Strategy Zoo / S1501
PriceMomentum_V1501
ARCHIVEDhybridllm1) Simplified & focused entry: consolidated momentum/trend signals (sma200 with positive slope, 20d return, breakout+rel vol, MACD+close>sma50) and added filters rsi_14<75 and avoid extreme vol_pctile >0.95 to reduce noisy entries. 2) Improved exits: multi-condition exit (MACD flip OR 8% drawdown OR 5d loss >5%) to limit large drawdowns and cut fast losses. 3) Regime gates: only trade in UPTREND or SIDEWAYS, avoid HIGH_VOLATILITY and non-NORMAL bubble states to improve robustness. 4) Position rules: scale down or disable exposure in higher volatility or expensive-bubble regimes (HIGH_VOL -> 0, MEDIUM -> 0.6, EXPENSIVE bubble -> 0.5). Goal: reduce drawdowns and overtrading while keeping momentum exposure.
Fitness
0.0556
Generation
69
Complexity
23
Created
2026-10-13
Lineage
Parents (1)
removed entry condition: (ret_20d > 0.184 and breakout_20 == 1)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1501 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.06 or (breakout_50 == 1 and rel_volume > 1.2) or (macd_hist > 0.0 and close > sma_50)) and sma_20 < close and rsi_14 < 75.0 and not vol_pctile > 0.95):
position = 1.0
if long and (macd_hist < 0.0 or drawdown < -0.08 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -9.4% | 4.5% | -6.9% | -6.1% |
| Total Return | -54.4% | 14.3% | -23.7% | -60.2% |
| Sharpe | -0.59 | 0.34 | -0.35 | -0.31 |
| Sortino | -0.38 | 0.23 | -0.26 | -0.21 |
| Calmar | -0.16 | 0.20 | -0.18 | -0.09 |
| Volatility | 14.9% | 18.1% | 16.6% | 16.0% |
| Max DD | -60.1% | -22.9% | -37.7% | -69.7% |
| Win Rate | 38.5% | 49.4% | 38.5% | 40.8% |
| Avg Win | 2.1% | 2.4% | 2.8% | 2.3% |
| Avg Loss | -1.9% | -1.9% | -2.1% | -2.0% |
| Payoff | 1.08 | 1.29 | 1.33 | 1.20 |
| Expectancy | -0.4% | 0.2% | -0.2% | -0.2% |
| Profit Factor | 0.68 | 1.25 | 0.83 | 0.82 |
| Trades | 187 | 77 | 104 | 368 |
| Avg Holding Days | 2.4 | 2.2 | 2.1 | 2.3 |
| Turnover | 46.8 | 51.3 | 55.3 | 49.9 |
| Exposure | 12.8% | 12.6% | 12.6% | 12.7% |
Growth of $100
PriceMomentum_V1501 vs TSLA Buy & Hold
PriceMomentum_V1501 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 | -15.3% | -1.65 | -15.7% | 21 |
| 2017 | 10.3% | 1.13 | -5.1% | 16 |
| 2018 | -17.9% | -1.53 | -19.3% | 16 |
| 2019 | -5.6% | -0.36 | -11.6% | 16 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.2% | 0.40 | -20.5% | 50 |
| 2022 | 6.7% | 0.46 | -9.2% | 26 |
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 | -2.2% | -1.08 | 0% |
| hidden test | EXPENSIVE | 83 | 20.2% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 6.1% | 0.92 | 0% |
| hidden test | LOW VOLATILITY | 443 | -11.8% | -0.66 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.4% | -0.35 | 14% |
| hidden test | NORMAL | 816 | -8.8% | -0.51 | 14% |
| hidden test | SIDEWAYS | 298 | -33.4% | -1.59 | 22% |
| hidden test | UPTREND | 371 | 13.6% | 0.74 | 14% |
| train | DOWNTREND | 518 | -8.4% | -1.24 | 1% |
| train | EXPENSIVE | 311 | 11.9% | 1.73 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.06 | 0% |
| train | LOW VOLATILITY | 745 | -5.9% | -0.37 | 23% |
| train | MEDIUM VOLATILITY | 568 | -24.0% | -1.39 | 15% |
| train | NORMAL | 1,601 | -13.3% | -0.81 | 16% |
| train | SIDEWAYS | 592 | -12.2% | -0.78 | 15% |
| train | UPTREND | 902 | -6.6% | -0.38 | 18% |
| validation | DOWNTREND | 125 | -0.4% | -2.02 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | -10.2% | -0.65 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 27.3% | 1.21 | 13% |
| validation | NORMAL | 474 | 9.7% | 0.42 | 20% |
| validation | SIDEWAYS | 206 | 12.0% | 0.60 | 18% |
| validation | UPTREND | 425 | 5.1% | 0.26 | 13% |
Trades (full period)
latest 100 of 368
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.85% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.95% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.36% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 3.05% | 14 | |
| 2025-12-03 | 2025-12-09 | $446.74 | $445.17 | 2.21% | 5 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 5.84% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.49% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -2.05% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-14 | 2023-12-15 | $251.05 | $253.50 | 4.71% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.53% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.62% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -5.26% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.31% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 |