Strategy Zoo / S1622
PriceMomentum_V1622
ARCHIVEDhybridllmAdded regime gates to avoid entries in DOWNTREND or bubble states; introduced volatility percentile and momentum filters to reduce noisy/high-volatility entries; expanded entry to accept either SMA200 trend confirmation, a 20-day breakout, or stronger 20d returns; tightened exit to use a larger short-term stop, SMA50 breach, or portfolio drawdown trigger; lowered base position and added explicit low/med/high volatility scaling to improve risk control.
Fitness
0.0864
Generation
75
Complexity
20
Created
2026-10-15
Lineage
Parents (1)
reduce exposure to 56% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1622 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and ((close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.0 or ret_20d > 0.14) and vol_pctile < 0.75 and momentum_60 > 0.0 and cumret_252d > -0.05):
position = 0.8
if long and (ret_20d < -0.02 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.9
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.2% | 3.2% | -0.2% | -1.7% |
| Total Return | -29.0% | 9.9% | -0.9% | -22.7% |
| Sharpe | -0.42 | 0.39 | 0.01 | -0.15 |
| Sortino | -0.23 | 0.23 | 0.00 | -0.08 |
| Calmar | -0.12 | 0.14 | -0.02 | -0.05 |
| Volatility | 9.1% | 9.2% | 8.0% | 8.9% |
| Max DD | -34.6% | -22.2% | -12.0% | -34.6% |
| Win Rate | 37.9% | 46.8% | 51.2% | 43.5% |
| Avg Win | 1.4% | 1.7% | 1.6% | 1.5% |
| Avg Loss | -1.4% | -1.1% | -1.7% | -1.4% |
| Payoff | 0.95 | 1.62 | 0.96 | 1.10 |
| Expectancy | -0.4% | 0.2% | 0.0% | -0.1% |
| Profit Factor | 0.58 | 1.43 | 1.00 | 0.85 |
| Trades | 87 | 47 | 43 | 177 |
| Avg Holding Days | 3.1 | 2.4 | 2.3 | 2.7 |
| Turnover | 14.4 | 18.3 | 15.0 | 15.3 |
| Exposure | 6.0% | 5.1% | 3.8% | 5.3% |
Growth of $100
PriceMomentum_V1622 vs TSLA Buy & Hold
PriceMomentum_V1622 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 | -0.3% | -0.03 | -3.8% | 8 |
| 2017 | 5.6% | 1.38 | -1.6% | 9 |
| 2018 | -7.5% | -1.70 | -7.6% | 11 |
| 2019 | -4.2% | -0.92 | -5.0% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 22.2% | 1.42 | -12.9% | 31 |
| 2022 | -10.1% | -1.88 | -10.7% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 30.4% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.1% | -1.41 | 0% |
| hidden test | LOW VOLATILITY | 445 | 2.0% | 0.20 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.1% | -0.42 | 2% |
| hidden test | NORMAL | 818 | -3.0% | -0.39 | 4% |
| hidden test | SIDEWAYS | 300 | -9.7% | -1.21 | 5% |
| hidden test | UPTREND | 371 | 8.1% | 0.77 | 6% |
| train | DOWNTREND | 518 | -1.8% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 1.2% | 1.09 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.4% | 0.19 | 0% |
| train | LOW VOLATILITY | 745 | -3.8% | -0.34 | 14% |
| train | MEDIUM VOLATILITY | 568 | -10.5% | -1.34 | 3% |
| train | NORMAL | 1,601 | -5.1% | -0.50 | 7% |
| train | SIDEWAYS | 592 | -6.8% | -1.42 | 2% |
| train | UPTREND | 902 | -3.2% | -0.25 | 12% |
| 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 | -9.8% | -1.51 | 1% |
| validation | LOW VOLATILITY | 183 | 22.3% | 2.61 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 3.5% | 0.32 | 4% |
| validation | NORMAL | 474 | 5.7% | 0.49 | 8% |
| validation | SIDEWAYS | 206 | -1.0% | -0.18 | 3% |
| validation | UPTREND | 425 | 6.8% | 0.58 | 8% |
Trades (full period)
latest 100 of 177
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.86% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.15% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.43% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.14% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.14% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -3.56% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 1.82% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 2.65% | 2 | |
| 2025-12-15 | 2026-01-02 | $475.31 | $438.07 | -1.52% | 13 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.05% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.81% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.66% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -1.80% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.62% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.85% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 0.82% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.81% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -1.77% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.12% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.62% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 0.72% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.07% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.21% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.70% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.32% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.90% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.23% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.26% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.59% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.06% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.46% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.36% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.05% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.59% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -4.50% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.28% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.70% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.39% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.41% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.78% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.22% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -0.50% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 1.39% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.36% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.27% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.28% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 0.99% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.04% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.37% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.24% | 2 | |
| 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 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.95% | 2 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.11% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -2.71% | 3 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.02% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.56% | 2 | |
| 2021-11-19 | 2021-11-24 | $379.02 | $372.00 | -0.58% | 4 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 0.85% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -0.60% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.17% | 2 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 18.76% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.11% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.88% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.23% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.17% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.20% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.43% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 0.76% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.09% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.95% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.05% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.75% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.13% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.61% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.76% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.29% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.65% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.36% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.36% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.23% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.14% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.04% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.66% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.40% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.14% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.37% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.56% | 2 | |
| 2019-10-23 | 2019-10-24 | $16.98 | $19.98 | -0.40% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.25% | 2 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -0.95% | 9 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.02% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.38% | 2 | |
| 2018-11-21 | 2018-11-23 | $22.55 | $21.72 | -0.81% | 2 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -0.61% | 2 |