Strategy Zoo / S1628
PriceMomentum_V1628
ARCHIVEDhybridllmAdded regime gates to avoid downtrend and extreme/high-volatility/bubble regimes; simplified and diversified entry signals to require either moderate 20d momentum, a 20d breakout, or a bullish 50-day MA cross with positive 50d slope, plus filters on 1y cumulative return and volatility percentile to reduce overfitting. Replaced fragile tiny 20d-exit with a safer multi-condition exit: larger 20d stop, 50-day MA breakdown, or a drawdown stop. Adjusted volatility scaling to reduce size in medium and high volatility (0.7 / 0.3) for risk control.
Fitness
0.2625
Generation
75
Complexity
18
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1628 [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 > 0.05 or breakout_20 > 0.0 or (close > sma_50 and sma_50_slope > 0.0)) and cumret_252d > -0.25 and vol_pctile < 0.9):
position = 1.0
if long and (ret_20d < -0.06 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 22.1% | -7.3% | 2.3% |
| Total Return | -0.4% | 82.0% | -24.8% | 40.4% |
| Sharpe | 0.11 | 0.91 | -0.20 | 0.22 |
| Sortino | 0.09 | 0.88 | -0.16 | 0.18 |
| Calmar | -0.00 | 0.66 | -0.17 | 0.05 |
| Volatility | 22.7% | 25.6% | 23.7% | 23.6% |
| Max DD | -51.0% | -33.3% | -43.9% | -51.0% |
| Win Rate | 31.9% | 43.3% | 31.4% | 34.3% |
| Avg Win | 6.7% | 12.2% | 7.8% | 9.1% |
| Avg Loss | -3.2% | -4.3% | -4.1% | -3.7% |
| Payoff | 2.07 | 2.82 | 1.88 | 2.46 |
| Expectancy | -0.1% | 2.8% | -0.4% | 0.7% |
| Profit Factor | 0.97 | 2.16 | 0.86 | 1.29 |
| Trades | 69 | 30 | 35 | 134 |
| Avg Holding Days | 9.9 | 10.4 | 8.8 | 10.0 |
| Turnover | 16.0 | 16.8 | 17.1 | 16.4 |
| Exposure | 28.7% | 31.4% | 26.2% | 28.6% |
Growth of $100
PriceMomentum_V1628 vs TSLA Buy & Hold
PriceMomentum_V1628 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 | -10.6% | -0.81 | -16.2% | 7 |
| 2017 | 10.0% | 0.55 | -15.4% | 17 |
| 2018 | -13.3% | -0.94 | -15.2% | 3 |
| 2019 | 10.4% | 0.48 | -24.0% | 5 |
| 2020 | 66.4% | 2.40 | -14.0% | 8 |
| 2021 | 20.8% | 0.75 | -27.1% | 15 |
| 2022 | -11.7% | -0.47 | -27.4% | 6 |
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 | -3.2% | -1.53 | 1% |
| hidden test | EXPENSIVE | 83 | 63.3% | 1.86 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.5% | -1.12 | 2% |
| hidden test | LOW VOLATILITY | 445 | 24.3% | 1.05 | 38% |
| hidden test | MEDIUM VOLATILITY | 250 | -43.3% | -1.42 | 30% |
| hidden test | NORMAL | 818 | -11.9% | -0.51 | 26% |
| hidden test | SIDEWAYS | 300 | -49.8% | -2.12 | 36% |
| hidden test | UPTREND | 371 | 30.7% | 0.98 | 37% |
| train | DOWNTREND | 518 | -8.6% | -1.05 | 1% |
| train | EXPENSIVE | 311 | 28.3% | 0.95 | 44% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -0.8% | -0.04 | 2% |
| train | LOW VOLATILITY | 745 | 31.0% | 1.28 | 56% |
| train | MEDIUM VOLATILITY | 568 | -30.8% | -1.36 | 26% |
| train | NORMAL | 1,601 | -2.9% | -0.13 | 28% |
| train | SIDEWAYS | 592 | -15.2% | -0.76 | 23% |
| train | UPTREND | 902 | 20.5% | 0.70 | 48% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 83.6% | 2.58 | 47% |
| validation | EXTREME | 144 | 37.2% | 2.85 | 2% |
| validation | HIGH VOLATILITY | 258 | -11.7% | -1.12 | 1% |
| validation | LOW VOLATILITY | 183 | 28.4% | 1.02 | 71% |
| validation | MEDIUM VOLATILITY | 315 | 48.9% | 1.52 | 34% |
| validation | NORMAL | 474 | 1.4% | 0.05 | 36% |
| validation | SIDEWAYS | 206 | -21.6% | -0.88 | 33% |
| validation | UPTREND | 425 | 51.8% | 1.75 | 40% |
Trades (full period)
latest 100 of 135
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -3.65% | 6 | OPEN |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -3.21% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -4.19% | 2 | |
| 2026-06-16 | 2026-06-18 | $404.66 | $400.49 | -2.66% | 3 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.14% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -2.24% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.50% | 4 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -2.64% | 21 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 17.65% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.78% | 5 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -12.57% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -10.01% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.79% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 21.16% | 11 | |
| 2024-05-29 | 2024-06-12 | $176.19 | $177.29 | -3.64% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.96% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.46% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 31.28% | 44 | |
| 2023-02-28 | 2023-03-09 | $205.71 | $172.92 | -8.87% | 8 | |
| 2022-09-07 | 2022-09-26 | $283.70 | $276.01 | 0.13% | 14 | |
| 2022-09-01 | 2022-09-02 | $277.16 | $270.21 | 0.36% | 2 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -7.18% | 22 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.97% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.90% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-27 | 2022-01-03 | $364.65 | $399.93 | -0.80% | 6 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.62% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.40% | 2 | |
| 2021-12-07 | 2021-12-08 | $350.58 | $356.32 | 2.82% | 2 | |
| 2021-12-03 | 2021-12-06 | $338.32 | $336.34 | -4.63% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -3.84% | 7 | |
| 2021-07-29 | 2021-11-10 | $225.78 | $355.98 | 58.46% | 74 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -1.99% | 24 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -3.69% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -8.02% | 13 | |
| 2021-02-22 | 2021-02-23 | $238.17 | $232.95 | -8.74% | 2 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -4.31% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 30.32% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 30.13% | 14 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -4.04% | 3 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-13 | 2020-10-29 | $148.88 | $136.94 | -6.96% | 13 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -2.32% | 2 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2020-05-29 | 2020-06-01 | $55.67 | $59.87 | 2.39% | 2 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 52.09% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 16.59% | 9 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.10% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -6.61% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-11-26 | 2018-12-21 | $23.07 | $21.32 | -1.50% | 19 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -8.28% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -2.07% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.30% | 3 | |
| 2017-10-11 | 2017-10-16 | $23.64 | $23.37 | -0.21% | 4 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.51% | 4 | |
| 2017-08-30 | 2017-09-26 | $23.55 | $23.02 | -1.34% | 19 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.58% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -6.70% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.94% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 1.07% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 12.47% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -0.76% | 2 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 13.24% | 42 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.43% | 27 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.07% | 2 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.43% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.68% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -5.23% | 4 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -2.78% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.45% | 7 |