Strategy Zoo / S1586
PriceMomentum_V1586
ARCHIVEDhybridllmSimplified and generalized entry conditions: consolidated breakout, MACD+50sma, and strong 20d momentum>0.12 over 200sma branches to reduce overfitting and increase robustness; relaxed ret_20d threshold from 0.184→0.08 for better validation coverage; added volatility gate (vol_pctile<0.90) to avoid extreme volatility regimes; added regime gates to restrict trading to UPTREND/SIDEWAYS and low/medium volatility and non-EXTREME bubble states; improved exits: OR of macd_hist<0, drawdown>12% stop-loss, or close dropping below sma_50 for faster exits; reduced base_position to 0.8 to lower tail risk.
Fitness
0.3386
Generation
73
Complexity
20
Created
2026-10-14
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1586 [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 > 0.08 and breakout_20 == 1) or (macd_hist > 0.0 and close > sma_50) or (ret_20d > 0.12 and close > sma_200)) and close > ema_20 and vol_pctile < 0.9):
position = 0.8
if long and (macd_hist < 0.0 or drawdown > 0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.6% | 26.0% | -0.9% | 6.2% |
| Total Return | 22.6% | 100.0% | -3.4% | 142.4% |
| Sharpe | 0.24 | 1.22 | 0.03 | 0.43 |
| Sortino | 0.17 | 1.07 | 0.03 | 0.32 |
| Calmar | 0.08 | 1.24 | -0.03 | 0.20 |
| Volatility | 16.0% | 20.7% | 17.6% | 17.5% |
| Max DD | -31.7% | -20.9% | -27.7% | -31.7% |
| Win Rate | 32.9% | 46.9% | 33.3% | 36.1% |
| Avg Win | 5.6% | 8.2% | 6.1% | 6.8% |
| Avg Loss | -2.4% | -2.4% | -2.9% | -2.6% |
| Payoff | 2.32 | 3.35 | 2.12 | 2.67 |
| Expectancy | 0.2% | 2.5% | 0.1% | 0.8% |
| Profit Factor | 1.14 | 2.96 | 1.06 | 1.51 |
| Trades | 76 | 32 | 39 | 147 |
| Avg Holding Days | 6.1 | 6.5 | 6.0 | 6.3 |
| Turnover | 15.3 | 17.1 | 16.8 | 16.0 |
| Exposure | 16.0% | 18.7% | 17.0% | 16.8% |
Growth of $100
PriceMomentum_V1586 vs TSLA Buy & Hold
PriceMomentum_V1586 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 | 0.4% | 0.09 | -6.1% | 7 |
| 2017 | 19.6% | 1.26 | -10.0% | 17 |
| 2018 | -5.5% | -0.68 | -9.7% | 3 |
| 2019 | -1.1% | 0.06 | -19.6% | 5 |
| 2020 | 70.4% | 2.61 | -7.1% | 10 |
| 2021 | 20.1% | 0.88 | -18.9% | 15 |
| 2022 | -2.4% | -0.08 | -19.2% | 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 | -2.8% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 22.0% | 0.93 | 23% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.7% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 443 | 21.5% | 1.19 | 25% |
| hidden test | MEDIUM VOLATILITY | 251 | -26.9% | -1.36 | 18% |
| hidden test | NORMAL | 817 | -1.5% | -0.09 | 17% |
| hidden test | SIDEWAYS | 298 | -25.8% | -1.35 | 27% |
| hidden test | UPTREND | 371 | 24.4% | 1.10 | 21% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 36.9% | 1.82 | 25% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.1% | 0.64 | 1% |
| train | LOW VOLATILITY | 745 | 13.3% | 0.87 | 30% |
| train | MEDIUM VOLATILITY | 568 | -16.4% | -0.95 | 16% |
| train | NORMAL | 1,601 | -3.0% | -0.19 | 15% |
| train | SIDEWAYS | 592 | -9.2% | -0.57 | 19% |
| train | UPTREND | 902 | 18.3% | 0.93 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 95.9% | 3.33 | 32% |
| validation | EXTREME | 144 | 37.7% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 10.6% | 0.66 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 62.2% | 2.20 | 27% |
| validation | NORMAL | 474 | 0.8% | 0.04 | 20% |
| validation | SIDEWAYS | 206 | -4.4% | -0.25 | 17% |
| validation | UPTREND | 425 | 47.0% | 1.90 | 25% |
Trades (full period)
latest 100 of 148
| 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 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 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 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 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 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 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 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.60% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.98% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.78% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.97% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.93% | 2 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 40.42% | 25 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 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 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.06% | 4 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.90% | 10 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 8.28% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.92% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.48% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 10.49% | 7 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.46% | 3 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 4.52% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.25% | 2 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 10.56% | 25 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.91% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 |