Strategy Zoo / S1626
PriceMomentum_V1626
ARCHIVEDhybridllmAdded trend regime gate (allow only UPTREND or SIDEWAYS); broadened entry to include momentum or 20-day breakout, required either long-term trend support (close>200sma with positive slope) or positive 50slope; relaxed yearly cumulative return filter to avoid overfitting and added overbought guard (rsi<80). Improved exits: multi-condition exit (short and medium momentum stops plus close < sma_50). Introduced graded volatility sizing (LOW=1.0, MED=0.7, HIGH=0.35) and slightly reduced base exposure to lower drawdown risk.
Fitness
0.4683
Generation
75
Complexity
19
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1626 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and ((ret_20d > 0.04 or breakout_20 > 0.0) and ((close > sma_200 and sma_200_slope > 0.0) or sma_50_slope > 0.0) and cumret_252d > -0.08 and rsi_14 < 80.0):
position = 0.9
if long and (ret_5d < -0.03 or ret_20d < -0.06 or close < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.3% | 44.4% | -2.2% | 13.2% |
| Total Return | 119.5% | 201.2% | -8.1% | 524.0% |
| Sharpe | 0.61 | 1.55 | -0.03 | 0.71 |
| Sortino | 0.58 | 1.95 | -0.02 | 0.67 |
| Calmar | 0.34 | 1.45 | -0.08 | 0.35 |
| Volatility | 19.1% | 25.8% | 18.7% | 20.6% |
| Max DD | -30.7% | -30.7% | -28.4% | -38.3% |
| Win Rate | 42.5% | 41.7% | 33.3% | 40.1% |
| Avg Win | 5.2% | 9.3% | 4.5% | 6.9% |
| Avg Loss | -2.4% | -2.6% | -2.4% | -2.5% |
| Payoff | 2.15 | 3.55 | 1.89 | 2.80 |
| Expectancy | 0.8% | 2.4% | -0.1% | 1.3% |
| Profit Factor | 1.59 | 2.54 | 0.95 | 1.87 |
| Trades | 87 | 60 | 45 | 192 |
| Avg Holding Days | 9.3 | 7.2 | 5.9 | 8.0 |
| Turnover | 15.7 | 23.9 | 17.6 | 17.8 |
| Exposure | 24.6% | 30.4% | 17.1% | 23.9% |
Growth of $100
PriceMomentum_V1626 vs TSLA Buy & Hold
PriceMomentum_V1626 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 | -1.4% | -0.14 | -12.0% | 4 |
| 2017 | 7.2% | 0.48 | -17.8% | 11 |
| 2018 | -9.6% | -0.94 | -15.1% | 10 |
| 2019 | 35.6% | 1.60 | -6.1% | 4 |
| 2020 | 194.0% | 3.47 | -12.4% | 22 |
| 2021 | 32.4% | 1.26 | -22.7% | 22 |
| 2022 | -24.7% | -1.64 | -30.7% | 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 | -1.4% | -1.06 | 0% |
| hidden test | EXPENSIVE | 83 | 18.5% | 0.65 | 43% |
| hidden test | EXTREME | 48 | 62.8% | 2.13 | 24% |
| hidden test | HIGH VOLATILITY | 254 | -3.7% | -0.27 | 5% |
| hidden test | LOW VOLATILITY | 445 | 25.1% | 1.26 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.8% | -2.09 | 15% |
| hidden test | NORMAL | 818 | -6.1% | -0.37 | 14% |
| hidden test | SIDEWAYS | 300 | -15.3% | -0.80 | 22% |
| hidden test | UPTREND | 371 | 12.2% | 0.50 | 26% |
| train | DOWNTREND | 518 | -4.0% | -1.11 | 1% |
| train | EXPENSIVE | 311 | 24.7% | 0.99 | 41% |
| train | EXTREME | 100 | 140.8% | 4.72 | 42% |
| train | HIGH VOLATILITY | 699 | 22.0% | 1.14 | 11% |
| train | LOW VOLATILITY | 745 | 18.9% | 0.97 | 42% |
| train | MEDIUM VOLATILITY | 568 | -10.6% | -0.58 | 19% |
| train | NORMAL | 1,601 | 1.0% | 0.06 | 20% |
| train | SIDEWAYS | 592 | -3.7% | -0.27 | 19% |
| train | UPTREND | 902 | 30.7% | 1.18 | 42% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 46.2% | 1.50 | 36% |
| validation | EXTREME | 144 | 159.4% | 4.58 | 35% |
| validation | HIGH VOLATILITY | 258 | 40.9% | 1.81 | 13% |
| validation | LOW VOLATILITY | 183 | 26.0% | 1.13 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 47.5% | 1.61 | 31% |
| validation | NORMAL | 474 | 2.0% | 0.10 | 27% |
| validation | SIDEWAYS | 206 | -34.7% | -1.81 | 25% |
| validation | UPTREND | 425 | 88.1% | 2.81 | 42% |
Trades (full period)
latest 100 of 192
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -1.07% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.84% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.08% | 2 | |
| 2026-05-22 | 2026-06-04 | $426.01 | $418.45 | 1.10% | 9 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.75% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.54% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.40% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.11% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.78% | 16 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -4.59% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | -0.28% | 17 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -3.31% | 2 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 20.50% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 2.44% | 8 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.26% | 8 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.25% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -9.10% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -4.31% | 6 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.44% | 2 | |
| 2025-05-12 | 2025-05-22 | $318.38 | $341.04 | 4.28% | 9 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -1.34% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 2.52% | 2 | |
| 2024-12-27 | 2025-01-02 | $431.66 | $379.28 | -3.64% | 4 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 2.25% | 2 | |
| 2024-11-20 | 2024-12-23 | $342.03 | $430.60 | 8.37% | 23 | |
| 2024-11-07 | 2024-11-19 | $296.91 | $346.00 | 5.41% | 9 | |
| 2024-10-28 | 2024-11-01 | $262.51 | $248.98 | -2.36% | 5 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.45% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.51% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.24% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.71% | 2 | |
| 2023-12-07 | 2024-01-04 | $242.64 | $237.93 | -0.48% | 19 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -3.10% | 6 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.06% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.79% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.32% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.52% | 2 | |
| 2023-10-09 | 2023-10-13 | $259.67 | $251.12 | -0.75% | 5 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.02% | 6 | |
| 2023-07-27 | 2023-08-02 | $255.71 | $254.11 | -0.73% | 5 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.01% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -3.13% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 7.92% | 10 | |
| 2023-06-07 | 2023-06-27 | $224.57 | $250.21 | 7.88% | 14 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.48% | 10 | |
| 2022-08-24 | 2022-08-31 | $297.10 | $275.61 | -5.87% | 6 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -3.44% | 7 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.78% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.66% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.00% | 5 | |
| 2022-04-19 | 2022-04-27 | $342.72 | $293.84 | -8.11% | 7 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.43% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.58% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.02% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 9.62% | 14 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.04% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.64% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.19% | 2 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.12% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -3.70% | 4 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.96% | 2 | |
| 2021-11-16 | 2021-12-02 | $351.58 | $361.53 | 0.72% | 12 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -0.95% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 1.30% | 2 | |
| 2021-08-23 | 2021-11-09 | $235.43 | $341.17 | 56.76% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.21% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.29% | 12 | |
| 2021-07-21 | 2021-07-28 | $218.43 | $215.66 | -2.32% | 6 | |
| 2021-07-12 | 2021-07-20 | $228.57 | $220.17 | -1.63% | 7 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.96% | 2 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.25% | 9 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.24% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.80% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.97% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.30% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.34% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -3.71% | 6 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -1.00% | 2 | |
| 2021-04-05 | 2021-04-06 | $230.35 | $230.54 | 1.33% | 2 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -4.19% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -3.90% | 9 | |
| 2020-12-30 | 2021-01-19 | $231.59 | $281.52 | 14.73% | 13 | |
| 2020-11-18 | 2020-12-29 | $162.21 | $222.00 | 29.87% | 28 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.34% | 2 | |
| 2020-10-12 | 2020-10-21 | $147.43 | $140.88 | -2.43% | 8 | |
| 2020-10-07 | 2020-10-09 | $141.77 | $144.67 | 0.84% | 3 | |
| 2020-09-14 | 2020-09-23 | $139.87 | $126.79 | 4.40% | 8 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 0.37% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -6.70% | 2 | |
| 2020-08-14 | 2020-09-04 | $110.05 | $139.44 | 14.16% | 16 | |
| 2020-08-05 | 2020-08-11 | $99.00 | $91.63 | -2.32% | 5 | |
| 2020-07-30 | 2020-08-04 | $99.17 | $99.13 | -0.33% | 4 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -1.35% | 2 | |
| 2020-06-30 | 2020-07-27 | $71.99 | $102.64 | 18.40% | 19 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.80% | 2 | |
| 2020-06-19 | 2020-06-25 | $66.73 | $65.73 | -2.83% | 5 | |
| 2020-05-05 | 2020-06-18 | $51.21 | $66.93 | 20.38% | 32 | |
| 2020-04-27 | 2020-05-04 | $53.25 | $50.75 | -0.84% | 6 | |
| 2020-04-23 | 2020-04-24 | $47.04 | $48.34 | -1.20% | 2 |