Strategy Zoo / S1455
PriceMomentum_V1455
ARCHIVEDhybridllmSimplified entry logic to robust momentum/volume breakouts; added conservative multi-condition exit (MACD flip OR >12% drawdown OR close below SMA50) to reduce large drawdowns; added regime gates to only trade in UPTREND & NORMAL bubble with MEDIUM volatility to improve generalization; volatility-based position scaling (higher size in low vol, reduced in high vol); reduced base position to 0.8 to lower risk.
Fitness
0.6013
Generation
67
Complexity
17
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0957
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1455 [hybrid]
if flat and (((ret_20d > 0.09 and breakout_20 == 1) or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.25)) and sma_20 < close and close > ema_20):
position = 0.8
if long and (macd_hist < 0.0 or drawdown > 0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.5% | 65.8% | 10.0% | 24.1% |
| Total Return | 261.2% | 355.9% | 43.0% | 2310.3% |
| Sharpe | 0.78 | 1.64 | 0.51 | 0.94 |
| Sortino | 0.76 | 1.71 | 0.51 | 0.94 |
| Calmar | 0.45 | 2.57 | 0.28 | 0.62 |
| Volatility | 24.5% | 34.3% | 24.5% | 26.8% |
| Max DD | -38.9% | -25.6% | -36.2% | -38.9% |
| Win Rate | 33.3% | 42.9% | 28.9% | 33.8% |
| Avg Win | 12.3% | 19.5% | 11.8% | 14.3% |
| Avg Loss | -3.0% | -3.1% | -3.2% | -3.1% |
| Payoff | 4.11 | 6.26 | 3.69 | 4.66 |
| Expectancy | 2.1% | 6.6% | 1.1% | 2.8% |
| Profit Factor | 2.05 | 4.69 | 1.50 | 2.38 |
| Trades | 81 | 28 | 45 | 154 |
| Avg Holding Days | 9.7 | 11.1 | 8.1 | 9.6 |
| Turnover | 16.3 | 14.9 | 19.4 | 16.8 |
| Exposure | 28.5% | 29.9% | 27.3% | 28.5% |
Growth of $100
PriceMomentum_V1455 vs TSLA Buy & Hold
PriceMomentum_V1455 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 | 26.3% | 1.87 | -6.1% | 4 |
| 2017 | 17.4% | 1.02 | -12.1% | 16 |
| 2018 | -7.3% | -0.25 | -19.0% | 11 |
| 2019 | 13.7% | 0.60 | -25.4% | 8 |
| 2020 | 275.1% | 2.93 | -17.1% | 10 |
| 2021 | 21.5% | 0.91 | -14.3% | 10 |
| 2022 | -3.1% | -0.04 | -14.3% | 7 |
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 | -2.1% | -0.12 | 18% |
| hidden test | EXPENSIVE | 83 | 78.3% | 2.17 | 40% |
| hidden test | EXTREME | 48 | 106.6% | 2.99 | 32% |
| hidden test | HIGH VOLATILITY | 254 | 17.1% | 0.53 | 30% |
| hidden test | LOW VOLATILITY | 442 | 31.6% | 1.60 | 28% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.0% | -1.15 | 23% |
| hidden test | NORMAL | 815 | 0.2% | 0.01 | 26% |
| hidden test | SIDEWAYS | 297 | -13.6% | -0.59 | 32% |
| hidden test | UPTREND | 371 | 44.3% | 1.52 | 30% |
| train | DOWNTREND | 518 | -7.2% | -0.51 | 13% |
| train | EXPENSIVE | 311 | 40.5% | 1.51 | 40% |
| train | EXTREME | 100 | 230.5% | 4.19 | 56% |
| train | HIGH VOLATILITY | 699 | 31.6% | 0.96 | 27% |
| train | LOW VOLATILITY | 745 | 26.0% | 1.53 | 35% |
| train | MEDIUM VOLATILITY | 568 | -5.5% | -0.28 | 23% |
| train | NORMAL | 1,601 | 1.6% | 0.08 | 25% |
| train | SIDEWAYS | 592 | 8.7% | 0.42 | 28% |
| train | UPTREND | 902 | 40.8% | 1.34 | 38% |
| validation | DOWNTREND | 125 | 24.5% | 1.41 | 6% |
| validation | EXPENSIVE | 138 | 65.2% | 2.10 | 30% |
| validation | EXTREME | 144 | 218.2% | 3.65 | 55% |
| validation | HIGH VOLATILITY | 258 | 61.0% | 1.37 | 24% |
| validation | LOW VOLATILITY | 183 | 16.8% | 0.95 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 75.7% | 2.37 | 33% |
| validation | NORMAL | 474 | 4.7% | 0.21 | 22% |
| validation | SIDEWAYS | 206 | -0.4% | -0.02 | 22% |
| validation | UPTREND | 425 | 93.3% | 2.22 | 41% |
Trades (full period)
latest 100 of 155
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | 0.35% | 3 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.05% | 8 | |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.35% | 7 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 15.93% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 8.42% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 2.42% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.43% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 22.00% | 25 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 5.03% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-20 | 2024-08-23 | $221.10 | $220.32 | -4.48% | 4 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 26.84% | 24 | |
| 2024-05-15 | 2024-05-30 | $173.99 | $178.79 | -0.70% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 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 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 26.30% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 19.98% | 19 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.14% | 2 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-07-19 | 2022-08-12 | $245.53 | $300.03 | 15.11% | 19 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -5.39% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 25.59% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 15.72% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 31.86% | 21 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.78% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 21.16% | 16 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 24.62% | 18 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 5.58% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.20% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 17.22% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 92.06% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 34.04% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -3.97% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 1.99% | 19 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -2.56% | 2 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2019-01-16 | 2019-01-22 | $23.07 | $19.93 | -9.92% | 4 | |
| 2019-01-11 | 2019-01-15 | $23.15 | $22.96 | -2.60% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 8.12% | 19 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -1.69% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -10.18% | 12 | |
| 2018-06-04 | 2018-06-26 | $19.78 | $22.80 | 11.16% | 17 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.08% | 2 | |
| 2018-05-10 | 2018-05-14 | $20.33 | $19.46 | -1.67% | 3 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -3.67% | 6 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.61% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -1.30% | 3 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.90% | 10 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.04% | 12 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.34% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -0.84% | 2 |