAYS | 592 | -14.0% | -0.86 | 19% |
| train | UPTREND | 902 | 9.3% | 0.44 | 27% |
| validation | DOWNTREND | 125 | -0.2% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 79.7% | 2.68 | 35% |
| validation | EXTREME | 144 | 42.5% | 2.86 | 3% |
| validation | HIGH VOLATILITY | 258 | -2.7% | -0.17 | 1% |
| validation | LOW VOLATILITY | 183 | 13.5% | 0.83 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 64.7% | 2.15 | 30% |
| validation | NORMAL | 474 | 10.7% | 0.47 | 22% |
| validation | SIDEWAYS | 206 | 4.9% | 0.23 | 21% |
| validation | UPTREND | 425 | 49.9% | 1.85 | 27% |
Trades (full period)
latest 100 of 207
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-03-12 | 2026-03-16 | $395.01 | $395.56 | -3.42% | 3 | |
| 2026-02-12 | 2026-02-24 | $417.07 | $409.38 | -5.49% | 8 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 6.08% | 22 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.17% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -3.87% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.28% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.34% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 13.02% | 17 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -4.14% | 6 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.73% | 8 | |
| 2025-07-17 | 2025-08-01 | $319.41 | $302.63 | -3.41% | 12 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 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 | |
| 2024-09-24 | 2024-10-04 | $254.27 | $250.08 | -3.13% | 9 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-14 | 2023-12-14 | $237.41 | $251.05 | 5.46% | 22 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.37% | 9 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.48% | 17 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.06% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -3.88% | 7 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.46% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-03-17 | 2022-04-11 | $290.53 | $325.31 | 17.32% | 18 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -3.85% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 4.45% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.92% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.39% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 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 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.35% | 2 | |
| 2021-06-15 | 2021-07-08 | $199.79 | $217.60 | 3.37% | 17 | |
| 2021-05-28 | 2021-06-03 | $208.41 | $190.95 | -3.42% | 4 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-08 | 2021-04-21 | $227.93 | $248.04 | 5.61% | 10 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -4.36% | 2 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 0.89% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.60% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.98% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.04% | 4 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 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 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -5.24% | 4 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.71% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.97% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.93% | 2 | |
| 2020-05-29 | 2020-06-01 | $55.67 | $59.87 | 2.74% | 2 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2019-12-11 | 2019-12-12 | $23.51 | $23.98 | 0.72% | 2 | |
| 2019-12-09 | 2019-12-10 | $22.64 | $23.26 | 0.71% | 2 | |
| 2019-12-05 | 2019-12-06 | $22.02 | $22.39 | -0.80% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-26 | 2019-11-27 | $21.93 | $22.09 | -1.92% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 |