Strategy Zoo / S1559
PriceMomentum_V1559
ARCHIVEDhybridllmSimplified and tightened entry: require short-term momentum or 50-day breakout plus trend confirmation (price>200sma with positive 200sma slope OR 50sma>200sma) to reduce false signals. Improved exits: add 2% momentum stop, 50sma breach, and negative MACD histogram to cut losses earlier. Added regime gates to avoid downtrends, extreme volatility and bubble states. Added volatility-based position sizing (scale down in high vol, moderate in medium vol) to reduce drawdown and turnover.
Fitness
0.1016
Generation
72
Complexity
16
Created
2026-10-14
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1559 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 or breakout_50 == 1) and ((close > sma_200 and sma_200_slope > 0.0) or sma_50 > sma_200)):
position = 1.0
if long and (ret_20d < -0.02 or close < sma_50 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.4% | 0.1% | -6.2% | -3.4% |
| Total Return | -24.4% | 0.2% | -21.3% | -40.4% |
| Sharpe | -0.16 | 0.10 | -0.32 | -0.14 |
| Sortino | -0.09 | 0.06 | -0.18 | -0.08 |
| Calmar | -0.08 | 0.00 | -0.21 | -0.06 |
| Volatility | 14.9% | 19.0% | 15.8% | 16.0% |
| Max DD | -45.7% | -23.1% | -28.7% | -58.7% |
| Win Rate | 37.7% | 44.4% | 42.5% | 40.4% |
| Avg Win | 3.7% | 4.5% | 2.9% | 3.6% |
| Avg Loss | -2.7% | -3.2% | -3.0% | -2.9% |
| Payoff | 1.36 | 1.40 | 0.95 | 1.25 |
| Expectancy | -0.3% | 0.2% | -0.5% | -0.3% |
| Profit Factor | 0.82 | 1.12 | 0.71 | 0.85 |
| Trades | 69 | 27 | 40 | 136 |
| Avg Holding Days | 4.6 | 5.3 | 3.9 | 4.5 |
| Turnover | 17.3 | 18.0 | 21.3 | 18.4 |
| Exposure | 12.3% | 15.5% | 12.2% | 12.9% |
Growth of $100
PriceMomentum_V1559 vs TSLA Buy & Hold
PriceMomentum_V1559 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 | -3.9% | -0.55 | -7.6% | 5 |
| 2017 | 14.2% | 1.52 | -5.4% | 3 |
| 2018 | -14.4% | -1.53 | -16.0% | 6 |
| 2019 | -7.7% | -0.60 | -14.5% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -3.5% | 0.01 | -23.1% | 20 |
| 2022 | 3.9% | 0.30 | -19.4% | 7 |
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 | -3.8% | -1.50 | 1% |
| hidden test | EXPENSIVE | 83 | 42.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 5.1% | 0.39 | 1% |
| hidden test | LOW VOLATILITY | 443 | -3.7% | -0.23 | 18% |
| hidden test | MEDIUM VOLATILITY | 251 | -17.9% | -1.03 | 13% |
| hidden test | NORMAL | 817 | -10.3% | -0.64 | 14% |
| hidden test | SIDEWAYS | 298 | -11.1% | -0.66 | 23% |
| hidden test | UPTREND | 371 | -1.2% | -0.06 | 12% |
| train | DOWNTREND | 518 | -5.0% | -0.88 | 0% |
| train | EXPENSIVE | 311 | 8.0% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.6% | 0.22 | 1% |
| train | LOW VOLATILITY | 745 | 5.5% | 0.32 | 26% |
| train | MEDIUM VOLATILITY | 568 | -18.8% | -1.22 | 9% |
| train | NORMAL | 1,601 | -4.6% | -0.28 | 15% |
| train | SIDEWAYS | 592 | -4.8% | -0.30 | 15% |
| train | UPTREND | 902 | 0.6% | 0.03 | 17% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -8.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 8.5% | 0.53 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 6.3% | 0.26 | 16% |
| validation | NORMAL | 474 | 3.0% | 0.12 | 25% |
| validation | SIDEWAYS | 206 | -10.0% | -0.49 | 22% |
| validation | UPTREND | 425 | 8.2% | 0.39 | 17% |
Trades (full period)
latest 100 of 136
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 12.63% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -2.18% | 10 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.79% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -6.94% | 7 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 11.11% | 15 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 28.98% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 5.85% | 3 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -1.18% | 13 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.27% | 2 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 15.75% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.09% | 2 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.62% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-15 | 2015-07-16 | $17.54 | $17.78 | -1.14% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-06-05 | 2015-06-08 | $16.61 | $17.09 | 1.11% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.06% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.74% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.42% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.31% | 2 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.16% | 8 |