Strategy Zoo / S1627
PriceMomentum_V1627
ARCHIVEDhybridllmAdd regime gates to avoid downtrend/high-volatility/extreme-bubble; require lower vol (vol_pctile<0.85) or breakout confirmation for entries; tighten momentum/trend requirement (sma_50_slope>0) on breakout entries; expand exit to include trend deterioration (sma_50_slope<0) and widen the 20d stop to -6% for robustness; reduce base_position to 0.8 and scale down exposure in high volatility (0.35) while allowing near-full in medium vol (0.9). These structural changes aim to reduce overfitting and improve robustness.
Fitness
0.2720
Generation
75
Complexity
20
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1231
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1627 [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 > 0.12 and vol_pctile < 0.85 and (close > sma_200 or sma_200_slope > 0.0) and cumret_252d > -0.05) or (breakout_20 == 1 and ret_1d > -0.02 and sma_50_slope > 0.0)):
position = 0.8
if long and (ret_20d < -0.06 or sma_50_slope < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.9
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.9% | 16.0% | -0.8% | 5.2% |
| Total Return | 36.0% | 56.3% | -2.9% | 111.3% |
| Sharpe | 0.32 | 0.83 | 0.06 | 0.37 |
| Sortino | 0.23 | 0.69 | 0.04 | 0.27 |
| Calmar | 0.12 | 0.42 | -0.03 | 0.12 |
| Volatility | 16.3% | 20.6% | 19.4% | 18.1% |
| Max DD | -31.8% | -38.3% | -30.9% | -44.5% |
| Win Rate | 54.1% | 36.4% | 42.9% | 46.3% |
| Avg Win | 4.7% | 14.6% | 8.0% | 8.2% |
| Avg Loss | -4.2% | -4.0% | -5.3% | -4.4% |
| Payoff | 1.14 | 3.65 | 1.52 | 1.86 |
| Expectancy | 0.7% | 2.8% | 0.4% | 1.4% |
| Profit Factor | 1.34 | 2.08 | 1.14 | 1.60 |
| Trades | 37 | 22 | 21 | 80 |
| Avg Holding Days | 13.8 | 10.7 | 11.0 | 12.5 |
| Turnover | 7.4 | 11.0 | 9.1 | 8.5 |
| Exposure | 19.2% | 21.3% | 17.6% | 19.2% |
Growth of $100
PriceMomentum_V1627 vs TSLA Buy & Hold
PriceMomentum_V1627 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 | -11.7% | -1.10 | -14.8% | 5 |
| 2017 | 26.2% | 1.49 | -10.5% | 8 |
| 2018 | -15.3% | -1.44 | -16.6% | 2 |
| 2019 | 18.6% | 0.87 | -15.0% | 3 |
| 2020 | 56.5% | 2.41 | -9.1% | 4 |
| 2021 | 32.7% | 1.27 | -19.8% | 11 |
| 2022 | -26.8% | -1.80 | -28.8% | 7 |
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 | 55.4% | 1.83 | 43% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -18.1% | -1.13 | 2% |
| hidden test | LOW VOLATILITY | 445 | 24.3% | 1.40 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -20.7% | -0.83 | 23% |
| hidden test | NORMAL | 818 | -4.3% | -0.23 | 16% |
| hidden test | SIDEWAYS | 300 | -27.4% | -1.54 | 18% |
| hidden test | UPTREND | 371 | 25.0% | 0.94 | 31% |
| train | DOWNTREND | 518 | 0.1% | 0.03 | 0% |
| train | EXPENSIVE | 311 | 39.5% | 1.77 | 31% |
| train | EXTREME | 100 | 8.4% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 2.3% | 0.16 | 1% |
| train | LOW VOLATILITY | 745 | 26.4% | 1.52 | 37% |
| train | MEDIUM VOLATILITY | 568 | -19.1% | -1.09 | 19% |
| train | NORMAL | 1,601 | -1.7% | -0.11 | 18% |
| train | SIDEWAYS | 592 | -9.0% | -0.72 | 9% |
| train | UPTREND | 902 | 17.4% | 0.79 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.8% | 2.72 | 42% |
| validation | EXTREME | 144 | 34.1% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -8.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 0.6% | 0.03 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 47.4% | 1.73 | 27% |
| validation | NORMAL | 474 | -5.9% | -0.30 | 21% |
| validation | SIDEWAYS | 206 | -37.1% | -2.36 | 12% |
| validation | UPTREND | 425 | 48.2% | 1.93 | 32% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -2.92% | 6 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -5.53% | 2 | |
| 2026-05-14 | 2026-06-10 | $443.30 | $381.59 | -8.96% | 19 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2025-12-08 | 2026-01-13 | $439.58 | $447.20 | -1.11% | 25 | |
| 2025-08-26 | 2025-11-14 | $351.67 | $404.35 | 12.83% | 58 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -13.46% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.71% | 2 | |
| 2024-10-02 | 2024-10-18 | $249.02 | $220.70 | -11.60% | 13 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.18% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.93% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.08% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.13% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.22% | 2 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 22.01% | 17 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 23.87% | 44 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -10.09% | 13 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -5.46% | 22 | |
| 2022-04-04 | 2022-04-27 | $381.82 | $293.84 | -14.04% | 17 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.22% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.37% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.38% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.23% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -3.95% | 7 | |
| 2021-08-02 | 2021-11-10 | $236.56 | $355.98 | 38.12% | 72 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -2.16% | 2 | |
| 2021-07-06 | 2021-07-07 | $219.86 | $214.88 | -2.43% | 2 | |
| 2021-07-01 | 2021-07-02 | $225.97 | $226.30 | -0.37% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.20% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 0.72% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -2.51% | 2 | |
| 2021-04-19 | 2021-04-20 | $238.21 | $239.66 | -2.59% | 2 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -2.69% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 31.28% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 22.11% | 13 | |
| 2020-10-15 | 2020-10-30 | $149.63 | $129.35 | -8.29% | 12 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.50% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 41.16% | 40 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.91% | 8 | |
| 2019-09-11 | 2019-09-27 | $16.47 | $16.14 | 1.31% | 13 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-04 | 2018-12-21 | $23.98 | $21.32 | -8.68% | 13 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -7.18% | 17 | |
| 2017-09-18 | 2017-10-16 | $25.67 | $23.37 | -4.81% | 21 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.49% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.89% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.37% | 8 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 2.95% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.85% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 9.63% | 7 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.94% | 42 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -3.63% | 25 | |
| 2016-03-29 | 2016-05-04 | $15.34 | $14.84 | 0.44% | 27 | |
| 2016-03-23 | 2016-03-24 | $14.84 | $15.18 | -4.14% | 2 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.58% | 2 | |
| 2015-12-31 | 2016-01-11 | $16.00 | $13.86 | -8.89% | 7 | |
| 2015-09-24 | 2015-09-25 | $17.54 | $17.13 | 0.42% | 2 | |
| 2015-09-22 | 2015-09-23 | $17.40 | $17.40 | -1.03% | 2 | |
| 2015-04-28 | 2015-08-04 | $15.37 | $17.75 | 10.50% | 69 | |
| 2014-11-17 | 2014-11-18 | $16.93 | $17.18 | -1.45% | 2 | |
| 2014-08-04 | 2014-09-26 | $15.90 | $16.44 | 5.15% | 39 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -4.44% | 18 | |
| 2014-06-19 | 2014-06-20 | $15.19 | $15.31 | 0.08% | 2 | |
| 2014-06-17 | 2014-06-18 | $15.44 | $15.14 | 2.35% | 2 | |
| 2014-06-09 | 2014-06-10 | $13.69 | $13.49 | -1.26% | 2 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.86% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 18.68% | 9 | |
| 2013-09-11 | 2013-10-24 | $10.90 | $11.54 | -0.89% | 32 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.43% | 23 | |
| 2012-11-14 | 2013-01-14 | $2.09 | $2.22 | 3.22% | 41 | |
| 2012-07-16 | 2012-07-17 | $2.40 | $2.22 | 3.45% | 2 | |
| 2012-06-19 | 2012-06-20 | $2.14 | $2.25 | 0.42% | 2 | |
| 2012-02-22 | 2012-04-11 | $2.28 | $2.21 | -3.48% | 35 | |
| 2012-02-17 | 2012-02-21 | $2.33 | $2.30 | 1.69% | 2 | |
| 2012-02-15 | 2012-02-16 | $2.24 | $2.28 | 0.88% | 2 |