Strategy Zoo / S1606
PriceMomentum_V1606
ARCHIVEDhybridllmAdded regime gates to avoid extreme bubbles and very high volatility; simplified and diversified entry into a momentum path (ret_20d + macd_hist + above sma_50) and a controlled breakout path (breakout_20 with moderate vol and trend confirmation). Introduced multi-tier volatility sizing (1.0/0.7/0.3) and reduced base_position to 0.9 to lower risk. Strengthened exits with larger negative ret threshold, RSI overbought, drawdown limit and short-term stop (ret_5d) to cut losses faster.
Fitness
0.1238
Generation
74
Complexity
22
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1606 [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 > 0.05 and macd_hist > 0.0 and dist_sma_50 > 0.0) or (breakout_20 > 0.0 and vol_pctile < 0.85 and (sma_200_slope > 0.0 or cumret_252d > 0.0))):
position = 0.9
if long and (ret_20d < -0.03 or rsi_14 > 75.0 or drawdown > 0.1 or ret_5d < -0.08):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | -0.5% | -2.5% | -1.0% |
| Total Return | -3.1% | -1.6% | -9.0% | -13.2% |
| Sharpe | 0.06 | 0.04 | -0.05 | 0.02 |
| Sortino | 0.03 | 0.03 | -0.03 | 0.01 |
| Calmar | -0.01 | -0.02 | -0.12 | -0.02 |
| Volatility | 16.0% | 14.9% | 17.9% | 16.3% |
| Max DD | -47.5% | -21.3% | -21.4% | -47.5% |
| Win Rate | 52.4% | 50.0% | 46.2% | 50.0% |
| Avg Win | 4.9% | 6.1% | 5.6% | 5.3% |
| Avg Loss | -5.1% | -5.7% | -4.9% | -5.1% |
| Payoff | 0.96 | 1.07 | 1.15 | 1.04 |
| Expectancy | 0.1% | 0.2% | -0.0% | 0.1% |
| Profit Factor | 1.06 | 1.07 | 0.99 | 1.04 |
| Trades | 42 | 14 | 26 | 82 |
| Avg Holding Days | 10.1 | 11.1 | 7.7 | 9.5 |
| Turnover | 9.1 | 7.1 | 11.2 | 9.3 |
| Exposure | 15.7% | 15.0% | 15.3% | 15.4% |
Growth of $100
PriceMomentum_V1606 vs TSLA Buy & Hold
PriceMomentum_V1606 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 | -18.2% | -1.25 | -22.2% | 7 |
| 2017 | 10.4% | 1.40 | -4.8% | 8 |
| 2018 | -13.1% | -1.19 | -14.8% | 3 |
| 2019 | -1.0% | 0.06 | -20.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.8% | 0.45 | -15.6% | 11 |
| 2022 | -8.7% | -0.58 | -21.3% | 3 |
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 | -2.6% | -1.38 | 1% |
| hidden test | EXPENSIVE | 83 | 38.4% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -15.9% | -1.13 | 1% |
| hidden test | LOW VOLATILITY | 445 | 15.8% | 0.83 | 26% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.3% | -0.79 | 10% |
| hidden test | NORMAL | 818 | -4.9% | -0.26 | 18% |
| hidden test | SIDEWAYS | 300 | -11.0% | -0.56 | 27% |
| hidden test | UPTREND | 371 | 8.6% | 0.38 | 17% |
| train | DOWNTREND | 518 | -6.0% | -1.26 | 1% |
| train | EXPENSIVE | 311 | 8.5% | 1.46 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.2% | 0.01 | 1% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.09 | 33% |
| train | MEDIUM VOLATILITY | 568 | -22.0% | -1.71 | 11% |
| train | NORMAL | 1,601 | -0.5% | -0.03 | 19% |
| train | SIDEWAYS | 592 | -20.9% | -1.16 | 18% |
| train | UPTREND | 902 | 19.1% | 1.03 | 23% |
| 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 | -7.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 5.6% | 0.30 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 4.2% | 0.25 | 11% |
| validation | NORMAL | 474 | 0.9% | 0.05 | 24% |
| validation | SIDEWAYS | 206 | -11.9% | -0.64 | 25% |
| validation | UPTREND | 425 | 6.8% | 0.44 | 14% |
Trades (full period)
83 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-13 | — | $375.23 | — | -2.68% | 2 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.84% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.65% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.40% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.49% | 19 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 14.55% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.74% | 9 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -11.48% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.00% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.12% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -9.00% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.62% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.44% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.44% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.21% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.18% | 2 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 20.68% | 11 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -0.89% | 34 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -6.81% | 10 | |
| 2023-07-05 | 2023-07-26 | $282.48 | $264.35 | -4.07% | 16 | |
| 2023-06-21 | 2023-06-28 | $259.46 | $256.24 | -8.11% | 6 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.45% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.85% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.82% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.94% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.35% | 2 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 5.53% | 4 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -10.02% | 5 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -3.31% | 20 | |
| 2022-03-21 | 2022-04-12 | $307.05 | $328.98 | 4.99% | 17 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -10.49% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.71% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.03% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.03% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.08% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 11.21% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.75% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.78% | 2 | |
| 2021-08-02 | 2021-10-18 | $236.56 | $290.04 | 20.07% | 55 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.95% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -11.34% | 20 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 5.27% | 3 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 14.95% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -8.76% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -10.36% | 5 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -3.21% | 11 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.93% | 2 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -7.43% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.86% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.56% | 2 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.29% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.88% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.18% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.88% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.33% | 5 | |
| 2016-12-30 | 2017-01-09 | $14.25 | $15.42 | 5.81% | 6 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.07% | 2 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.83% | 23 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -13.98% | 12 | |
| 2016-04-07 | 2016-05-04 | $17.15 | $14.84 | -9.56% | 20 | |
| 2016-03-28 | 2016-04-06 | $15.35 | $17.69 | 8.48% | 8 | |
| 2016-03-23 | 2016-03-24 | $14.84 | $15.18 | -4.66% | 2 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.38% | 2 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.71% | 3 | |
| 2015-09-21 | 2015-10-02 | $17.61 | $16.50 | -6.98% | 10 | |
| 2015-05-19 | 2015-07-28 | $16.48 | $17.65 | 4.53% | 49 | |
| 2015-05-14 | 2015-05-18 | $16.27 | $16.58 | 1.91% | 3 | |
| 2015-04-28 | 2015-05-13 | $15.37 | $16.21 | 4.94% | 12 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.11% | 6 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -6.81% | 14 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -7.79% | 7 | |
| 2014-09-04 | 2014-09-05 | $19.07 | $18.49 | 1.37% | 2 | |
| 2014-08-04 | 2014-09-03 | $15.90 | $18.75 | 19.25% | 22 | |
| 2014-06-09 | 2014-07-09 | $13.69 | $14.87 | 4.58% | 22 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -2.10% | 6 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 14.22% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 5.66% | 46 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.31% | 4 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.82% | 6 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.21% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.77% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 3.71% | 38 |