Strategy Zoo / S1603
PriceMomentum_V1603
ARCHIVEDhybridllmAdded regime gates to avoid downtrends and very high volatility; simplified entry to robust momentum + MA confirmation with RSI and volatility filters to reduce overfitting; added a clearer, volatility-aware exit (deeper stop + MA break); implemented volatility- and bubble-based scaling and reduced base position for better generalization.
Fitness
0.2058
Generation
74
Complexity
22
Created
2026-10-15
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0852
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1603 [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 > 0.03 and (close > sma_50 or (close > sma_200 and sma_200_slope > 0.0)) and rsi_14 < 80.0 and vol_pctile < 0.8) or ret_20d > 0.18):
position = 0.6
if long and (ret_20d < -0.03 or close < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.2
if regime.bubble == "EXPENSIVE": position *= 0.5
if regime.bubble == "EXTREME": position *= 0.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.2% | 6.9% | 1.5% | 1.9% |
| Total Return | 1.6% | 22.3% | 5.6% | 32.3% |
| Sharpe | 0.07 | 0.66 | 0.18 | 0.22 |
| Sortino | 0.06 | 0.56 | 0.13 | 0.17 |
| Calmar | 0.01 | 0.38 | 0.09 | 0.06 |
| Volatility | 11.5% | 11.1% | 12.8% | 11.7% |
| Max DD | -33.7% | -18.3% | -15.7% | -33.7% |
| Win Rate | 37.3% | 36.4% | 34.8% | 36.5% |
| Avg Win | 3.6% | 6.2% | 6.2% | 5.0% |
| Avg Loss | -2.2% | -1.8% | -2.5% | -2.2% |
| Payoff | 1.63 | 3.39 | 2.45 | 2.30 |
| Expectancy | -0.0% | 1.1% | 0.5% | 0.4% |
| Profit Factor | 0.97 | 1.94 | 1.31 | 1.32 |
| Trades | 51 | 22 | 23 | 96 |
| Avg Holding Days | 11.6 | 12.2 | 12.0 | 12.1 |
| Turnover | 6.4 | 6.1 | 7.0 | 6.5 |
| Exposure | 13.0% | 13.1% | 12.9% | 13.0% |
Growth of $100
PriceMomentum_V1603 vs TSLA Buy & Hold
PriceMomentum_V1603 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 | -4.9% | -0.66 | -7.8% | 4 |
| 2017 | 5.2% | 0.74 | -7.3% | 14 |
| 2018 | -5.2% | -0.66 | -8.0% | 3 |
| 2019 | -1.3% | 0.00 | -16.9% | 4 |
| 2020 | 17.1% | 2.70 | -2.4% | 5 |
| 2021 | 14.9% | 0.99 | -13.8% | 12 |
| 2022 | -9.8% | -0.94 | -18.3% | 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 | 278 | -1.6% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 30.9% | 2.34 | 13% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.3% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 445 | 17.1% | 1.26 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.4% | -1.01 | 12% |
| hidden test | NORMAL | 818 | -0.5% | -0.04 | 14% |
| hidden test | SIDEWAYS | 300 | -13.7% | -1.03 | 20% |
| hidden test | UPTREND | 371 | 18.1% | 1.10 | 16% |
| train | DOWNTREND | 518 | -6.3% | -1.38 | 1% |
| train | EXPENSIVE | 311 | 12.1% | 1.48 | 12% |
| train | EXTREME | 100 | 2.1% | 1.55 | 0% |
| train | HIGH VOLATILITY | 699 | 2.2% | 0.20 | 1% |
| train | LOW VOLATILITY | 745 | 12.7% | 0.98 | 27% |
| train | MEDIUM VOLATILITY | 568 | -16.3% | -1.62 | 9% |
| train | NORMAL | 1,601 | -1.4% | -0.11 | 14% |
| train | SIDEWAYS | 592 | -12.2% | -1.10 | 12% |
| train | UPTREND | 902 | 13.6% | 0.96 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 26.7% | 3.09 | 11% |
| validation | EXTREME | 144 | 8.5% | 2.61 | 1% |
| validation | HIGH VOLATILITY | 258 | -2.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 1.8% | 0.13 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 18.9% | 1.45 | 12% |
| validation | NORMAL | 474 | 1.3% | 0.10 | 18% |
| validation | SIDEWAYS | 206 | -19.7% | -1.62 | 16% |
| validation | UPTREND | 425 | 22.6% | 1.86 | 15% |
Trades (full period)
97 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -2.19% | 6 | OPEN |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -2.97% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -0.80% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.20% | 15 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 8.87% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -4.28% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 2.36% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.25% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 2.08% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.11% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 17.32% | 19 | |
| 2024-06-10 | 2024-06-12 | $173.79 | $177.29 | -2.43% | 3 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.46% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.46% | 4 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.24% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -2.44% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.50% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 18.65% | 44 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -5.44% | 4 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -3.56% | 7 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -6.76% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -1.61% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.27% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -0.69% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 1.34% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -2.27% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.39% | 6 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 25.38% | 71 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.24% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.16% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -1.90% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.14% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -1.90% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -4.16% | 13 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.71% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 7.21% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 7.16% | 14 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -1.18% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -0.49% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 0.88% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 16.11% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 10.03% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -5.84% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -4.82% | 2 | |
| 2018-11-26 | 2018-12-19 | $23.07 | $22.20 | 1.90% | 17 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -2.05% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -4.98% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.38% | 10 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -0.64% | 4 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -2.15% | 8 | |
| 2017-08-30 | 2017-09-07 | $23.55 | $23.37 | -0.59% | 6 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -0.41% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -0.62% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 0.47% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -1.74% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 1.74% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -0.58% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | -0.00% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.21% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 2.12% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 8.82% | 42 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.58% | 23 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.26% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.27% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -3.67% | 4 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -2.18% | 2 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.59% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -3.27% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 8.43% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.92% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.11% | 10 | |
| 2014-09-19 | 2014-09-23 | $17.29 | $16.69 | -1.97% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.93% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 3.18% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.40% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-05-27 | 2014-06-03 | $14.10 | $13.66 | -0.52% | 6 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -1.23% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 4.27% | 9 | |
| 2014-01-03 | 2014-01-14 | $9.97 | $10.75 | -3.50% | 8 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 0.53% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -3.15% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 3.88% | 46 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -1.90% | 4 | |
| 2012-07-06 | 2012-07-20 | $2.07 | $2.12 | 2.13% | 11 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -1.84% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 2.18% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 3.52% | 38 |