Strategy Zoo / S1600
PriceMomentum_V1600
ARCHIVEDhybridllmSimplified and regularized entry (short-term return + breakout OR MA+momentum+volume), tightened thresholds to reduce overfitting; added robust exits (MACD sign, 8% stop-loss, or drop below SMA50); introduced regime gates to restrict trading to up/side trends, normal/low-medium volatility and non-bubble conditions; added volatility-based position scaling rules; reduced base_position to 0.6 to lower drawdown risk.
Fitness
0.1003
Generation
74
Complexity
17
Created
2026-10-15
Lineage
Parents (1)
changed dist_sma_50 threshold -0.2357 -> -0.0777
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1600 [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 (close > sma_20 and macd_hist > 0.0 and ret_20d > 0.06 and dist_sma_50 > -0.05 and rel_volume > 1.2)):
position = 0.6
if long and (macd_hist < 0.0 or drawdown < -0.08 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.4% | 1.6% | 6.1% | 0.5% |
| Total Return | -17.3% | 4.8% | 24.8% | 8.1% |
| Sharpe | -0.45 | 0.23 | 0.93 | 0.12 |
| Sortino | -0.16 | 0.08 | 0.41 | 0.04 |
| Calmar | -0.09 | 0.12 | 1.16 | 0.02 |
| Volatility | 5.0% | 8.1% | 6.5% | 6.2% |
| Max DD | -26.7% | -12.8% | -5.2% | -26.7% |
| Win Rate | 41.8% | 50.0% | 72.4% | 52.0% |
| Avg Win | 1.1% | 2.0% | 1.6% | 1.4% |
| Avg Loss | -1.3% | -1.3% | -1.4% | -1.3% |
| Payoff | 0.79 | 1.53 | 1.15 | 1.07 |
| Expectancy | -0.3% | 0.3% | 0.8% | 0.1% |
| Profit Factor | 0.57 | 1.53 | 3.01 | 1.15 |
| Trades | 55 | 16 | 29 | 100 |
| Avg Holding Days | 2.8 | 2.9 | 2.3 | 2.7 |
| Turnover | 8.3 | 6.4 | 9.2 | 8.1 |
| Exposure | 3.0% | 2.5% | 2.4% | 2.7% |
Growth of $100
PriceMomentum_V1600 vs TSLA Buy & Hold
PriceMomentum_V1600 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 | 2.9% | 0.70 | -2.9% | 8 |
| 2017 | 6.3% | 1.59 | -1.2% | 7 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | -0.0% | -0.01 | -0.7% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.4% | 0.59 | -10.3% | 8 |
| 2022 | -2.4% | -0.78 | -3.0% | 8 |
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 | 278 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 13.0% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.3% | -0.20 | 0% |
| hidden test | LOW VOLATILITY | 445 | 10.3% | 1.42 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | 6.2% | 1.21 | 2% |
| hidden test | NORMAL | 818 | 5.8% | 0.87 | 3% |
| hidden test | SIDEWAYS | 300 | 1.4% | 0.28 | 2% |
| hidden test | UPTREND | 371 | 14.5% | 1.53 | 4% |
| train | DOWNTREND | 518 | -0.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 0.7% | 0.84 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.0% | -0.85 | 0% |
| train | LOW VOLATILITY | 745 | -2.5% | -0.42 | 7% |
| train | MEDIUM VOLATILITY | 568 | -4.7% | -0.70 | 2% |
| train | NORMAL | 1,601 | -3.0% | -0.53 | 4% |
| train | SIDEWAYS | 592 | -4.0% | -0.72 | 3% |
| train | UPTREND | 902 | -2.4% | -0.40 | 5% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.1% | 0.61 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 8.6% | 0.85 | 4% |
| validation | NORMAL | 474 | 3.0% | 0.29 | 4% |
| validation | SIDEWAYS | 206 | 2.3% | 0.59 | 2% |
| validation | UPTREND | 425 | 2.2% | 0.21 | 3% |
Trades (full period)
100 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.68% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.15% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.48% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.30% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 10.71% | 17 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.19% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.17% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.43% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.38% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.00% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -2.49% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.28% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 0.97% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.70% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.09% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 0.91% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.24% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.67% | 2 | |
| 2017-01-10 | 2017-01-11 | $15.32 | $15.32 | -0.49% | 2 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.48% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 2.64% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.76% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -0.62% | 2 | |
| 2016-04-06 | 2016-04-08 | $17.69 | $16.67 | 0.32% | 3 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 2.25% | 2 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.32% | 2 | |
| 2015-09-22 | 2015-09-23 | $17.40 | $17.40 | -0.86% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -5.53% | 4 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.38% | 5 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.14% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.19% | 2 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.17% | 2 | |
| 2015-05-06 | 2015-05-07 | $15.36 | $15.79 | -0.77% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -1.77% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.40% | 2 | |
| 2014-11-20 | 2014-11-21 | $16.58 | $16.19 | 0.11% | 2 | |
| 2014-11-17 | 2014-11-18 | $16.93 | $17.18 | -1.21% | 2 | |
| 2014-11-12 | 2014-11-13 | $16.61 | $16.78 | -0.59% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.30% | 2 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 1.79% | 13 | |
| 2014-06-30 | 2014-07-03 | $16.00 | $15.28 | -2.53% | 4 | |
| 2014-06-24 | 2014-06-25 | $15.50 | $15.79 | -1.31% | 2 | |
| 2014-06-19 | 2014-06-20 | $15.19 | $15.31 | 0.06% | 2 | |
| 2014-06-17 | 2014-06-18 | $15.44 | $15.14 | 1.76% | 2 | |
| 2014-06-13 | 2014-06-16 | $13.76 | $14.97 | 0.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -2.96% | 3 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.30% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.71% | 2 | |
| 2012-11-20 | 2012-11-21 | $2.20 | $2.16 | 0.03% | 2 | |
| 2012-11-14 | 2012-11-15 | $2.09 | $2.05 | -0.56% | 2 | |
| 2012-11-08 | 2012-11-09 | $2.09 | $2.02 | -0.56% | 2 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -0.79% | 2 | |
| 2012-09-18 | 2012-09-19 | $2.09 | $2.07 | -2.33% | 2 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -1.61% | 3 | |
| 2012-06-21 | 2012-06-22 | $2.15 | $2.25 | -2.94% | 2 | |
| 2012-06-19 | 2012-06-20 | $2.14 | $2.25 | 0.35% | 2 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -4.74% | 7 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -1.80% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.06% | 10 |