Strategy Zoo / S1456
PriceMomentum_V1456
ARCHIVEDhybridllmRestricted entries to uptrends and added robust momentum + trend filters (ret_20d, macd_hist, close>sma_50, cumret_252d) with a secondary strong-momentum shortcut. Improved exits: multi-condition exits (short-term loss, cross below sma_50 with weakening macd_hist, larger 20d drawdown) for faster risk removal. Added bubble gate to avoid EXTREME valuations and position-scaling by volatility (sensible sizing in medium/high vol). Reduced base position to lower drawdown and overfitting risk.
Fitness
0.3154
Generation
67
Complexity
18
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1456 [hybrid]
require regime.trend in ['UPTREND']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.04 and macd_hist > 0.0 and close > sma_50 and cumret_252d > -0.05) or ret_20d > 0.12):
position = 0.75
if long and (ret_5d < -0.03 or (close < sma_50 and macd_hist < 0.0) or ret_20d < -0.02):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.0% | 20.8% | 5.8% | 6.7% |
| Total Return | 17.0% | 76.4% | 23.8% | 161.1% |
| Sharpe | 0.23 | 1.37 | 0.51 | 0.58 |
| Sortino | 0.15 | 1.25 | 0.23 | 0.38 |
| Calmar | 0.09 | 0.88 | 0.50 | 0.28 |
| Volatility | 11.5% | 14.6% | 12.8% | 12.5% |
| Max DD | -21.8% | -23.7% | -11.8% | -23.7% |
| Win Rate | 40.4% | 44.4% | 54.5% | 44.8% |
| Avg Win | 4.3% | 8.8% | 4.6% | 5.9% |
| Avg Loss | -2.5% | -2.5% | -3.1% | -2.6% |
| Payoff | 1.75 | 3.47 | 1.50 | 2.27 |
| Expectancy | 0.3% | 2.5% | 1.1% | 1.2% |
| Profit Factor | 1.19 | 2.78 | 1.79 | 1.84 |
| Trades | 47 | 27 | 22 | 96 |
| Avg Holding Days | 9.3 | 6.9 | 6.0 | 8.0 |
| Turnover | 7.1 | 9.3 | 6.6 | 7.4 |
| Exposure | 11.7% | 12.4% | 6.7% | 10.6% |
Growth of $100
PriceMomentum_V1456 vs TSLA Buy & Hold
PriceMomentum_V1456 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 | -3.6% | -0.56 | -7.4% | 3 |
| 2017 | 7.3% | 0.60 | -10.3% | 7 |
| 2018 | -11.8% | -1.90 | -11.8% | 8 |
| 2019 | 6.4% | 0.83 | -5.6% | 2 |
| 2020 | 54.8% | 2.87 | -4.4% | 8 |
| 2021 | 45.2% | 2.18 | -11.9% | 9 |
| 2022 | -23.3% | -3.46 | -23.2% | 10 |
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 | 35.0% | 1.74 | 20% |
| hidden test | EXTREME | 48 | 29.5% | 4.30 | 2% |
| hidden test | HIGH VOLATILITY | 254 | -4.6% | -0.37 | 3% |
| hidden test | LOW VOLATILITY | 442 | 16.2% | 1.43 | 8% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.7% | 0.04 | 8% |
| hidden test | NORMAL | 815 | 2.3% | 0.19 | 6% |
| hidden test | SIDEWAYS | 297 | -8.5% | -1.13 | 1% |
| hidden test | UPTREND | 371 | 23.4% | 1.21 | 17% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 21.3% | 1.16 | 28% |
| train | EXTREME | 100 | 22.3% | 2.88 | 2% |
| train | HIGH VOLATILITY | 699 | 11.2% | 1.08 | 4% |
| train | LOW VOLATILITY | 745 | 7.6% | 0.60 | 22% |
| train | MEDIUM VOLATILITY | 568 | -14.5% | -1.32 | 7% |
| train | NORMAL | 1,601 | -2.2% | -0.23 | 9% |
| train | SIDEWAYS | 592 | -4.9% | -1.51 | 1% |
| train | UPTREND | 902 | 9.1% | 0.54 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.6% | 3.17 | 29% |
| validation | EXTREME | 144 | 21.5% | 2.27 | 1% |
| validation | HIGH VOLATILITY | 258 | 1.2% | 0.27 | 2% |
| validation | LOW VOLATILITY | 183 | 13.5% | 0.99 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 39.1% | 2.00 | 15% |
| validation | NORMAL | 474 | 4.2% | 0.34 | 11% |
| validation | SIDEWAYS | 206 | -10.5% | -1.88 | 1% |
| validation | UPTREND | 425 | 40.6% | 2.15 | 22% |
Trades (full period)
96 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.22% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.03% | 11 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -2.96% | 2 | |
| 2025-09-12 | 2025-10-09 | $395.94 | $435.54 | 12.85% | 20 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.13% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -3.67% | 6 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.68% | 3 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 1.38% | 5 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 0.95% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.69% | 4 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 5.29% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.92% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.00% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 3.69% | 16 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -1.12% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 0.47% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.59% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -1.11% | 2 | |
| 2024-07-02 | 2024-07-18 | $231.26 | $249.23 | 11.12% | 12 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.23% | 4 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 6.45% | 10 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 11.92% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.13% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -2.84% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.84% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.17% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.52% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.80% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.05% | 3 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.53% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.82% | 2 | |
| 2022-01-04 | 2022-01-11 | $383.20 | $354.80 | -3.23% | 6 | |
| 2021-11-16 | 2021-12-01 | $351.58 | $365.00 | 2.92% | 11 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -0.80% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 1.09% | 2 | |
| 2021-09-07 | 2021-11-09 | $250.97 | $341.17 | 38.31% | 46 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.74% | 9 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.44% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -3.48% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 0.96% | 5 | |
| 2020-12-30 | 2021-01-11 | $231.59 | $270.40 | 17.06% | 8 | |
| 2020-12-10 | 2020-12-29 | $209.02 | $222.00 | 5.49% | 13 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 16.99% | 13 | |
| 2020-10-12 | 2020-10-20 | $147.43 | $140.65 | -1.05% | 7 | |
| 2020-10-07 | 2020-10-09 | $141.77 | $144.67 | 0.70% | 3 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.04% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 2.81% | 2 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.16% | 3 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 30.20% | 24 | |
| 2019-11-05 | 2019-11-25 | $21.15 | $22.42 | -1.89% | 15 | |
| 2019-10-25 | 2019-11-04 | $21.88 | $21.16 | 1.22% | 7 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -2.44% | 5 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.11% | 2 | |
| 2018-08-03 | 2018-08-15 | $23.21 | $22.58 | -0.05% | 9 | |
| 2018-06-29 | 2018-07-05 | $22.86 | $20.61 | -3.05% | 4 | |
| 2018-06-26 | 2018-06-28 | $22.80 | $23.33 | 0.85% | 3 | |
| 2018-06-15 | 2018-06-25 | $23.88 | $22.20 | -1.79% | 7 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -1.64% | 5 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.08% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.20% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -0.99% | 13 | |
| 2017-06-01 | 2017-06-14 | $22.69 | $25.38 | 5.52% | 10 | |
| 2017-05-15 | 2017-05-18 | $21.06 | $20.87 | -3.37% | 4 | |
| 2017-04-20 | 2017-05-05 | $20.17 | $20.56 | -3.70% | 12 | |
| 2017-03-28 | 2017-04-19 | $18.50 | $20.37 | 6.41% | 16 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 9.41% | 35 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -2.34% | 18 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -2.89% | 12 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.66% | 8 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -3.47% | 5 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 5.73% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.58% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.82% | 30 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.16% | 9 | |
| 2014-03-18 | 2014-03-25 | $16.00 | $14.70 | -3.67% | 6 | |
| 2014-03-14 | 2014-03-17 | $15.40 | $15.60 | -0.81% | 2 | |
| 2014-03-12 | 2014-03-13 | $16.10 | $15.85 | 0.74% | 2 | |
| 2014-01-24 | 2014-03-11 | $11.64 | $15.63 | 15.37% | 32 | |
| 2013-10-08 | 2013-10-09 | $11.65 | $11.25 | -2.67% | 2 | |
| 2013-09-13 | 2013-10-04 | $11.04 | $12.07 | 3.76% | 16 | |
| 2013-09-11 | 2013-09-12 | $10.90 | $11.00 | -1.43% | 2 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -2.96% | 2 | |
| 2013-08-19 | 2013-08-23 | $9.66 | $10.79 | 2.69% | 5 | |
| 2013-08-15 | 2013-08-16 | $9.31 | $9.47 | 0.01% | 2 | |
| 2013-08-08 | 2013-08-09 | $10.23 | $10.20 | 3.71% | 2 | |
| 2013-07-19 | 2013-07-22 | $7.98 | $8.16 | 0.09% | 2 | |
| 2013-04-11 | 2013-04-19 | $2.91 | $3.19 | 3.07% | 7 | |
| 2013-03-27 | 2013-04-09 | $2.54 | $2.70 | 10.50% | 9 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -8.04% | 3 | |
| 2013-01-24 | 2013-02-15 | $2.47 | $2.47 | 4.58% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.52% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -4.45% | 7 | |
| 2012-03-13 | 2012-03-21 | $2.41 | $2.34 | -2.33% | 7 | |
| 2012-02-29 | 2012-03-09 | $2.23 | $2.32 | -1.78% | 8 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.46% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.16% | 2 |