Strategy Zoo / S1565
PriceMomentum_V1565
ARCHIVEDhybridllmSimplified and de-overfit entry rules (fewer cumret checks, tightened ret_20d threshold); added conservative regime gates (only UPTREND/SIDEWAYS, LOW/MEDIUM volatility, NORMAL bubble) to avoid bad environments; strengthened exits (macd_hist < 0 OR >5% drop below sma20 OR large vol spike) to reduce drawdown; lowered base position and added volatility-based scaling (reduce size when vol_pctile > 0.75). Aim: more robust out-of-sample behavior and lower max drawdown.
Fitness
0.1604
Generation
72
Complexity
17
Created
2026-10-14
Lineage
Parents (1)
changed dist_sma_50 threshold -0.2357 -> -0.0777
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1565 [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 > 0.12 and breakout_20 == 1) or ((macd_hist > 0.0 and close > sma_50) and dist_sma_50 > -0.05 and sma_20 < close)):
position = 0.8
if long and (macd_hist < 0.0 or dist_sma_20 < -0.05 or vol_chg > 0.5):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | 3.9% | 2.0% | 0.6% |
| Total Return | -9.7% | 12.3% | 7.5% | 9.1% |
| Sharpe | -0.03 | 0.32 | 0.20 | 0.11 |
| Sortino | -0.02 | 0.20 | 0.13 | 0.07 |
| Calmar | -0.04 | 0.25 | 0.11 | 0.02 |
| Volatility | 13.2% | 15.9% | 16.2% | 14.6% |
| Max DD | -28.3% | -16.0% | -18.1% | -28.3% |
| Win Rate | 50.0% | 48.0% | 50.0% | 49.6% |
| Avg Win | 2.8% | 3.8% | 4.0% | 3.3% |
| Avg Loss | -2.9% | -2.5% | -3.4% | -3.0% |
| Payoff | 0.96 | 1.54 | 1.18 | 1.11 |
| Expectancy | -0.1% | 0.5% | 0.3% | 0.1% |
| Profit Factor | 0.96 | 1.42 | 1.18 | 1.10 |
| Trades | 78 | 25 | 38 | 141 |
| Avg Holding Days | 4.4 | 5.1 | 5.3 | 4.8 |
| Turnover | 15.6 | 13.3 | 16.4 | 15.4 |
| Exposure | 10.6% | 10.8% | 14.2% | 11.5% |
Growth of $100
PriceMomentum_V1565 vs TSLA Buy & Hold
PriceMomentum_V1565 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 | 2.4% | 0.31 | -5.7% | 8 |
| 2017 | 12.3% | 1.31 | -4.3% | 10 |
| 2018 | -5.5% | -0.68 | -9.7% | 3 |
| 2019 | -3.1% | -0.05 | -19.4% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.5% | 0.13 | -16.0% | 18 |
| 2022 | 0.9% | 0.14 | -15.9% | 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 | -2.8% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 16.4% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 443 | 14.0% | 0.89 | 21% |
| hidden test | MEDIUM VOLATILITY | 251 | -3.8% | -0.20 | 15% |
| hidden test | NORMAL | 817 | 2.1% | 0.12 | 16% |
| hidden test | SIDEWAYS | 298 | -12.9% | -0.61 | 28% |
| hidden test | UPTREND | 371 | 20.8% | 1.19 | 13% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 9.3% | 1.67 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.8% | 0.36 | 1% |
| train | LOW VOLATILITY | 745 | 11.1% | 0.96 | 20% |
| train | MEDIUM VOLATILITY | 568 | -21.9% | -1.49 | 11% |
| train | NORMAL | 1,601 | -2.3% | -0.16 | 13% |
| train | SIDEWAYS | 592 | -11.4% | -0.77 | 16% |
| train | UPTREND | 902 | 10.3% | 0.68 | 13% |
| 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 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | -1.2% | -0.09 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 12.1% | 0.66 | 12% |
| validation | NORMAL | 474 | 8.2% | 0.41 | 17% |
| validation | SIDEWAYS | 206 | -5.3% | -0.30 | 16% |
| validation | UPTREND | 425 | 11.7% | 0.67 | 11% |
Trades (full period)
latest 100 of 142
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.63% | 5 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-13 | 2026-05-21 | $445.27 | $417.85 | -3.11% | 7 | |
| 2026-05-08 | 2026-05-12 | $428.35 | $433.45 | 6.26% | 3 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-22 | 2025-12-30 | $488.73 | $454.43 | -3.74% | 6 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 2.60% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.29% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 3.36% | 5 | |
| 2025-12-04 | 2025-12-08 | $454.53 | $439.58 | 1.32% | 3 | |
| 2025-09-08 | 2025-09-12 | $346.40 | $395.94 | 3.94% | 5 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -5.25% | 5 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -4.43% | 8 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-12 | $262.33 | $248.23 | -3.87% | 4 | |
| 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 | |
| 2024-06-20 | 2024-07-01 | $181.57 | $209.86 | 5.45% | 8 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 4.07% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-12-05 | 2023-12-14 | $238.72 | $251.05 | 1.10% | 8 | |
| 2023-11-16 | 2023-12-04 | $233.59 | $235.58 | -1.44% | 12 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -3.85% | 18 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-06 | 2023-06-27 | $221.31 | $250.21 | 8.51% | 15 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-09-13 | 2022-09-19 | $292.13 | $309.07 | -0.42% | 5 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-24 | 2022-04-08 | $337.97 | $341.83 | 4.58% | 12 | |
| 2022-03-21 | 2022-03-23 | $307.05 | $333.04 | 7.63% | 3 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-10-29 | 2021-11-10 | $371.33 | $355.98 | -3.92% | 9 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-10-13 | 2021-10-19 | $270.36 | $288.09 | 6.19% | 5 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-04 | 2021-10-07 | $260.51 | $264.54 | 0.62% | 4 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.76% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.55% | 2 | |
| 2021-09-15 | 2021-09-20 | $251.94 | $243.39 | 1.45% | 4 | |
| 2021-09-02 | 2021-09-14 | $244.13 | $248.16 | 0.82% | 8 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-28 | 2021-07-12 | $229.57 | $228.57 | -1.92% | 10 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-04-16 | 2021-04-29 | $246.59 | $225.67 | -4.95% | 10 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -7.54% | 9 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 3.76% | 2 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.00% | 17 | |
| 2017-12-19 | 2017-12-26 | $22.07 | $21.15 | -3.39% | 5 | |
| 2017-12-14 | 2017-12-18 | $22.53 | $22.59 | 0.88% | 3 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.79% | 2 | |
| 2017-10-13 | 2017-10-23 | $23.70 | $22.47 | -2.53% | 7 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2017-01-23 | 2017-01-25 | $16.59 | $16.96 | 3.06% | 3 | |
| 2017-01-06 | 2017-01-20 | $15.27 | $16.32 | 5.81% | 10 | |
| 2016-12-28 | 2017-01-05 | $14.65 | $15.12 | 2.57% | 6 | |
| 2016-08-08 | 2016-08-09 | $15.08 | $15.27 | -1.50% | 2 | |
| 2016-07-22 | 2016-08-05 | $14.82 | $15.34 | 3.51% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-08 | 2016-04-14 | $16.67 | $16.79 | -0.98% | 5 | |
| 2016-04-06 | 2016-04-07 | $17.69 | $17.15 | 2.95% | 2 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.00% | 2 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -5.69% | 2 | |
| 2015-12-29 | 2015-12-31 | $15.81 | $16.00 | 3.03% | 3 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -4.54% | 6 | |
| 2015-09-21 | 2015-09-22 | $17.61 | $17.40 | 0.94% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-07-07 | 2015-07-08 | $17.86 | $17.00 | -3.54% | 2 | |
| 2015-06-30 | 2015-07-06 | $17.88 | $18.65 | 5.31% | 4 | |
| 2015-06-24 | 2015-06-29 | $17.68 | $17.47 | -0.33% | 4 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.99% | 2 |