Strategy Zoo / S1540
PriceMomentum_V1540
ARCHIVEDhybridllmAdded momentum confirmation (macd crossover OR momentum_60>0) and an RSI cap to avoid overbought entries; enforced price above/positive-slope 200SMA OR strong 20d return as original signal; tightened exit to a larger stop (ret_20d<-2%) or MACD bearish cross for cleaner exits; added regime gates to avoid trading in downtrends and extreme bubble states; introduced graduated position scaling by volatility and reduced base position to lower risk and improve out-of-sample robustness.
Fitness
0.3809
Generation
71
Complexity
19
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1540 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((ret_20d > 0.05 and close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.18) and (macd > macd_signal or momentum_60 > 0.0) and rsi_14 < 75.0):
position = 0.85
if long and (ret_20d < -0.02 or macd < macd_signal):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "LOW_VOLATILITY": position *= 1.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.7% | 28.8% | 4.5% | 8.2% |
| Total Return | 23.7% | 113.8% | 18.2% | 220.5% |
| Sharpe | 0.26 | 1.56 | 0.38 | 0.60 |
| Sortino | 0.19 | 1.52 | 0.28 | 0.47 |
| Calmar | 0.09 | 2.11 | 0.22 | 0.28 |
| Volatility | 14.2% | 17.2% | 14.6% | 15.0% |
| Max DD | -29.4% | -13.6% | -20.3% | -29.4% |
| Win Rate | 47.5% | 66.7% | 42.5% | 51.3% |
| Avg Win | 2.9% | 3.7% | 3.6% | 3.4% |
| Avg Loss | -2.2% | -2.1% | -1.8% | -2.1% |
| Payoff | 1.30 | 1.73 | 2.02 | 1.63 |
| Expectancy | 0.2% | 1.8% | 0.5% | 0.7% |
| Profit Factor | 1.17 | 3.46 | 1.49 | 1.72 |
| Trades | 101 | 48 | 40 | 189 |
| Avg Holding Days | 5.6 | 5.1 | 5.8 | 5.6 |
| Turnover | 17.7 | 18.7 | 14.3 | 17.0 |
| Exposure | 14.8% | 16.8% | 13.9% | 15.0% |
Growth of $100
PriceMomentum_V1540 vs TSLA Buy & Hold
PriceMomentum_V1540 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 | -1.2% | -0.11 | -4.7% | 4 |
| 2017 | 4.7% | 0.41 | -11.0% | 19 |
| 2018 | -5.6% | -0.72 | -9.3% | 10 |
| 2019 | -6.6% | -0.40 | -14.2% | 5 |
| 2020 | 58.1% | 2.82 | -4.8% | 14 |
| 2021 | 35.4% | 1.48 | -12.6% | 25 |
| 2022 | -0.2% | 0.04 | -7.8% | 8 |
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 | -2.5% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 25.6% | 1.00 | 28% |
| hidden test | EXTREME | 48 | 45.8% | 4.90 | 3% |
| hidden test | HIGH VOLATILITY | 254 | 17.5% | 1.66 | 5% |
| hidden test | LOW VOLATILITY | 443 | 20.6% | 1.21 | 20% |
| hidden test | MEDIUM VOLATILITY | 251 | -33.3% | -2.53 | 12% |
| hidden test | NORMAL | 817 | 1.1% | 0.08 | 13% |
| hidden test | SIDEWAYS | 298 | -3.5% | -0.24 | 21% |
| hidden test | UPTREND | 371 | 18.7% | 0.97 | 18% |
| train | DOWNTREND | 518 | -3.3% | -1.02 | 0% |
| train | EXPENSIVE | 311 | 19.3% | 1.02 | 27% |
| train | EXTREME | 100 | 27.8% | 2.95 | 2% |
| train | HIGH VOLATILITY | 699 | 9.0% | 0.64 | 7% |
| train | LOW VOLATILITY | 745 | 10.7% | 0.70 | 25% |
| train | MEDIUM VOLATILITY | 568 | -12.1% | -0.94 | 11% |
| train | NORMAL | 1,601 | -0.9% | -0.06 | 13% |
| train | SIDEWAYS | 592 | -1.4% | -0.10 | 15% |
| train | UPTREND | 902 | 11.0% | 0.62 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 82.6% | 3.62 | 26% |
| validation | EXTREME | 144 | 28.0% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.9% | -0.67 | 2% |
| validation | LOW VOLATILITY | 183 | 25.1% | 1.52 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 54.6% | 2.47 | 20% |
| validation | NORMAL | 474 | 10.2% | 0.61 | 19% |
| validation | SIDEWAYS | 206 | 6.4% | 0.44 | 18% |
| validation | UPTREND | 425 | 44.6% | 2.17 | 21% |
Trades (full period)
latest 100 of 189
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.18% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.63% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.49% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.02% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.32% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.05% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.01% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.20% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -3.07% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.14% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.03% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.55% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.76% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.80% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.96% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.82% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.64% | 9 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.23% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 6.37% | 16 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 2.38% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 0.97% | 2 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -0.56% | 3 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 1.07% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.78% | 4 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 6.01% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.31% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 0.74% | 21 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.67% | 2 | |
| 2024-07-12 | 2024-07-22 | $248.23 | $251.51 | -0.24% | 7 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.82% | 10 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.93% | 19 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -6.44% | 10 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.16% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.81% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.24% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.88% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 16.57% | 19 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -0.97% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -0.82% | 2 | |
| 2023-02-13 | 2023-02-23 | $194.64 | $202.07 | 0.68% | 8 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.46% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.17% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.29% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 6.73% | 15 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.04% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.60% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.07% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -3.48% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.25% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 0.46% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.14% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 1.15% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -0.90% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 26.41% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.04% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.75% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.72% | 10 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.08% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.08% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.97% | 10 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.18% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 6.40% | 20 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.42% | 12 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 0.87% | 6 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.35% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.35% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.10% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.50% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 11.82% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.81% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.09% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.33% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.44% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.73% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 18.04% | 13 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.32% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.64% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 0.50% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 0.75% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.05% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 3.19% | 2 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 2.95% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.44% | 2 | |
| 2019-12-18 | 2020-01-22 | $26.21 | $37.97 | 35.26% | 23 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.17% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.52% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.39% | 2 | |
| 2019-10-30 | 2019-11-21 | $21.00 | $23.66 | 3.24% | 17 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.73% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -2.42% | 4 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.44% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.26% | 2 | |
| 2018-10-29 | 2018-11-21 | $22.32 | $22.55 | 1.48% | 18 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -0.39% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -0.65% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.16% | 2 |