Strategy Zoo / S1583
PriceMomentum_V1583
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-bubble environments; introduced volatility-based sizing (low->higher, high->reduced) and reduced base position to lower drawdown. Strengthened entry with momentum confirmation (macd_hist>0 or close>sma_50) and RSI band to avoid extreme overbought; kept strong-breakout path but added vol_pctile cap. Improved exits by adding fast short-term loss (ret_5d) and price break below sma_50 to get out quicker.
Fitness
0.1529
Generation
73
Complexity
22
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1583 [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 and ((macd_hist > 0.0 or close > sma_50) and rsi_14 > 30.0 and rsi_14 < 80.0)) or (ret_20d > 0.18 and vol_pctile < 0.95)):
position = 0.6
if long and (ret_20d < -0.006 or close < sma_50 or ret_5d < -0.03):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.8
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.5
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 2.6% | 3.4% | 1.7% |
| Total Return | 4.9% | 8.0% | 13.5% | 28.5% |
| Sharpe | 0.11 | 0.39 | 0.43 | 0.25 |
| Sortino | 0.07 | 0.31 | 0.27 | 0.16 |
| Calmar | 0.03 | 0.19 | 0.30 | 0.10 |
| Volatility | 8.1% | 7.2% | 8.8% | 8.1% |
| Max DD | -17.9% | -13.6% | -11.3% | -17.9% |
| Win Rate | 42.0% | 32.0% | 35.1% | 37.5% |
| Avg Win | 2.8% | 4.1% | 3.1% | 3.1% |
| Avg Loss | -1.8% | -1.3% | -1.1% | -1.4% |
| Payoff | 1.57 | 3.19 | 2.88 | 2.22 |
| Expectancy | 0.1% | 0.4% | 0.4% | 0.3% |
| Profit Factor | 1.14 | 1.50 | 1.56 | 1.33 |
| Trades | 50 | 25 | 37 | 112 |
| Avg Holding Days | 8.3 | 6.4 | 5.2 | 6.8 |
| Turnover | 5.6 | 6.6 | 8.1 | 6.4 |
| Exposure | 7.8% | 7.3% | 7.1% | 7.5% |
Growth of $100
PriceMomentum_V1583 vs TSLA Buy & Hold
PriceMomentum_V1583 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 | -2.1% | -0.36 | -5.1% | 8 |
| 2017 | 6.9% | 1.65 | -2.5% | 3 |
| 2018 | -2.7% | -0.70 | -4.6% | 3 |
| 2019 | -2.9% | -0.16 | -13.7% | 7 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.0% | 1.52 | -7.6% | 14 |
| 2022 | -7.7% | -1.25 | -13.6% | 11 |
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 | -0.7% | -1.13 | 0% |
| hidden test | EXPENSIVE | 83 | 10.5% | 1.70 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.3% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 443 | 10.5% | 1.07 | 12% |
| hidden test | MEDIUM VOLATILITY | 251 | 0.9% | 0.10 | 5% |
| hidden test | NORMAL | 817 | 3.3% | 0.36 | 8% |
| hidden test | SIDEWAYS | 298 | -7.2% | -0.79 | 12% |
| hidden test | UPTREND | 371 | 15.9% | 1.40 | 8% |
| train | DOWNTREND | 518 | -3.8% | -1.19 | 0% |
| train | EXPENSIVE | 311 | 4.2% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.5% | 0.30 | 0% |
| train | LOW VOLATILITY | 745 | 6.1% | 0.70 | 17% |
| train | MEDIUM VOLATILITY | 568 | -7.8% | -1.10 | 5% |
| train | NORMAL | 1,601 | 0.3% | 0.04 | 10% |
| train | SIDEWAYS | 592 | -4.0% | -0.50 | 8% |
| train | UPTREND | 902 | 6.9% | 0.69 | 12% |
| 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 | -0.0% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 6.1% | 0.67 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 3.2% | 0.37 | 5% |
| validation | NORMAL | 474 | 4.5% | 0.50 | 12% |
| validation | SIDEWAYS | 206 | -10.0% | -1.31 | 10% |
| validation | UPTREND | 425 | 9.8% | 1.24 | 8% |
Trades (full period)
latest 100 of 113
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-13 | — | — | — | -0.05% | 1 | OPEN |
| 2026-05-26 | 2026-06-04 | $433.59 | $418.45 | -0.31% | 8 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.03% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.21% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -0.67% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.59% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.07% | 11 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 5.99% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.54% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.58% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.12% | 8 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.07% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -4.34% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.25% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.37% | 3 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 1.96% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.77% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -1.87% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 1.33% | 9 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 1.74% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -2.59% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 1.19% | 2 | |
| 2024-06-25 | 2024-07-12 | $187.35 | $248.23 | 13.69% | 13 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -1.60% | 3 | |
| 2023-12-07 | 2024-01-04 | $242.64 | $237.93 | -0.16% | 19 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -1.65% | 6 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.03% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.36% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.05% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -1.33% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -0.50% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -0.96% | 6 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.26% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -1.56% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 4.35% | 10 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 9.23% | 19 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -0.66% | 2 | |
| 2023-02-28 | 2023-03-03 | $205.71 | $197.79 | -2.51% | 4 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -3.25% | 3 | |
| 2022-08-24 | 2022-08-29 | $297.10 | $284.82 | -1.45% | 4 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -1.87% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -0.85% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -0.79% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -0.93% | 5 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -0.84% | 3 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -1.16% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.28% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -0.96% | 2 | |
| 2022-03-22 | 2022-04-07 | $331.33 | $352.42 | 4.03% | 13 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.32% | 6 | |
| 2021-08-23 | 2021-11-09 | $235.43 | $341.17 | 26.93% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.18% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -1.66% | 10 | |
| 2021-07-21 | 2021-07-23 | $218.43 | $214.46 | -0.91% | 3 | |
| 2021-07-12 | 2021-07-20 | $228.57 | $220.17 | -0.84% | 7 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.51% | 2 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.16% | 9 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.13% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.43% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.52% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -1.10% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -2.07% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -1.77% | 6 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 6.43% | 11 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.29% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.04% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 8.03% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -4.69% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -5.46% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -3.10% | 3 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.51% | 13 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -1.71% | 3 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -1.48% | 12 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.07% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.08% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 7.33% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.61% | 2 | |
| 2016-07-22 | 2016-08-17 | $14.82 | $14.88 | 0.62% | 19 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.19% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.70% | 3 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -1.68% | 12 | |
| 2016-03-31 | 2016-04-14 | $15.32 | $16.79 | 4.23% | 11 | |
| 2016-03-28 | 2016-03-30 | $15.35 | $15.13 | 0.25% | 3 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.59% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.09% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -2.72% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | 1.03% | 9 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 4.82% | 51 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.13% | 6 | |
| 2014-11-25 | 2014-11-26 | $16.54 | $16.56 | 0.11% | 2 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.10% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.19% | 30 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -1.60% | 2 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.39% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 0.78% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -1.48% | 2 | |
| 2014-06-16 | 2014-07-03 | $14.97 | $15.28 | 5.27% | 14 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.32% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.45% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.04% | 5 |