Strategy Zoo / S1543
PriceMomentum_V1543
ARCHIVEDhybridllmSimplified and tightened entry to robust momentum (require macd_hist>0 and price>50SMA and either 20/50-day breakout or strong 20d return). Added protective exits: macd_hist<0, price under 20SMA, or drawdown stop. Added regime gates to avoid high volatility and extreme bubble states. Reduced base position to 0.8 for risk control.
Fitness
0.2943
Generation
71
Complexity
15
Created
2026-10-14
Lineage
Parents (1)
entry = PriceMomentum_V1210 OR LongTermTrend_V1083
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1543 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((breakout_20 == 1 or breakout_50 == 1 or ret_20d > 0.12) and macd_hist > 0.0 and close > sma_50 and sma_200_slope > -0.002):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_20 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.1% | 17.3% | -0.8% | 5.0% |
| Total Return | 27.7% | 61.6% | -2.9% | 105.1% |
| Sharpe | 0.36 | 1.03 | -0.01 | 0.46 |
| Sortino | 0.18 | 0.64 | -0.00 | 0.23 |
| Calmar | 0.21 | 0.64 | -0.05 | 0.16 |
| Volatility | 9.8% | 17.0% | 11.5% | 12.0% |
| Max DD | -15.1% | -27.3% | -15.4% | -31.0% |
| Win Rate | 45.5% | 34.8% | 56.0% | 45.7% |
| Avg Win | 3.6% | 11.2% | 2.7% | 5.0% |
| Avg Loss | -2.1% | -2.2% | -3.6% | -2.4% |
| Payoff | 1.72 | 5.08 | 0.76 | 2.06 |
| Expectancy | 0.5% | 2.5% | -0.0% | 1.0% |
| Profit Factor | 1.43 | 2.71 | 0.97 | 1.73 |
| Trades | 44 | 23 | 25 | 92 |
| Avg Holding Days | 4.8 | 4.7 | 2.9 | 4.4 |
| Turnover | 8.9 | 12.3 | 10.6 | 10.0 |
| Exposure | 7.1% | 9.0% | 4.1% | 6.7% |
Growth of $100
PriceMomentum_V1543 vs TSLA Buy & Hold
PriceMomentum_V1543 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% | -0.07 | -6.1% | 6 |
| 2017 | 12.9% | 1.05 | -8.9% | 16 |
| 2018 | -6.3% | -1.20 | -6.3% | 2 |
| 2019 | 7.6% | 1.31 | -3.0% | 0 |
| 2020 | 43.1% | 1.98 | -6.4% | 5 |
| 2021 | 33.9% | 1.50 | -13.6% | 12 |
| 2022 | -15.9% | -2.16 | -15.8% | 6 |
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 | 25.2% | 1.17 | 15% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.8% | -1.75 | 1% |
| hidden test | LOW VOLATILITY | 443 | 7.3% | 0.74 | 5% |
| hidden test | MEDIUM VOLATILITY | 251 | 6.7% | 0.48 | 5% |
| hidden test | NORMAL | 817 | -2.7% | -0.26 | 3% |
| hidden test | SIDEWAYS | 298 | -6.3% | -1.11 | 1% |
| hidden test | UPTREND | 371 | 4.8% | 0.27 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 31.2% | 1.68 | 19% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.6% | 0.72 | 1% |
| train | LOW VOLATILITY | 745 | 6.8% | 0.63 | 15% |
| train | MEDIUM VOLATILITY | 568 | -3.2% | -0.30 | 5% |
| train | NORMAL | 1,601 | -2.2% | -0.31 | 5% |
| train | SIDEWAYS | 592 | -1.8% | -0.68 | 0% |
| train | UPTREND | 902 | 9.1% | 0.62 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 71.1% | 2.77 | 26% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 12.8% | 1.25 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 42.1% | 1.79 | 14% |
| validation | NORMAL | 474 | -2.3% | -0.16 | 6% |
| validation | SIDEWAYS | 206 | -6.8% | -1.14 | 0% |
| validation | UPTREND | 425 | 34.3% | 1.54 | 16% |
Trades (full period)
92 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.63% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 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 | |
| 2024-09-16 | 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 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.43% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 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 | 2021-10-01 | $259.19 | $258.41 | -1.76% | 4 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 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 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 | |
| 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 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -5.46% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 33.52% | 24 | |
| 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 | |
| 2017-09-18 | 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 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 10.49% | 7 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.29% | 8 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.01% | 2 | |
| 2017-01-24 | 2017-01-31 | $16.97 | $16.80 | 0.40% | 6 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.16% | 2 | |
| 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 | |
| 2016-08-01 | 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 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -0.83% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 0.87% | 5 | |
| 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 | |
| 2015-05-19 | 2015-05-20 | $16.48 | $16.29 | -0.68% | 2 | |
| 2015-05-15 | 2015-05-18 | $16.59 | $16.58 | 1.39% | 2 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.67% | 2 | |
| 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 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 7.86% | 16 | |
| 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 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 5.28% | 16 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-11-27 | 2012-11-28 | $2.14 | $2.22 | -0.46% | 2 | |
| 2012-11-23 | 2012-11-26 | $2.14 | $2.15 | -1.00% | 2 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |