Strategy Zoo / S1544
PriceMomentum_V1544
ARCHIVEDhybridllmSimplified and regularized entry: require 20d momentum + trend/50slope and volume, or a volume-confirmed 20d breakout. Added multi-condition exit: larger 20d stop, drawdown stop, and RSI+day weakness exit. Added regime gate to only trade in UPTREND and avoid EXTREME bubbles. Implemented volatility-based position sizing (low->high). Reduced base position to lower drawdown and overfitting risk.
Fitness
0.3191
Generation
71
Complexity
21
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1544 [hybrid]
require regime.trend in ['UPTREND']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.05 and (close > sma_200 or sma_50_slope > 0.0) and rel_volume > 1.0) or (breakout_20 > 0.0 and rel_volume > 1.2)):
position = 0.6
if long and (ret_20d < -0.06 or drawdown > 0.08 or (rsi_14 > 75.0 and ret_1d < 0.0)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.9
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.2% | 12.8% | 5.4% | 6.3% |
| Total Return | 38.8% | 43.6% | 22.0% | 147.1% |
| Sharpe | 0.50 | 1.24 | 0.55 | 0.68 |
| Sortino | 0.38 | 0.91 | 0.32 | 0.47 |
| Calmar | 0.30 | 0.68 | 0.59 | 0.34 |
| Volatility | 9.0% | 10.2% | 10.5% | 9.6% |
| Max DD | -13.9% | -18.8% | -9.2% | -18.8% |
| Win Rate | 55.3% | 56.3% | 75.0% | 59.1% |
| Avg Win | 4.2% | 6.9% | 4.2% | 4.9% |
| Avg Loss | -3.0% | -3.2% | -5.5% | -3.3% |
| Payoff | 1.40 | 2.15 | 0.78 | 1.47 |
| Expectancy | 1.0% | 2.5% | 1.8% | 1.5% |
| Profit Factor | 1.72 | 2.76 | 2.33 | 2.12 |
| Trades | 38 | 16 | 12 | 66 |
| Avg Holding Days | 14.1 | 11.5 | 15.8 | 13.8 |
| Turnover | 4.8 | 4.6 | 3.3 | 4.3 |
| Exposure | 10.1% | 8.9% | 7.4% | 9.2% |
Growth of $100
PriceMomentum_V1544 vs TSLA Buy & Hold
PriceMomentum_V1544 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 | -5.0% | -1.02 | -7.4% | 3 |
| 2017 | 14.3% | 1.43 | -5.6% | 6 |
| 2018 | -11.3% | -2.24 | -11.2% | 5 |
| 2019 | 10.6% | 2.67 | -0.6% | 3 |
| 2020 | 32.3% | 3.14 | -2.9% | 5 |
| 2021 | 25.2% | 1.77 | -6.8% | 8 |
| 2022 | -14.6% | -2.17 | -14.5% | 3 |
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 | 32.5% | 1.83 | 25% |
| hidden test | EXTREME | 48 | 21.2% | 3.93 | 1% |
| hidden test | HIGH VOLATILITY | 254 | -1.7% | -0.19 | 3% |
| hidden test | LOW VOLATILITY | 443 | 14.7% | 1.61 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | -2.1% | -0.15 | 10% |
| hidden test | NORMAL | 817 | 2.2% | 0.23 | 6% |
| hidden test | SIDEWAYS | 298 | -3.9% | -0.80 | 1% |
| hidden test | UPTREND | 371 | 18.0% | 1.11 | 18% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 33.9% | 2.69 | 20% |
| train | EXTREME | 100 | 19.6% | 3.31 | 1% |
| train | HIGH VOLATILITY | 699 | 8.7% | 1.11 | 4% |
| train | LOW VOLATILITY | 745 | 11.0% | 1.10 | 18% |
| train | MEDIUM VOLATILITY | 568 | -9.1% | -1.03 | 8% |
| train | NORMAL | 1,601 | -2.1% | -0.26 | 9% |
| train | SIDEWAYS | 592 | -3.2% | -1.19 | 1% |
| train | UPTREND | 902 | 12.1% | 0.92 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 46.0% | 3.35 | 18% |
| validation | EXTREME | 144 | 17.8% | 2.64 | 1% |
| validation | HIGH VOLATILITY | 258 | -0.6% | -0.10 | 2% |
| validation | LOW VOLATILITY | 183 | 12.7% | 1.29 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 23.3% | 1.83 | 10% |
| validation | NORMAL | 474 | 1.3% | 0.13 | 9% |
| validation | SIDEWAYS | 206 | -8.3% | -1.50 | 1% |
| validation | UPTREND | 425 | 26.4% | 2.03 | 15% |
Trades (full period)
66 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -1.15% | 20 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 4.89% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.61% | 2 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -8.75% | 8 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 1.44% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 0.48% | 4 | |
| 2024-10-28 | 2024-11-12 | $262.51 | $328.49 | 5.09% | 12 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -6.53% | 12 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 5.88% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 5.40% | 23 | |
| 2023-06-16 | 2023-08-02 | $260.54 | $254.11 | 2.23% | 32 | |
| 2023-06-02 | 2023-06-15 | $213.97 | $255.90 | 12.17% | 10 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -3.65% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -8.92% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -2.58% | 12 | |
| 2021-11-09 | 2021-12-02 | $341.17 | $361.53 | -4.07% | 17 | |
| 2021-11-04 | 2021-11-08 | $409.97 | $387.65 | 0.17% | 3 | |
| 2021-10-28 | 2021-11-03 | $359.01 | $404.62 | 4.52% | 5 | |
| 2021-10-22 | 2021-10-27 | $303.23 | $345.95 | 7.49% | 4 | |
| 2021-08-24 | 2021-10-20 | $236.16 | $288.60 | 11.52% | 41 | |
| 2021-08-17 | 2021-08-23 | $221.90 | $235.43 | -0.54% | 5 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -2.30% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 14.82% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 10.65% | 13 | |
| 2020-09-09 | 2020-09-15 | $122.09 | $149.92 | 4.57% | 5 | |
| 2020-01-17 | 2020-01-22 | $34.03 | $37.97 | 2.30% | 3 | |
| 2020-01-14 | 2020-01-16 | $35.86 | $34.23 | -0.49% | 3 | |
| 2019-12-31 | 2020-01-10 | $27.89 | $31.88 | 8.35% | 8 | |
| 2019-12-17 | 2019-12-30 | $25.27 | $27.65 | 6.66% | 9 | |
| 2019-10-30 | 2019-11-14 | $21.00 | $23.29 | 1.62% | 12 | |
| 2019-10-25 | 2019-10-29 | $21.88 | $21.08 | 1.65% | 3 | |
| 2018-12-04 | 2018-12-21 | $23.98 | $21.32 | -4.04% | 13 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -0.18% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -2.25% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -2.42% | 14 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -2.81% | 4 | |
| 2017-09-18 | 2017-10-16 | $25.67 | $23.37 | -2.56% | 21 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.89% | 15 | |
| 2017-03-28 | 2017-06-14 | $18.50 | $25.38 | 9.09% | 55 | |
| 2017-02-17 | 2017-03-10 | $18.15 | $16.25 | -4.10% | 15 | |
| 2017-02-08 | 2017-02-16 | $17.47 | $17.93 | 4.51% | 7 | |
| 2017-01-05 | 2017-01-26 | $15.12 | $16.83 | 6.29% | 15 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -2.45% | 25 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.63% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -3.18% | 22 | |
| 2015-08-06 | 2015-08-10 | $16.41 | $16.08 | -3.53% | 3 | |
| 2015-06-09 | 2015-08-04 | $17.07 | $17.75 | 2.42% | 40 | |
| 2015-05-12 | 2015-05-19 | $16.32 | $16.48 | 1.97% | 6 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.14% | 3 | |
| 2014-09-05 | 2014-09-26 | $18.49 | $16.44 | -6.67% | 16 | |
| 2014-08-04 | 2014-09-04 | $15.90 | $19.07 | 10.62% | 23 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -4.68% | 17 | |
| 2014-03-03 | 2014-03-06 | $16.70 | $16.86 | 0.54% | 4 | |
| 2014-01-28 | 2014-02-28 | $11.89 | $16.32 | 12.03% | 23 | |
| 2013-10-03 | 2013-10-24 | $11.55 | $11.54 | -5.08% | 16 | |
| 2013-09-10 | 2013-10-02 | $11.09 | $12.06 | 10.39% | 17 | |
| 2013-08-15 | 2013-08-23 | $9.31 | $10.79 | 2.19% | 7 | |
| 2013-08-08 | 2013-08-09 | $10.23 | $10.20 | 2.54% | 2 | |
| 2013-07-19 | 2013-07-22 | $7.98 | $8.16 | 0.06% | 2 | |
| 2013-07-17 | 2013-07-18 | $8.02 | $7.94 | 1.81% | 2 | |
| 2013-03-26 | 2013-04-19 | $2.52 | $3.19 | 10.49% | 18 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -1.92% | 23 | |
| 2012-12-19 | 2013-01-14 | $2.31 | $2.22 | -2.71% | 17 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.56% | 12 | |
| 2012-02-23 | 2012-04-11 | $2.30 | $2.21 | 0.21% | 34 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.83% | 2 |