Strategy Zoo / S1496
PriceMomentum_V1496
ARCHIVEDhybridllmReduced base position to 0.7 for lower drawdown; added regime gates to avoid trading in high-volatility/bubble regimes; introduced volatility-based position scaling (vol_pctile) to trim size in high vol; simplified and consolidated entry into two robust momentum paths (breakout+volume OR trend+MACD with SMA50>200) while keeping close>ema_20; improved exit with multi-criteria rule (MACD flip OR short-term sharp loss OR absolute drawdown) to reduce large losses and improve generalization.
Fitness
0.1712
Generation
69
Complexity
19
Created
2026-10-13
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0957
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1496 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((breakout_20 == 1 and ret_20d > 0.12 and rel_volume > 1.3) or (ret_20d > 0.07 and macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200)) and close > ema_20):
position = 0.7
if long and (macd_hist < 0.0 or ret_5d < -0.06 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.2% | 4.5% | 1.2% | 1.3% |
| Total Return | 1.3% | 14.0% | 4.7% | 20.9% |
| Sharpe | 0.06 | 0.42 | 0.17 | 0.18 |
| Sortino | 0.03 | 0.19 | 0.08 | 0.08 |
| Calmar | 0.01 | 0.37 | 0.07 | 0.05 |
| Volatility | 9.1% | 12.2% | 10.2% | 10.1% |
| Max DD | -21.5% | -12.0% | -16.5% | -28.7% |
| Win Rate | 44.0% | 28.6% | 50.0% | 42.9% |
| Avg Win | 4.4% | 13.3% | 4.0% | 5.3% |
| Avg Loss | -3.2% | -2.3% | -2.9% | -2.9% |
| Payoff | 1.39 | 5.83 | 1.39 | 1.80 |
| Expectancy | 0.2% | 2.2% | 0.6% | 0.6% |
| Profit Factor | 1.09 | 2.33 | 1.39 | 1.35 |
| Trades | 25 | 7 | 10 | 42 |
| Avg Holding Days | 8.4 | 11.7 | 8.6 | 9.0 |
| Turnover | 4.4 | 3.3 | 3.7 | 4.0 |
| Exposure | 6.4% | 6.9% | 5.6% | 6.3% |
Growth of $100
PriceMomentum_V1496 vs TSLA Buy & Hold
PriceMomentum_V1496 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 | -1.8% | -0.21 | -8.2% | 3 |
| 2017 | 6.4% | 1.16 | -3.8% | 3 |
| 2018 | -3.6% | -0.82 | -5.4% | 1 |
| 2019 | -9.7% | -1.01 | -9.7% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 8.4% | 0.55 | -12.0% | 5 |
| 2022 | 5.1% | 0.48 | -10.5% | 2 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.8% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 443 | 2.1% | 0.22 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | 9.8% | 0.86 | 8% |
| hidden test | NORMAL | 816 | 2.0% | 0.18 | 7% |
| hidden test | SIDEWAYS | 298 | -5.3% | -0.71 | 8% |
| hidden test | UPTREND | 371 | 8.7% | 0.59 | 8% |
| train | DOWNTREND | 518 | -0.7% | -0.77 | 0% |
| train | EXPENSIVE | 311 | 2.0% | 1.18 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.7% | 0.19 | 0% |
| train | LOW VOLATILITY | 745 | 5.0% | 0.53 | 14% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.77 | 4% |
| train | NORMAL | 1,601 | 0.3% | 0.03 | 8% |
| train | SIDEWAYS | 592 | -5.6% | -0.53 | 7% |
| train | UPTREND | 902 | 5.4% | 0.51 | 10% |
| 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 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 8.6% | 1.09 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 14.0% | 0.86 | 10% |
| validation | NORMAL | 474 | 8.1% | 0.53 | 11% |
| validation | SIDEWAYS | 206 | 3.4% | 0.24 | 13% |
| validation | UPTREND | 425 | 7.4% | 0.57 | 6% |
Trades (full period)
42 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.48% | 10 | |
| 2023-11-22 | 2023-12-14 | $234.21 | $251.05 | -0.65% | 16 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.61% | 2 | |
| 2023-06-08 | 2023-06-27 | $234.86 | $250.21 | 5.12% | 13 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 7.88% | 15 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 18.67% | 21 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-09-15 | 2021-09-21 | $251.94 | $246.46 | -1.47% | 5 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -9.66% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -3.59% | 4 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -0.89% | 2 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.68% | 13 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -5.40% | 6 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.04% | 8 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -3.90% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.41% | 11 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.11% | 19 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.76% | 4 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.43% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.20% | 15 | |
| 2014-06-09 | 2014-07-07 | $13.69 | $14.84 | 6.98% | 20 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.38% | 18 | |
| 2012-07-02 | 2012-07-03 | $2.03 | $2.04 | -2.13% | 2 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.18% | 5 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -5.53% | 7 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.10% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.23% | 10 |