Strategy Zoo / S1585
PriceMomentum_V1585
ARCHIVEDhybridllmSimplified and regularized entry conditions (consolidated momentum + trend checks); require close>SMA20 and positive MACD histogram to avoid weak breakouts; add long-term trend confirmation (close>sma200 + sma200_slope>0) as an alternate entry; strengthen exit rules to cut losses earlier (ret_20d<-2%) and exit on deteriorating momentum (macd_hist<-2) or overbought RSI; add regime gates to trade only in UPTREND + LOW_VOLATILITY and reduce base_position to 0.7 to lower drawdown risk.
Fitness
0.4677
Generation
73
Complexity
16
Created
2026-10-14
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1585 [hybrid]
if flat and (((ret_20d > 0.08 and breakout_50 == 1) or ret_20d > 0.18 or (close > sma_200 and sma_200_slope > 0.0)) and close > sma_20 and macd_hist > -1.5 and cumret_252d > -0.2):
position = 0.7
if long and (ret_20d < -0.02 or macd_hist < -2.0 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.3% | 47.7% | 3.2% | 16.9% |
| Total Return | 171.0% | 222.4% | 12.6% | 902.5% |
| Sharpe | 0.67 | 1.35 | 0.25 | 0.76 |
| Sortino | 0.68 | 1.39 | 0.23 | 0.75 |
| Calmar | 0.25 | 1.46 | 0.14 | 0.32 |
| Volatility | 22.6% | 32.9% | 21.1% | 24.7% |
| Max DD | -52.4% | -32.8% | -22.6% | -52.4% |
| Win Rate | 50.0% | 57.6% | 44.0% | 50.9% |
| Avg Win | 5.1% | 7.1% | 5.0% | 5.7% |
| Avg Loss | -3.0% | -4.0% | -3.2% | -3.3% |
| Payoff | 1.69 | 1.79 | 1.55 | 1.72 |
| Expectancy | 1.0% | 2.4% | 0.4% | 1.3% |
| Profit Factor | 1.69 | 2.44 | 1.22 | 1.78 |
| Trades | 120 | 59 | 50 | 230 |
| Avg Holding Days | 8.5 | 7.2 | 6.9 | 7.8 |
| Turnover | 21.1 | 27.5 | 18.6 | 21.8 |
| Exposure | 31.5% | 33.7% | 21.9% | 29.5% |
Growth of $100
PriceMomentum_V1585 vs TSLA Buy & Hold
PriceMomentum_V1585 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 | 6.2% | 0.63 | -8.9% | 5 |
| 2017 | -0.7% | 0.06 | -24.8% | 27 |
| 2018 | -22.4% | -1.28 | -29.3% | 8 |
| 2019 | -5.9% | -0.23 | -22.5% | 18 |
| 2020 | 164.0% | 2.30 | -32.8% | 33 |
| 2021 | 13.1% | 0.63 | -17.0% | 20 |
| 2022 | -4.1% | -0.14 | -16.8% | 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 | -6.5% | -0.69 | 5% |
| hidden test | EXPENSIVE | 83 | 87.4% | 2.63 | 35% |
| hidden test | EXTREME | 48 | 49.7% | 1.61 | 31% |
| hidden test | HIGH VOLATILITY | 254 | 9.0% | 0.34 | 18% |
| hidden test | LOW VOLATILITY | 443 | 18.8% | 1.13 | 24% |
| hidden test | MEDIUM VOLATILITY | 251 | -21.9% | -0.98 | 23% |
| hidden test | NORMAL | 817 | -5.6% | -0.30 | 20% |
| hidden test | SIDEWAYS | 298 | -8.8% | -0.46 | 27% |
| hidden test | UPTREND | 371 | 25.7% | 0.93 | 31% |
| train | DOWNTREND | 518 | -4.8% | -0.61 | 6% |
| train | EXPENSIVE | 311 | 28.7% | 0.98 | 51% |
| train | EXTREME | 100 | 290.4% | 6.20 | 61% |
| train | HIGH VOLATILITY | 699 | 29.1% | 1.01 | 28% |
| train | LOW VOLATILITY | 745 | 22.0% | 1.33 | 35% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.55 | 31% |
| train | NORMAL | 1,601 | -4.8% | -0.27 | 26% |
| train | SIDEWAYS | 592 | 0.4% | 0.02 | 30% |
| train | UPTREND | 902 | 36.0% | 1.23 | 47% |
| validation | DOWNTREND | 125 | 12.8% | 1.35 | 3% |
| validation | EXPENSIVE | 138 | 20.9% | 0.56 | 37% |
| validation | EXTREME | 144 | 173.9% | 3.30 | 55% |
| validation | HIGH VOLATILITY | 258 | 29.6% | 0.67 | 31% |
| validation | LOW VOLATILITY | 183 | 29.1% | 1.72 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 65.4% | 2.31 | 33% |
| validation | NORMAL | 474 | 12.0% | 0.56 | 26% |
| validation | SIDEWAYS | 206 | 10.3% | 0.42 | 34% |
| validation | UPTREND | 425 | 70.3% | 1.76 | 43% |
Trades (full period)
latest 100 of 230
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -4.44% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-08 | 2026-06-05 | $428.35 | $391.00 | 1.13% | 20 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -4.86% | 5 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.34% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.62% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.19% | 2 | |
| 2025-12-03 | 2025-12-31 | $446.74 | $449.72 | 4.06% | 20 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.14% | 2 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -4.79% | 9 | |
| 2025-09-26 | 2025-10-08 | $440.40 | $438.69 | 1.57% | 9 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.26% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 1.41% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.56% | 2 | |
| 2025-08-25 | 2025-09-16 | $346.60 | $421.62 | 14.01% | 16 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.88% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.87% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 2.13% | 5 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -4.40% | 3 | |
| 2025-04-30 | 2025-06-05 | $282.16 | $284.70 | 9.52% | 26 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -4.04% | 2 | |
| 2024-12-18 | 2024-12-30 | $440.13 | $417.41 | -7.11% | 8 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 4.16% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.24% | 2 | |
| 2024-11-12 | 2024-12-11 | $328.49 | $424.77 | 10.10% | 21 | |
| 2024-11-06 | 2024-11-11 | $288.53 | $350.00 | 18.86% | 4 | |
| 2024-09-06 | 2024-10-10 | $210.73 | $238.77 | 3.42% | 25 | |
| 2024-07-11 | 2024-07-25 | $241.03 | $220.25 | -12.76% | 11 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.46% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.32% | 2 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 12.12% | 5 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.34% | 7 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -1.40% | 34 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -3.48% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.23% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.31% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.54% | 4 | |
| 2023-09-06 | 2023-09-27 | $251.92 | $240.50 | -3.39% | 16 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-07-05 | 2023-07-24 | $282.48 | $269.06 | -5.01% | 14 | |
| 2023-06-21 | 2023-06-30 | $259.46 | $261.77 | -4.40% | 8 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-05-25 | 2023-06-05 | $184.47 | $217.61 | 11.51% | 7 | |
| 2022-07-22 | 2022-08-24 | $272.24 | $297.10 | 6.38% | 24 | |
| 2022-03-18 | 2022-04-12 | $301.80 | $328.98 | 8.37% | 18 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -1.82% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -3.37% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.07% | 2 | |
| 2022-01-03 | 2022-01-20 | $399.93 | $332.09 | -3.89% | 13 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.16% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.27% | 3 | |
| 2021-11-08 | 2021-11-11 | $387.65 | $354.50 | -8.94% | 4 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.79% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.26% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.26% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.19% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 8.72% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.14% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.61% | 2 | |
| 2021-07-30 | 2021-10-18 | $229.07 | $290.04 | 16.60% | 56 | |
| 2021-06-11 | 2021-07-26 | $203.30 | $219.21 | 3.77% | 31 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -2.25% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -0.76% | 2 | |
| 2021-04-13 | 2021-05-05 | $254.11 | $223.65 | -2.79% | 17 | |
| 2021-04-01 | 2021-04-12 | $220.58 | $233.99 | 0.84% | 7 | |
| 2021-03-18 | 2021-03-19 | $217.72 | $218.29 | -4.99% | 2 | |
| 2021-03-16 | 2021-03-17 | $225.63 | $233.94 | -3.21% | 2 | |
| 2021-01-11 | 2021-01-29 | $270.40 | $264.51 | -3.58% | 14 | |
| 2020-12-09 | 2021-01-08 | $201.49 | $293.34 | 17.49% | 21 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 8.92% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.29% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 17.47% | 6 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -2.83% | 3 | |
| 2020-10-02 | 2020-10-20 | $138.36 | $140.65 | -2.75% | 13 | |
| 2020-09-30 | 2020-10-01 | $143.00 | $149.39 | 1.52% | 2 | |
| 2020-09-17 | 2020-09-24 | $141.14 | $129.26 | -9.89% | 6 | |
| 2020-09-03 | 2020-09-09 | $135.67 | $122.09 | -18.69% | 4 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -3.41% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -0.93% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.35% | 2 | |
| 2020-08-24 | 2020-08-25 | $134.28 | $134.89 | -1.36% | 2 | |
| 2020-08-13 | 2020-08-21 | $108.07 | $136.67 | 19.41% | 7 | |
| 2020-07-22 | 2020-08-10 | $106.16 | $94.57 | -5.16% | 14 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 6.49% | 3 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.21% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -2.30% | 2 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.31% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 0.79% | 2 | |
| 2020-06-12 | 2020-07-06 | $62.35 | $91.44 | 16.52% | 16 | |
| 2020-04-09 | 2020-06-11 | $38.20 | $64.86 | 56.21% | 44 | |
| 2020-04-07 | 2020-04-08 | $36.36 | $36.59 | 3.82% | 2 | |
| 2020-02-21 | 2020-03-04 | $60.07 | $49.97 | -12.07% | 9 | |
| 2020-02-05 | 2020-02-20 | $48.98 | $59.96 | 2.76% | 11 |