Strategy Zoo / S1542
PriceMomentum_V1542
ARCHIVEDhybridllmAdded regime gates to avoid entries in downtrends, high volatility, and extreme bubble conditions; added a 200-SMA distance gate to avoid buying when price is far below long-term average; expanded exit to include SMA-50 breakdown and a 1-day stop-loss to cut sudden drops; reduced base position size to 0.7 to lower risk exposure.
Fitness
0.3678
Generation
71
Complexity
38
Created
2026-10-14
Lineage
Parents (1)
changed dist_sma_50 threshold -0.0774 -> -0.2357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1542 [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) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.2357) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close)) and dist_sma_200 > -0.3):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.9% | 24.2% | 1.2% | 7.2% |
| Total Return | 36.2% | 91.6% | 4.5% | 178.5% |
| Sharpe | 0.35 | 1.28 | 0.15 | 0.53 |
| Sortino | 0.25 | 1.17 | 0.11 | 0.40 |
| Calmar | 0.14 | 1.44 | 0.05 | 0.25 |
| Volatility | 14.0% | 18.3% | 15.1% | 15.3% |
| Max DD | -28.4% | -16.8% | -25.9% | -28.4% |
| Win Rate | 38.9% | 51.2% | 28.6% | 40.4% |
| Avg Win | 4.7% | 5.4% | 8.1% | 5.7% |
| Avg Loss | -2.3% | -2.0% | -2.7% | -2.4% |
| Payoff | 1.99 | 2.71 | 2.99 | 2.43 |
| Expectancy | 0.4% | 1.8% | 0.4% | 0.9% |
| Profit Factor | 1.26 | 2.84 | 1.19 | 1.65 |
| Trades | 72 | 41 | 28 | 141 |
| Avg Holding Days | 6.3 | 5.6 | 7.6 | 6.5 |
| Turnover | 12.7 | 19.1 | 10.6 | 13.4 |
| Exposure | 13.8% | 17.4% | 14.0% | 14.6% |
Growth of $100
PriceMomentum_V1542 vs TSLA Buy & Hold
PriceMomentum_V1542 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 | 0.7% | 0.12 | -5.0% | 5 |
| 2017 | 15.9% | 1.19 | -9.0% | 14 |
| 2018 | -4.8% | -0.68 | -8.5% | 3 |
| 2019 | 3.9% | 0.29 | -17.3% | 4 |
| 2020 | 62.6% | 2.67 | -7.4% | 11 |
| 2021 | 16.9% | 0.83 | -16.7% | 24 |
| 2022 | 0.8% | 0.12 | -14.6% | 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 | -2.4% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 31.1% | 1.56 | 19% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.6% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 443 | 18.2% | 1.16 | 21% |
| hidden test | MEDIUM VOLATILITY | 251 | -15.6% | -0.93 | 15% |
| hidden test | NORMAL | 817 | -0.5% | -0.03 | 14% |
| hidden test | SIDEWAYS | 298 | -23.1% | -1.39 | 23% |
| hidden test | UPTREND | 371 | 26.4% | 1.40 | 17% |
| train | DOWNTREND | 518 | -5.6% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 34.5% | 1.93 | 21% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.8% | 0.64 | 1% |
| train | LOW VOLATILITY | 745 | 14.5% | 1.10 | 25% |
| train | MEDIUM VOLATILITY | 568 | -12.7% | -0.83 | 15% |
| train | NORMAL | 1,601 | -1.1% | -0.08 | 13% |
| train | SIDEWAYS | 592 | -7.5% | -0.53 | 17% |
| train | UPTREND | 902 | 18.9% | 1.11 | 19% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 84.2% | 3.33 | 29% |
| validation | EXTREME | 144 | 37.2% | 2.86 | 2% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 0.3% | 0.02 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 62.6% | 2.53 | 24% |
| validation | NORMAL | 474 | 1.4% | 0.08 | 18% |
| validation | SIDEWAYS | 206 | -3.8% | -0.24 | 18% |
| validation | UPTREND | 425 | 43.3% | 2.00 | 22% |
Trades (full period)
latest 100 of 142
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.55% | 5 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.03% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.88% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.74% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 15.37% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.52% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 23.89% | 18 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.24% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.78% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.49% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.75% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.52% | 5 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 18.67% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 0.82% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.45% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.18% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.62% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.22% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.17% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -2.25% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -0.76% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.44% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.20% | 2 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 0.78% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.52% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.61% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.47% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.93% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 13.99% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.96% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.57% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.72% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.02% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 30.13% | 14 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -2.83% | 3 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.48% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.69% | 2 | |
| 2020-05-29 | 2020-06-01 | $55.67 | $59.87 | 2.39% | 2 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 34.73% | 25 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.52% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.73% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -5.63% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.25% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.76% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.91% | 3 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -1.14% | 3 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.53% | 10 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.06% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.70% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 11.66% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.02% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 9.21% | 25 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.68% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.87% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.48% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.18% | 4 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.77% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.08% | 13 |