Strategy Zoo / S1520
PriceMomentum_V1520
ARCHIVEDhybridllmAdded a complementary momentum entry (macd_hist>0 and ret_20d>2%) to capture cleaner momentum opportunities; tightened exits by adding drawdown stop (-8%) and a technical exit (close < sma_50) to reduce large drawdowns; introduced regime gates to avoid bubble periods (only NORMAL) and restrict to UPTREND or SIDEWAYS; added position scaling for LOW and MEDIUM volatility (1.0 and 0.7) while keeping HIGH volatility scale, and reduced base position to 0.8 to lower overall exposure.
Fitness
0.0702
Generation
70
Complexity
25
Created
2026-10-13
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1520 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL']
if flat and (((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_1d > -0.0578) and ret_20d > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184) or (macd_hist > 0.0 and ret_20d > 0.02)):
position = 0.8
if long and (ret_20d < -0.006 or drawdown < -0.08 or close < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "LOW_VOLATILITY": position *= 1.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.4% | 0.2% | 6.1% | -0.9% |
| Total Return | -30.3% | 0.7% | 24.9% | -12.4% |
| Sharpe | -0.32 | 0.08 | 0.53 | -0.01 |
| Sortino | -0.23 | 0.06 | 0.41 | -0.01 |
| Calmar | -0.09 | 0.02 | 0.40 | -0.02 |
| Volatility | 12.1% | 11.7% | 12.7% | 12.1% |
| Max DD | -47.0% | -15.9% | -15.3% | -50.9% |
| Win Rate | 43.1% | 43.2% | 55.8% | 46.7% |
| Avg Win | 1.3% | 1.6% | 1.7% | 1.5% |
| Avg Loss | -1.3% | -1.2% | -1.6% | -1.3% |
| Payoff | 1.04 | 1.40 | 1.03 | 1.13 |
| Expectancy | -0.2% | 0.0% | 0.2% | -0.0% |
| Profit Factor | 0.79 | 1.07 | 1.30 | 0.99 |
| Trades | 211 | 81 | 113 | 405 |
| Avg Holding Days | 2.5 | 2.3 | 2.1 | 2.4 |
| Turnover | 32.7 | 35.4 | 39.5 | 35.0 |
| Exposure | 10.3% | 8.8% | 8.9% | 9.6% |
Growth of $100
PriceMomentum_V1520 vs TSLA Buy & Hold
PriceMomentum_V1520 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 | -8.9% | -1.06 | -10.6% | 31 |
| 2017 | 4.8% | 0.86 | -3.8% | 18 |
| 2018 | -7.1% | -0.92 | -7.0% | 31 |
| 2019 | 2.2% | 0.27 | -6.0% | 25 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.7% | 0.39 | -13.3% | 53 |
| 2022 | -4.7% | -0.51 | -5.4% | 28 |
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 | -1.5% | -1.27 | 0% |
| hidden test | EXPENSIVE | 83 | 34.5% | 2.70 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 7.9% | 0.81 | 3% |
| hidden test | LOW VOLATILITY | 443 | 13.7% | 1.03 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -6.9% | -0.50 | 7% |
| hidden test | NORMAL | 816 | 4.3% | 0.33 | 10% |
| hidden test | SIDEWAYS | 298 | 3.1% | 0.24 | 14% |
| hidden test | UPTREND | 371 | 15.7% | 0.95 | 11% |
| train | DOWNTREND | 518 | -4.6% | -1.38 | 1% |
| train | EXPENSIVE | 311 | 9.5% | 1.80 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.1% | 0.22 | 3% |
| train | LOW VOLATILITY | 745 | 1.2% | 0.09 | 20% |
| train | MEDIUM VOLATILITY | 568 | -17.7% | -1.57 | 6% |
| train | NORMAL | 1,601 | -6.6% | -0.50 | 13% |
| train | SIDEWAYS | 592 | -2.7% | -0.25 | 11% |
| train | UPTREND | 902 | -4.1% | -0.26 | 15% |
| 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 | -6.5% | -0.85 | 2% |
| validation | LOW VOLATILITY | 183 | 2.0% | 0.15 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 6.4% | 0.47 | 7% |
| validation | NORMAL | 474 | 1.5% | 0.10 | 14% |
| validation | SIDEWAYS | 206 | -14.4% | -1.37 | 12% |
| validation | UPTREND | 425 | 8.6% | 0.63 | 10% |
Trades (full period)
latest 100 of 405
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.48% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 2 | |
| 2026-07-10 | 2026-07-13 | $407.76 | $394.76 | 0.03% | 2 | |
| 2026-07-08 | 2026-07-09 | $394.06 | $406.55 | -0.79% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.15% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.35% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.09% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.25% | 2 | |
| 2025-12-11 | 2026-01-02 | $446.89 | $438.07 | -0.40% | 15 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.67% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.75% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.99% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.00% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.31% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.10% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.72% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 0.96% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 1.27% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 4.77% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.99% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.88% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.26% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.49% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.65% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 4.01% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.16% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.00% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.22% | 2 | |
| 2024-09-09 | 2024-09-10 | $216.27 | $226.17 | 0.80% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.63% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.03% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -1.92% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -4.11% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 1.62% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.03% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 0.44% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 0.91% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.20% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.55% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.48% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -0.93% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -1.97% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.87% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.36% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.78% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.11% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.09% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.29% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 |