Strategy Zoo / S1541
PriceMomentum_V1541
ARCHIVEDhybridllm1) Simplified and consolidated entry into two clear legs: momentum breakout (ret_20d + breakout_20) OR trend-follow (above sma_200, positive sma_200_slope, positive macd_hist, above sma_50). 2) Added an explicit ema_20 filter to ensure short-term confirmation. 3) Reworked exit to a composite OR: macd_hist < 0 OR significant drawdown (< -12%) OR price falling below sma_50 for faster loss cutting. 4) Introduced regime gates: allow only UPTREND/SIDEWAYS, avoid HIGH_VOLATILITY and EXTREME bubble regimes to reduce blow-ups. 5) Reduced base position to 0.6 and added volatility-based sizing (full size in low vol_pctile, trimmed in high vol_pctile) to lower drawdown and turnover risk.
Fitness
0.3293
Generation
71
Complexity
19
Created
2026-10-14
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0957
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1541 [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 > 0.184 and breakout_20 == 1) or (close > sma_200 and sma_200_slope > -0.0024 and macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200)) and close > ema_20):
position = 0.6
if long and (macd_hist < 0.0 or drawdown < -0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.5% | 21.3% | -3.1% | 3.6% |
| Total Return | 3.8% | 78.6% | -11.2% | 67.5% |
| Sharpe | 0.10 | 1.51 | -0.35 | 0.39 |
| Sortino | 0.05 | 1.17 | -0.17 | 0.24 |
| Calmar | 0.02 | 1.40 | -0.15 | 0.14 |
| Volatility | 9.7% | 13.4% | 8.1% | 10.2% |
| Max DD | -20.3% | -15.3% | -20.8% | -26.1% |
| Win Rate | 37.1% | 53.7% | 47.3% | 44.6% |
| Avg Win | 2.8% | 3.9% | 1.3% | 2.8% |
| Avg Loss | -1.7% | -1.1% | -1.5% | -1.5% |
| Payoff | 1.65 | 3.49 | 0.84 | 1.82 |
| Expectancy | -0.0% | 1.6% | -0.2% | 0.4% |
| Profit Factor | 0.98 | 4.04 | 0.75 | 1.47 |
| Trades | 70 | 41 | 55 | 166 |
| Avg Holding Days | 4.3 | 3.8 | 2.5 | 3.6 |
| Turnover | 10.6 | 16.4 | 17.5 | 13.5 |
| Exposure | 7.2% | 9.0% | 5.3% | 7.1% |
Growth of $100
PriceMomentum_V1541 vs TSLA Buy & Hold
PriceMomentum_V1541 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 | 1.1% | 0.27 | -4.4% | 9 |
| 2017 | 4.4% | 0.47 | -6.9% | 19 |
| 2018 | -2.9% | -0.75 | -4.6% | 1 |
| 2019 | 0.7% | 0.12 | -8.3% | 1 |
| 2020 | 40.2% | 2.24 | -5.3% | 6 |
| 2021 | 30.1% | 1.72 | -11.6% | 26 |
| 2022 | -4.2% | -0.73 | -7.1% | 9 |
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 | -14.9% | -1.17 | 11% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.3% | -1.03 | 0% |
| hidden test | LOW VOLATILITY | 443 | 3.2% | 0.36 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | -11.1% | -1.25 | 6% |
| hidden test | NORMAL | 817 | -1.8% | -0.23 | 5% |
| hidden test | SIDEWAYS | 298 | -10.3% | -1.38 | 6% |
| hidden test | UPTREND | 371 | 1.0% | 0.09 | 8% |
| train | DOWNTREND | 518 | -0.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 28.4% | 1.92 | 17% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 3.7% | 0.38 | 1% |
| train | LOW VOLATILITY | 745 | 4.6% | 0.48 | 14% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.74 | 7% |
| train | NORMAL | 1,601 | -4.8% | -0.56 | 6% |
| train | SIDEWAYS | 592 | -7.2% | -0.83 | 5% |
| train | UPTREND | 902 | 6.8% | 0.54 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 69.5% | 3.29 | 21% |
| validation | EXTREME | 144 | 23.1% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 21.4% | 2.65 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 41.9% | 2.24 | 15% |
| validation | NORMAL | 474 | 5.0% | 0.45 | 8% |
| validation | SIDEWAYS | 206 | -1.8% | -0.35 | 5% |
| validation | UPTREND | 425 | 36.9% | 2.11 | 13% |
Trades (full period)
latest 100 of 166
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.53% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.30% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.85% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.67% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.46% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.70% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.68% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.06% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.79% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.16% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.19% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -2.20% | 4 | |
| 2022-03-29 | 2022-04-01 | $366.52 | $361.53 | -0.90% | 4 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.92% | 2 | |
| 2021-12-28 | 2021-12-31 | $362.82 | $352.26 | -1.42% | 4 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 15.97% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-10-04 | 2021-10-07 | $260.51 | $264.54 | 0.46% | 4 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.32% | 4 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.08% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.79% | 2 | |
| 2021-09-13 | 2021-09-14 | $247.67 | $248.16 | 0.43% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.26% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.27% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.26% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -1.48% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.03% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.21% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.38% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.00% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 0.60% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -2.09% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.25% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.04% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -2.49% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.52% | 9 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 14.21% | 6 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.45% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.74% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 25.43% | 14 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.33% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.23% | 5 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 29.23% | 25 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -8.28% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2017-12-12 | 2017-12-15 | $22.74 | $22.90 | 1.53% | 4 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 |