Strategy Zoo / S1523
PriceMomentum_V1523
ARCHIVEDhybridllm1) Added regime gates: restrict to UPTREND/SIDEWAYS and non-EXTREME volatility/bubble to avoid bad market regimes. 2) Tightened entry: require short-term momentum or 20d breakout plus positive 50-day slope and RSI <70, and a mild long-term cumulative return filter to avoid deeply degraded regimes. 3) Improved exits: add 20d loss stop, portfolio drawdown cut, and 50/200 MA cross for timely exits. 4) Position sizing: reduce size in HIGH volatility and when bubble=EXPENSIVE, full size in LOW volatility; lowered base position to 0.8 to reduce risk.
Fitness
0.2630
Generation
70
Complexity
17
Created
2026-10-13
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1523 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.06 or breakout_20 > 0.0) and sma_50_slope > 0.0 and rsi_14 < 70.0 and cumret_252d > -0.1):
position = 0.8
if long and (ret_20d < -0.03 or drawdown < -0.1 or sma_50 < sma_200):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.bubble == "EXPENSIVE": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 16.2% | -6.6% | 1.7% |
| Total Return | 4.6% | 56.7% | -22.6% | 28.4% |
| Sharpe | 0.11 | 1.15 | -0.68 | 0.21 |
| Sortino | 0.07 | 0.77 | -0.30 | 0.12 |
| Calmar | 0.02 | 0.71 | -0.28 | 0.05 |
| Volatility | 11.2% | 13.9% | 9.4% | 11.4% |
| Max DD | -27.1% | -22.7% | -23.3% | -37.1% |
| Win Rate | 40.5% | 51.2% | 38.9% | 43.0% |
| Avg Win | 2.3% | 3.8% | 1.7% | 2.8% |
| Avg Loss | -1.6% | -1.6% | -2.2% | -1.7% |
| Payoff | 1.45 | 2.42 | 0.78 | 1.63 |
| Expectancy | -0.0% | 1.2% | -0.7% | 0.2% |
| Profit Factor | 0.99 | 2.53 | 0.50 | 1.23 |
| Trades | 79 | 43 | 36 | 158 |
| Avg Holding Days | 4.4 | 4.0 | 3.0 | 4.0 |
| Turnover | 14.7 | 20.8 | 14.1 | 15.7 |
| Exposure | 8.9% | 9.7% | 5.0% | 8.1% |
Growth of $100
PriceMomentum_V1523 vs TSLA Buy & Hold
PriceMomentum_V1523 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 | -5.0% | -0.94 | -9.1% | 13 |
| 2017 | 3.6% | 0.44 | -8.0% | 11 |
| 2018 | -11.6% | -1.70 | -11.6% | 9 |
| 2019 | 7.0% | 1.13 | -2.4% | 4 |
| 2020 | 31.6% | 2.75 | -3.2% | 5 |
| 2021 | 18.0% | 0.92 | -18.2% | 24 |
| 2022 | -0.6% | -0.03 | -8.3% | 14 |
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 | 18.6% | 1.05 | 13% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.2% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 443 | -3.6% | -0.33 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.6% | -1.19 | 5% |
| hidden test | NORMAL | 816 | -9.3% | -1.12 | 4% |
| hidden test | SIDEWAYS | 298 | -16.2% | -1.89 | 3% |
| hidden test | UPTREND | 371 | -3.3% | -0.26 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 15.5% | 1.24 | 14% |
| train | EXTREME | 100 | 4.7% | 1.55 | 0% |
| train | HIGH VOLATILITY | 699 | 7.2% | 0.81 | 1% |
| train | LOW VOLATILITY | 745 | 11.6% | 0.89 | 17% |
| train | MEDIUM VOLATILITY | 568 | -19.9% | -1.78 | 8% |
| train | NORMAL | 1,601 | -1.8% | -0.16 | 8% |
| train | SIDEWAYS | 592 | 0.6% | 0.13 | 3% |
| train | UPTREND | 902 | 2.3% | 0.14 | 18% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 43.6% | 2.96 | 19% |
| validation | EXTREME | 144 | 18.9% | 2.61 | 1% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 8.8% | 0.90 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 38.5% | 2.14 | 14% |
| validation | NORMAL | 474 | 7.0% | 0.46 | 10% |
| validation | SIDEWAYS | 206 | 9.2% | 1.44 | 2% |
| validation | UPTREND | 425 | 23.9% | 1.33 | 16% |
Trades (full period)
latest 100 of 158
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -3.96% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.06% | 19 | |
| 2025-10-24 | 2025-11-10 | $433.72 | $445.23 | -1.66% | 12 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.69% | 2 | |
| 2025-10-07 | 2025-10-13 | $433.09 | $435.90 | -3.63% | 5 | |
| 2025-09-26 | 2025-10-06 | $440.40 | $453.25 | 0.59% | 7 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 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 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.09% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.12% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.11% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.77% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.58% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.95% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.47% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -3.49% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -5.35% | 4 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.26% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.23% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.85% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.10% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.06% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.54% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.40% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -1.90% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 2.45% | 2 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -1.70% | 8 | |
| 2021-01-12 | 2021-02-01 | $283.15 | $279.94 | -0.85% | 14 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 16.56% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 11.88% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.22% | 2 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -1.97% | 3 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 1.96% | 4 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 21.33% | 26 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-10-23 | 2019-10-24 | $16.98 | $19.98 | -0.44% | 2 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -1.69% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.42% | 2 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -4.93% | 11 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.01% | 2 | |
| 2018-02-05 | 2018-02-06 | $22.21 | $22.26 | -2.63% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.30% | 2 | |
| 2018-01-30 | 2018-01-31 | $23.05 | $23.62 | -1.01% | 2 | |
| 2018-01-26 | 2018-01-29 | $22.86 | $23.30 | 1.07% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -1.72% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.19% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.76% | 2 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -3.81% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.39% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.05% | 2 | |
| 2017-07-03 | 2017-07-06 | $23.51 | $20.59 | -3.94% | 3 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 4.10% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 2.05% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.47% | 2 |