Strategy Zoo / S1505
PriceMomentum_V1505
ARCHIVEDhybridllmAdded conservative regime gates (disallow HIGH_VOLATILITY and EXTREME bubble), reduced base position to 0.6 to lower risk, replaced fragile single-threshold entry with two robust entry arms: (breakout + positive 200-day slope + modest 20d momentum) OR (strong 20d momentum with room to 52w high and not extreme volatility). Improved exit to a pragmatic set of momentum/stop conditions (5d loss, 20d loss, or MACD histogram turning negative) to avoid tiny noisy exits and reduce overfitting.
Fitness
0.0607
Generation
69
Complexity
16
Created
2026-10-13
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1505 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_50 == 1 and ret_20d > 0.02 and sma_200_slope > 0.0) or (ret_20d > 0.12 and dist_52w_high < 0.35 and vol_pctile < 0.8)):
position = 0.6
if long and (ret_5d < -0.05 or ret_20d < -0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.9% | -2.2% | 2.4% | -0.9% |
| Total Return | -14.0% | -6.4% | 9.3% | -12.0% |
| Sharpe | -0.17 | -0.16 | 0.28 | -0.04 |
| Sortino | -0.08 | -0.08 | 0.15 | -0.02 |
| Calmar | -0.07 | -0.13 | 0.19 | -0.03 |
| Volatility | 8.9% | 10.4% | 10.3% | 9.6% |
| Max DD | -26.7% | -16.5% | -12.6% | -30.4% |
| Win Rate | 40.5% | 35.3% | 48.0% | 41.7% |
| Avg Win | 3.1% | 3.2% | 3.6% | 3.3% |
| Avg Loss | -2.6% | -2.2% | -2.4% | -2.5% |
| Payoff | 1.20 | 1.45 | 1.46 | 1.33 |
| Expectancy | -0.3% | -0.3% | 0.4% | -0.1% |
| Profit Factor | 0.81 | 0.79 | 1.35 | 0.95 |
| Trades | 42 | 17 | 25 | 84 |
| Avg Holding Days | 6.2 | 6.5 | 5.0 | 5.9 |
| Turnover | 6.3 | 6.8 | 8.0 | 6.8 |
| Exposure | 6.5% | 7.5% | 6.4% | 6.7% |
Growth of $100
PriceMomentum_V1505 vs TSLA Buy & Hold
PriceMomentum_V1505 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% | -0.42 | -7.5% | 7 |
| 2017 | 9.5% | 2.13 | -0.7% | 2 |
| 2018 | -4.8% | -0.97 | -5.5% | 4 |
| 2019 | -3.4% | -0.15 | -13.5% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -2.6% | -0.09 | -13.7% | 10 |
| 2022 | -4.0% | -0.38 | -12.2% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 25.5% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.4% | -0.78 | 1% |
| hidden test | LOW VOLATILITY | 443 | 6.0% | 0.57 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 6.7% | 0.58 | 8% |
| hidden test | NORMAL | 816 | 0.8% | 0.07 | 7% |
| hidden test | SIDEWAYS | 298 | -10.4% | -1.11 | 9% |
| hidden test | UPTREND | 371 | 15.7% | 1.12 | 9% |
| train | DOWNTREND | 518 | -1.5% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 4.8% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.23 | 0% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.52 | 13% |
| train | MEDIUM VOLATILITY | 568 | -13.8% | -1.46 | 5% |
| train | NORMAL | 1,601 | -2.8% | -0.29 | 8% |
| train | SIDEWAYS | 592 | -10.0% | -0.92 | 8% |
| train | UPTREND | 902 | 4.1% | 0.41 | 9% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -2.1% | -0.25 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 3.0% | 0.22 | 8% |
| validation | NORMAL | 474 | -2.7% | -0.20 | 12% |
| validation | SIDEWAYS | 206 | -14.3% | -1.49 | 8% |
| validation | UPTREND | 425 | 4.0% | 0.33 | 9% |
Trades (full period)
84 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 0.95% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.29% | 8 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -3.95% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-28 | 2024-07-12 | $197.88 | $248.23 | 12.94% | 10 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -3.11% | 3 | |
| 2023-11-27 | 2023-12-14 | $236.08 | $251.05 | 0.90% | 14 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.82% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -3.63% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.67% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.46% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.69% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -2.89% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 1.95% | 14 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 15.97% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.08% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -2.96% | 3 | |
| 2021-07-01 | 2021-07-08 | $225.97 | $217.60 | -3.23% | 5 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.14% | 6 | |
| 2021-04-19 | 2021-04-21 | $238.21 | $248.04 | -1.80% | 3 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 3.52% | 3 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 10.24% | 3 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -5.52% | 8 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -0.96% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.08% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.16% | 11 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.45% | 13 | |
| 2016-06-09 | 2016-06-15 | $15.29 | $14.51 | -5.41% | 5 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.51% | 2 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.18% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.42% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2016-01-04 | 2016-01-06 | $14.89 | $14.60 | -4.26% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -3.72% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -5.53% | 4 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.28% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.19% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 3.52% | 19 | |
| 2014-11-17 | 2014-11-24 | $16.93 | $16.45 | -3.82% | 6 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.30% | 2 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 1.79% | 13 | |
| 2014-06-09 | 2014-07-07 | $13.69 | $14.84 | 6.00% | 20 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.25% | 2 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.05% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 3.73% | 22 | |
| 2012-07-16 | 2012-07-23 | $2.40 | $2.04 | -4.38% | 6 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -1.80% | 4 | |
| 2012-03-05 | 2012-03-06 | $2.25 | $2.21 | -0.60% | 2 | |
| 2012-03-01 | 2012-03-02 | $2.29 | $2.27 | 1.67% | 2 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.06% | 10 |