Strategy Zoo / S1601
PriceMomentum_V1601
ARCHIVEDhybridllmAdded strict trend gate (UPTREND) and bubble gate (NORMAL) to reduce overfitting in bad regimes; simplified and reorganized entry into a clearer momentum+price structure (require 20d momentum or price above SMA50, plus long-term sanity check and 200SMA momentum confirmation); strengthened multi-condition exit: 5d stop, cross below SMA50, or 20d weakness to cut losses earlier; reduced base position and implemented volatility scaling (full in low vol, reduced in medium/high) to lower risk and improve generalization.
Fitness
0.4376
Generation
74
Complexity
17
Created
2026-10-15
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1601 [hybrid]
if flat and ((ret_20d > 0.06 or close > sma_50) and cumret_252d > -0.1 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.12)):
position = 0.8
if long and (ret_5d < -0.03 or close < sma_50 or ret_20d < -0.02):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.1% | 46.4% | -13.4% | 6.0% |
| Total Return | 27.2% | 213.8% | -41.9% | 137.6% |
| Sharpe | 0.26 | 1.67 | -0.67 | 0.39 |
| Sortino | 0.24 | 2.19 | -0.54 | 0.38 |
| Calmar | 0.07 | 2.17 | -0.26 | 0.12 |
| Volatility | 18.4% | 24.6% | 18.8% | 19.9% |
| Max DD | -42.6% | -21.4% | -51.1% | -51.1% |
| Win Rate | 32.6% | 43.0% | 29.3% | 34.5% |
| Avg Win | 4.5% | 6.9% | 3.3% | 5.3% |
| Avg Loss | -1.9% | -2.1% | -2.2% | -2.0% |
| Payoff | 2.32 | 3.32 | 1.49 | 2.60 |
| Expectancy | 0.2% | 1.8% | -0.6% | 0.5% |
| Profit Factor | 1.12 | 2.51 | 0.62 | 1.37 |
| Trades | 132 | 79 | 82 | 293 |
| Avg Holding Days | 7.1 | 6.0 | 4.6 | 6.2 |
| Turnover | 21.4 | 29.3 | 26.9 | 24.4 |
| Exposure | 24.0% | 29.5% | 19.2% | 23.9% |
Growth of $100
PriceMomentum_V1601 vs TSLA Buy & Hold
PriceMomentum_V1601 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 | -0.5% | -0.00 | -13.9% | 8 |
| 2017 | -0.5% | 0.06 | -19.0% | 27 |
| 2018 | -15.4% | -1.37 | -19.4% | 13 |
| 2019 | 19.0% | 1.00 | -10.2% | 7 |
| 2020 | 143.9% | 3.09 | -14.7% | 32 |
| 2021 | 34.3% | 1.38 | -21.4% | 31 |
| 2022 | -6.5% | -0.28 | -20.1% | 16 |
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 | -14.5% | -1.96 | 4% |
| hidden test | EXPENSIVE | 83 | 32.6% | 1.21 | 39% |
| hidden test | EXTREME | 48 | 42.9% | 1.52 | 29% |
| hidden test | HIGH VOLATILITY | 254 | -0.5% | -0.03 | 9% |
| hidden test | LOW VOLATILITY | 445 | 6.7% | 0.37 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -59.4% | -2.72 | 19% |
| hidden test | NORMAL | 818 | -20.5% | -1.21 | 17% |
| hidden test | SIDEWAYS | 300 | -31.1% | -1.70 | 22% |
| hidden test | UPTREND | 371 | 3.7% | 0.15 | 28% |
| train | DOWNTREND | 518 | -6.5% | -1.03 | 2% |
| train | EXPENSIVE | 311 | 5.5% | 0.22 | 40% |
| train | EXTREME | 100 | 126.6% | 4.69 | 38% |
| train | HIGH VOLATILITY | 699 | 14.8% | 0.79 | 11% |
| train | LOW VOLATILITY | 745 | 13.4% | 0.75 | 38% |
| train | MEDIUM VOLATILITY | 568 | -19.2% | -1.03 | 22% |
| train | NORMAL | 1,601 | -3.1% | -0.19 | 20% |
| train | SIDEWAYS | 592 | -3.5% | -0.25 | 17% |
| train | UPTREND | 902 | 16.5% | 0.67 | 41% |
| validation | DOWNTREND | 125 | 32.9% | 2.37 | 5% |
| validation | EXPENSIVE | 138 | 30.4% | 1.03 | 39% |
| validation | EXTREME | 144 | 141.4% | 4.48 | 32% |
| validation | HIGH VOLATILITY | 258 | 32.8% | 1.55 | 13% |
| validation | LOW VOLATILITY | 183 | 28.8% | 1.41 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 55.2% | 1.90 | 32% |
| validation | NORMAL | 474 | 13.8% | 0.70 | 26% |
| validation | SIDEWAYS | 206 | -22.7% | -1.24 | 22% |
| validation | UPTREND | 425 | 74.5% | 2.56 | 40% |
Trades (full period)
latest 100 of 293
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.53% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.17% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -1.18% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-05-26 | 2026-06-04 | $433.59 | $418.45 | -0.57% | 8 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-06 | 2026-05-19 | $398.73 | $404.11 | 4.13% | 10 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.25% | 3 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.23% | 3 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.47% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.87% | 18 | |
| 2025-11-11 | 2025-11-13 | $439.62 | $401.99 | -2.10% | 3 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -4.37% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 0.06% | 17 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -3.16% | 2 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 18.39% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.23% | 8 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.71% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.33% | 3 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -1.55% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.24% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 0.49% | 4 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 0.45% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.27% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -0.68% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 1.53% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -3.91% | 6 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-08 | 2025-05-22 | $284.82 | $341.04 | 6.17% | 11 | |
| 2025-04-30 | 2025-05-07 | $282.16 | $276.22 | -1.66% | 6 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -1.44% | 2 | |
| 2025-01-31 | 2025-02-04 | $404.60 | $392.21 | -2.59% | 3 | |
| 2025-01-29 | 2025-01-30 | $389.10 | $400.28 | -0.69% | 2 | |
| 2025-01-27 | 2025-01-28 | $397.15 | $398.09 | -0.71% | 2 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.24% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.22% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 1.23% | 3 | |
| 2025-01-10 | 2025-01-14 | $394.74 | $396.36 | 0.54% | 3 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -1.19% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 2.24% | 2 | |
| 2024-12-27 | 2025-01-02 | $431.66 | $379.28 | -3.24% | 4 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 2.00% | 2 | |
| 2024-11-20 | 2024-12-23 | $342.03 | $430.60 | 7.65% | 23 | |
| 2024-11-06 | 2024-11-19 | $288.53 | $346.00 | 9.14% | 10 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-11 | 2024-10-03 | $228.13 | $240.66 | 6.07% | 17 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -1.20% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.63% | 2 | |
| 2024-07-09 | 2024-07-18 | $262.33 | $249.23 | -2.00% | 8 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.09% | 10 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.99% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.31% | 2 | |
| 2023-12-07 | 2024-01-04 | $242.64 | $237.93 | -0.39% | 19 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -2.75% | 6 | |
| 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 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.13% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.55% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.35% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.62% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -1.77% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -1.92% | 6 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-31 | 2023-09-05 | $258.08 | $256.49 | -3.85% | 3 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.55% | 2 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -7.71% | 4 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 6.88% | 10 | |
| 2023-06-07 | 2023-06-27 | $224.57 | $250.21 | 7.05% | 14 | |
| 2022-08-24 | 2022-08-29 | $297.10 | $284.82 | -2.41% | 4 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -3.02% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.69% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.58% | 2 | |
| 2022-07-19 | 2022-08-08 | $245.53 | $290.42 | 13.64% | 15 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 1.21% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.11% | 2 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -7.72% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 9.16% | 14 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.04% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.57% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | 0.30% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -3.29% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -0.99% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.09% | 3 |