Strategy Zoo / S1502
PriceMomentum_V1502
ARCHIVEDhybridllmAdded a clearer two-branch entry (momentum breakout and trend-follow confirmation), tightened entry momentum threshold, added RSI cap to avoid overbought entries, strengthened trend confirmation with SMA50>200 and sma_200_slope filter; improved exits to include drawdown, sharp 1-day drops and extreme volatility spikes in addition to MACD; added regime gates to avoid high-volatility and bubble extremes; reduced base position to 0.8 and introduced vol_pctile-based position scaling to reduce sizing in high volatility.
Fitness
0.1755
Generation
69
Complexity
19
Created
2026-10-13
Lineage
Parents (1)
entry = PriceMomentum_V1210 OR LongTermTrend_V1083
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1502 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.12 and breakout_20 == 1 and rel_volume > 1.2 and rsi_14 < 75.0) or (close > sma_50 and sma_50 > sma_200 and sma_200_slope > -0.0005 and macd_hist > 0.0)):
position = 0.8
if long and (macd_hist < 0.0 or drawdown > 0.12 or ret_1d < -0.07 or vol_pctile > 0.95):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | 8.3% | 0.1% | 0.9% |
| Total Return | -10.2% | 26.9% | 0.5% | 14.4% |
| Sharpe | -0.06 | 0.59 | 0.08 | 0.13 |
| Sortino | -0.03 | 0.32 | 0.04 | 0.07 |
| Calmar | -0.05 | 0.52 | 0.01 | 0.03 |
| Volatility | 11.4% | 15.5% | 14.2% | 13.1% |
| Max DD | -28.1% | -16.0% | -22.7% | -31.6% |
| Win Rate | 42.4% | 33.3% | 38.5% | 40.0% |
| Avg Win | 4.8% | 13.2% | 6.7% | 6.4% |
| Avg Loss | -3.9% | -2.1% | -3.8% | -3.6% |
| Payoff | 1.24 | 6.29 | 1.75 | 1.80 |
| Expectancy | -0.2% | 3.0% | 0.2% | 0.4% |
| Profit Factor | 0.92 | 3.15 | 1.10 | 1.20 |
| Trades | 33 | 9 | 13 | 55 |
| Avg Holding Days | 7.5 | 11.2 | 10.4 | 8.8 |
| Turnover | 6.6 | 4.8 | 5.5 | 6.0 |
| Exposure | 8.5% | 9.7% | 10.3% | 9.2% |
Growth of $100
PriceMomentum_V1502 vs TSLA Buy & Hold
PriceMomentum_V1502 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 | -5.5% | -0.69 | -10.8% | 3 |
| 2017 | 7.4% | 0.88 | -4.4% | 6 |
| 2018 | -3.8% | -0.75 | -6.1% | 1 |
| 2019 | -6.6% | -0.50 | -11.0% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 6.9% | 0.43 | -16.0% | 6 |
| 2022 | 7.2% | 0.57 | -12.0% | 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 | -7.8% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 443 | 2.6% | 0.19 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | 7.6% | 0.43 | 12% |
| hidden test | NORMAL | 816 | 1.3% | 0.09 | 12% |
| hidden test | SIDEWAYS | 298 | -18.1% | -1.13 | 17% |
| hidden test | UPTREND | 371 | 17.4% | 1.00 | 13% |
| train | DOWNTREND | 518 | -0.8% | -0.77 | 0% |
| train | EXPENSIVE | 311 | 10.3% | 1.83 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.3% | 0.12 | 1% |
| train | LOW VOLATILITY | 745 | 8.5% | 0.74 | 17% |
| train | MEDIUM VOLATILITY | 568 | -15.2% | -1.25 | 8% |
| train | NORMAL | 1,601 | -2.9% | -0.23 | 10% |
| train | SIDEWAYS | 592 | -9.1% | -0.71 | 9% |
| train | UPTREND | 902 | 4.9% | 0.36 | 13% |
| 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 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | 10.6% | 1.08 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 14.9% | 0.79 | 12% |
| validation | NORMAL | 474 | 14.5% | 0.74 | 16% |
| validation | SIDEWAYS | 206 | 5.5% | 0.34 | 15% |
| validation | UPTREND | 425 | 13.5% | 0.78 | 10% |
Trades (full period)
55 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -5.13% | 8 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 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 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -3.85% | 18 | |
| 2023-06-01 | 2023-06-27 | $207.52 | $250.21 | 14.30% | 18 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 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 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 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 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.04% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.29% | 8 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.01% | 2 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-08-02 | 2016-08-09 | $15.15 | $15.27 | -1.49% | 6 | |
| 2016-06-09 | 2016-06-16 | $15.29 | $14.53 | -6.23% | 6 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -4.45% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-05-06 | 2015-05-22 | $15.36 | $16.52 | 4.18% | 13 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.22% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -7.15% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 6.58% | 28 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.12% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -6.31% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.68% | 2 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.56% | 18 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -5.96% | 2 | |
| 2012-06-27 | 2012-07-03 | $2.13 | $2.04 | -3.22% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.40% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |