Strategy Zoo / S1537
PriceMomentum_V1537
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-vol regimes; simplified and tightened trend-follow leg; added volatility-based position scaling; improved exits with 1-day stop and drawdown cap to reduce tail risk; lowered base exposure to 0.8.
Fitness
0.3576
Generation
71
Complexity
18
Created
2026-10-14
Lineage
Parents (1)
changed dist_sma_50 threshold -0.0774 -> -0.2357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1537 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.12 and breakout_20 == 1) or (macd_hist > 0.0 and close > sma_50 and (sma_50 > sma_200 or sma_200_slope > -0.001) and dist_sma_50 > -0.3)):
position = 0.8
if long and (macd_hist < 0.0 or ret_1d < -0.07 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.1% | 24.0% | 1.4% | 7.3% |
| Total Return | 37.7% | 90.5% | 5.2% | 182.6% |
| Sharpe | 0.40 | 1.26 | 0.17 | 0.59 |
| Sortino | 0.23 | 0.91 | 0.07 | 0.34 |
| Calmar | 0.25 | 1.16 | 0.09 | 0.34 |
| Volatility | 11.8% | 18.3% | 12.0% | 13.5% |
| Max DD | -16.5% | -20.7% | -14.9% | -21.3% |
| Win Rate | 40.4% | 50.0% | 52.9% | 46.4% |
| Avg Win | 4.5% | 7.9% | 2.7% | 5.1% |
| Avg Loss | -2.2% | -2.2% | -2.6% | -2.3% |
| Payoff | 2.04 | 3.59 | 1.04 | 2.20 |
| Expectancy | 0.5% | 2.8% | 0.2% | 1.1% |
| Profit Factor | 1.38 | 3.59 | 1.17 | 1.91 |
| Trades | 52 | 26 | 34 | 112 |
| Avg Holding Days | 5.1 | 5.0 | 2.9 | 4.5 |
| Turnover | 10.5 | 13.9 | 14.5 | 12.2 |
| Exposure | 8.9% | 11.1% | 5.4% | 8.5% |
Growth of $100
PriceMomentum_V1537 vs TSLA Buy & Hold
PriceMomentum_V1537 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 | 0.6% | 0.13 | -5.3% | 7 |
| 2017 | 13.9% | 0.99 | -11.0% | 19 |
| 2018 | -6.3% | -1.20 | -6.3% | 2 |
| 2019 | 13.2% | 1.66 | -3.0% | 0 |
| 2020 | 44.3% | 2.00 | -7.1% | 6 |
| 2021 | 35.9% | 1.56 | -16.0% | 15 |
| 2022 | -14.8% | -1.99 | -14.7% | 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 | 279 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 33.9% | 1.56 | 17% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.8% | -1.76 | 1% |
| hidden test | LOW VOLATILITY | 443 | 11.3% | 1.02 | 7% |
| hidden test | MEDIUM VOLATILITY | 251 | 7.9% | 0.56 | 6% |
| hidden test | NORMAL | 817 | -1.0% | -0.10 | 5% |
| hidden test | SIDEWAYS | 298 | -9.9% | -1.46 | 1% |
| hidden test | UPTREND | 371 | 13.2% | 0.73 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 37.0% | 1.87 | 22% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.4% | 0.85 | 1% |
| train | LOW VOLATILITY | 745 | 9.4% | 0.79 | 18% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.59 | 7% |
| train | NORMAL | 1,601 | -1.9% | -0.19 | 7% |
| train | SIDEWAYS | 592 | -1.8% | -0.68 | 0% |
| train | UPTREND | 902 | 11.7% | 0.66 | 20% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.8% | 2.97 | 28% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | 16.8% | 1.54 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 44.9% | 1.89 | 17% |
| validation | NORMAL | 474 | 4.9% | 0.30 | 9% |
| validation | SIDEWAYS | 206 | -6.8% | -1.14 | 0% |
| validation | UPTREND | 425 | 44.4% | 1.85 | 20% |
Trades (full period)
latest 100 of 112
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 3.78% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 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 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 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 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 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 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.87% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.15% | 5 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.35% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 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 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.52% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 19.26% | 6 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 24.77% | 13 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.78% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 40.42% | 25 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.29% | 8 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.92% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 13.40% | 8 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 4.52% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.25% | 2 | |
| 2017-01-20 | 2017-02-02 | $16.32 | $16.77 | 1.64% | 10 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.78% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.68% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.21% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.36% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.66% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -1.79% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.58% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.33% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 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 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.13% | 8 | |
| 2015-05-11 | 2015-05-12 | $15.97 | $16.32 | 0.81% | 2 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.52% | 2 | |
| 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 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.41% | 2 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 |