Strategy Zoo / S1579
PriceMomentum_V1579
ARCHIVEDhybridllmAdded regime gates to avoid extreme volatility and bubbles; introduced two entry branches: momentum (ret_20d + macd_hist + positive long-term slope + avoid extreme vol) and breakout confirmed by volume & proximity to 52w high; retained high-ret fast-entry. Replaced fragile tiny exit with multi-condition exit: larger ret_20d stop, account drawdown cap, or momentum fade (macd_hist < 0). Reduced base position and added scaled sizing by volatility to lower risk in turbulent markets.
Fitness
0.3631
Generation
73
Complexity
21
Created
2026-10-14
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1579 [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 > 0.05 and macd_hist > 0.0 and sma_200_slope > 0.0 and vol_pctile < 0.9) or (breakout_20 > 0.0 and rel_volume > 1.2 and dist_52w_high < 0.25) or ret_20d > 0.18):
position = 0.7
if long and (ret_20d < -0.02 or drawdown > 0.08 or macd_hist < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 22.1% | 1.3% | 5.5% |
| Total Return | 12.6% | 82.2% | 4.8% | 119.4% |
| Sharpe | 0.18 | 1.49 | 0.16 | 0.48 |
| Sortino | 0.12 | 1.34 | 0.11 | 0.34 |
| Calmar | 0.04 | 2.52 | 0.07 | 0.16 |
| Volatility | 12.3% | 14.0% | 12.5% | 12.7% |
| Max DD | -35.1% | -8.8% | -17.9% | -35.1% |
| Win Rate | 41.1% | 56.0% | 32.1% | 42.2% |
| Avg Win | 4.3% | 6.1% | 5.7% | 5.3% |
| Avg Loss | -2.7% | -1.8% | -2.2% | -2.4% |
| Payoff | 1.61 | 3.42 | 2.52 | 2.24 |
| Expectancy | 0.2% | 2.6% | 0.3% | 0.9% |
| Profit Factor | 1.12 | 4.36 | 1.19 | 1.63 |
| Trades | 56 | 25 | 28 | 109 |
| Avg Holding Days | 7.1 | 7.6 | 6.6 | 7.2 |
| Turnover | 9.1 | 9.3 | 9.3 | 9.2 |
| Exposure | 11.2% | 12.7% | 10.6% | 11.3% |
Growth of $100
PriceMomentum_V1579 vs TSLA Buy & Hold
PriceMomentum_V1579 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 | -8.6% | -1.08 | -11.1% | 6 |
| 2017 | 11.7% | 1.10 | -7.5% | 12 |
| 2018 | -5.4% | -1.03 | -7.0% | 5 |
| 2019 | -8.6% | -0.38 | -21.1% | 5 |
| 2020 | 37.7% | 2.35 | -3.9% | 6 |
| 2021 | 27.8% | 1.47 | -8.4% | 13 |
| 2022 | 3.5% | 0.43 | -8.8% | 5 |
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 | -2.0% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 33.8% | 1.81 | 17% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.2% | -0.78 | 1% |
| hidden test | LOW VOLATILITY | 443 | 16.8% | 1.17 | 17% |
| hidden test | MEDIUM VOLATILITY | 251 | -16.7% | -1.23 | 9% |
| hidden test | NORMAL | 817 | -1.1% | -0.09 | 11% |
| hidden test | SIDEWAYS | 298 | -15.5% | -1.27 | 18% |
| hidden test | UPTREND | 371 | 19.2% | 1.15 | 13% |
| train | DOWNTREND | 518 | -5.8% | -1.24 | 1% |
| train | EXPENSIVE | 311 | 20.3% | 1.44 | 17% |
| train | EXTREME | 100 | 5.7% | 1.55 | 0% |
| train | HIGH VOLATILITY | 699 | 8.4% | 0.67 | 1% |
| train | LOW VOLATILITY | 745 | 9.9% | 0.80 | 23% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -1.32 | 9% |
| train | NORMAL | 1,601 | -1.5% | -0.12 | 11% |
| train | SIDEWAYS | 592 | -11.9% | -0.95 | 13% |
| train | UPTREND | 902 | 16.1% | 1.08 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 61.9% | 3.23 | 18% |
| validation | EXTREME | 144 | 18.7% | 2.27 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 23.2% | 1.73 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 41.6% | 2.26 | 15% |
| validation | NORMAL | 474 | 9.7% | 0.72 | 15% |
| validation | SIDEWAYS | 206 | 8.3% | 0.68 | 14% |
| validation | UPTREND | 425 | 33.3% | 2.00 | 16% |
Trades (full period)
latest 100 of 109
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | -1.09% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.45% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.28% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 14.57% | 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 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.75% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -1.84% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -0.43% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.21% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -2.71% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.23% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 14.61% | 11 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.33% | 3 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.61% | 19 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -5.32% | 10 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.67% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.02% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.55% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.65% | 4 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -0.80% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.38% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -1.77% | 9 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -1.89% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.46% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 6.47% | 16 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 18.77% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.63% | 14 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.45% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 5.28% | 20 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -4.47% | 12 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 1.83% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -1.73% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.03% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.06% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 9.67% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.67% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.17% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.43% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 20.42% | 14 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -2.08% | 3 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.40% | 2 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 27.80% | 24 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.65% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -6.83% | 10 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -9.66% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -4.54% | 3 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -1.99% | 4 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -0.78% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.07% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.28% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.53% | 13 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.43% | 10 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -4.47% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.70% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.29% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 4.85% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.44% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.45% | 3 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.29% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.58% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 5.51% | 6 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.02% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 9.19% | 25 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -1.86% | 3 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.29% | 11 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -4.45% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.22% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.34% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.66% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -4.44% | 3 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -4.25% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.79% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.41% | 11 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.26% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.22% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.11% | 19 | |
| 2014-11-11 | 2014-12-01 | $16.74 | $15.44 | 0.15% | 14 | |
| 2014-08-29 | 2014-09-12 | $17.98 | $18.61 | 4.23% | 10 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 6.86% | 16 | |
| 2014-06-09 | 2014-07-07 | $13.69 | $14.84 | 6.98% | 20 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.69% | 5 | |
| 2014-03-20 | 2014-03-21 | $15.66 | $15.26 | -0.29% | 2 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 12.10% | 9 | |
| 2014-01-06 | 2014-01-10 | $9.80 | $9.71 | -1.08% | 5 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -1.87% | 11 | |
| 2013-09-13 | 2013-09-16 | $11.04 | $11.11 | 0.12% | 2 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -2.77% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 |