Strategy Zoo / S1524
PriceMomentum_V1524
ARCHIVEDhybridllmAdded trend and bubble regime gates to avoid entering in clear downtrends and bubble states; reworked entry to require momentum plus clean trend (cross or positive short/long SMA slopes) and avoid high percentile volatility and overbought RSI; relaxed alternative high-breakout path retained; strengthened exit rules (larger 20d stop, drawdown cap, and volatility-spike + negative 1d filter) to reduce drawdown and whipsaws; introduced graduated position scaling by volatility and reduced base position to lower risk.
Fitness
0.1881
Generation
70
Complexity
24
Created
2026-10-13
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1524 [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 (close > sma_50 and sma_50_slope > 0.0)) and vol_pctile < 80.0 and rsi_14 < 75.0) or ret_20d > 0.184):
position = 0.8
if long and (ret_20d < -0.02 or drawdown > 0.12 or (vol_pctile > 90.0 and ret_1d < 0.0)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.7% | 4.6% | 6.2% | 4.0% |
| Total Return | 24.0% | 14.3% | 25.5% | 77.9% |
| Sharpe | 0.25 | 0.36 | 0.43 | 0.32 |
| Sortino | 0.19 | 0.27 | 0.30 | 0.23 |
| Calmar | 0.08 | 0.21 | 0.36 | 0.12 |
| Volatility | 15.2% | 15.6% | 17.7% | 15.9% |
| Max DD | -34.4% | -22.1% | -17.4% | -34.4% |
| Win Rate | 42.4% | 37.5% | 40.0% | 41.1% |
| Avg Win | 6.8% | 14.8% | 11.9% | 9.2% |
| Avg Loss | -3.5% | -4.8% | -4.6% | -4.0% |
| Payoff | 1.95 | 3.07 | 2.56 | 2.29 |
| Expectancy | 0.9% | 2.5% | 2.0% | 1.4% |
| Profit Factor | 1.44 | 1.84 | 1.71 | 1.60 |
| Trades | 33 | 8 | 15 | 56 |
| Avg Holding Days | 16.7 | 24.9 | 16.6 | 17.8 |
| Turnover | 6.0 | 3.9 | 6.4 | 5.7 |
| Exposure | 16.9% | 16.8% | 16.6% | 16.8% |
Growth of $100
PriceMomentum_V1524 vs TSLA Buy & Hold
PriceMomentum_V1524 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 | -3.1% | -0.31 | -8.5% | 3 |
| 2017 | 12.8% | 1.80 | -4.3% | 4 |
| 2018 | -14.1% | -1.06 | -19.4% | 6 |
| 2019 | 12.2% | 0.64 | -17.3% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 36.2% | 1.53 | -10.5% | 4 |
| 2022 | -16.1% | -1.01 | -21.5% | 4 |
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 | -2.4% | -1.38 | 1% |
| hidden test | EXPENSIVE | 83 | 38.0% | 2.69 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -4.6% | -0.30 | 6% |
| hidden test | LOW VOLATILITY | 443 | 21.7% | 1.22 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.0% | -0.25 | 14% |
| hidden test | NORMAL | 816 | 5.0% | 0.27 | 19% |
| hidden test | SIDEWAYS | 298 | -5.8% | -0.31 | 26% |
| hidden test | UPTREND | 371 | 25.9% | 1.14 | 21% |
| train | DOWNTREND | 518 | -3.4% | -0.69 | 1% |
| train | EXPENSIVE | 311 | 8.5% | 1.64 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.3% | 0.02 | 5% |
| train | LOW VOLATILITY | 745 | 17.6% | 1.08 | 31% |
| train | MEDIUM VOLATILITY | 568 | -9.9% | -0.75 | 12% |
| train | NORMAL | 1,601 | 3.2% | 0.19 | 21% |
| train | SIDEWAYS | 592 | -9.5% | -0.62 | 19% |
| train | UPTREND | 902 | 16.8% | 0.91 | 25% |
| 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 | -7.0% | -0.79 | 3% |
| validation | LOW VOLATILITY | 183 | 21.2% | 1.21 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 7.1% | 0.38 | 14% |
| validation | NORMAL | 474 | 9.1% | 0.46 | 27% |
| validation | SIDEWAYS | 206 | -9.4% | -0.50 | 25% |
| validation | UPTREND | 425 | 14.6% | 0.91 | 17% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -4.62% | 16 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 12.89% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-06-02 | 2025-06-12 | $342.69 | $319.11 | -6.90% | 9 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.28% | 4 | |
| 2025-05-12 | 2025-05-15 | $318.38 | $342.82 | 6.94% | 4 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -7.51% | 27 | |
| 2024-06-25 | 2024-08-02 | $187.35 | $207.67 | 20.35% | 28 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.67% | 3 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.43% | 36 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -7.49% | 13 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 24.53% | 44 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -5.66% | 18 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.85% | 20 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.50% | 26 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -6.31% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 39.31% | 84 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 4.30% | 30 | |
| 2021-04-14 | 2021-05-05 | $244.08 | $223.65 | -7.13% | 16 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 0.90% | 6 | |
| 2019-10-16 | 2019-12-17 | $17.32 | $25.27 | 26.60% | 44 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -3.05% | 12 | |
| 2019-07-22 | 2019-08-08 | $17.05 | $15.89 | -8.57% | 14 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.17% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -2.04% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -4.02% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -2.14% | 18 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -3.91% | 5 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -4.82% | 23 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.54% | 10 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 0.34% | 2 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.58% | 2 | |
| 2016-12-30 | 2017-01-25 | $14.25 | $16.96 | 14.49% | 17 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -2.50% | 18 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 4.07% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.09% | 4 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -0.77% | 2 | |
| 2015-09-22 | 2015-10-02 | $17.40 | $16.50 | -7.04% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.77% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -3.97% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 4.34% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.07% | 5 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 0.51% | 2 | |
| 2013-03-26 | 2013-04-11 | $2.52 | $2.91 | 11.81% | 12 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 5.35% | 45 | |
| 2012-08-24 | 2012-08-29 | $1.97 | $1.89 | -1.90% | 4 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 3.55% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 6.75% | 47 |