Strategy Zoo / S1629
PriceMomentum_V1629
ARCHIVEDhybridllmRequire overall UPTREND and normal bubble regime; tighten entry to combine 20d momentum + positive MACD histogram + price above SMA50 and avoid very high vol; keep a high-momentum breakout arm (ret_20d>0.16) with sanity cumret check; replace single weak exit with stronger multi-condition exit (larger 20d stop, drawdown cap, or break below SMA50); reduce base exposure and add volatility-based scaling (smaller size in HIGH_VOL, medium in MEDIUM_VOL) to improve robustness.
Fitness
0.5264
Generation
75
Complexity
15
Created
2026-10-15
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1629 [hybrid]
if flat and ((ret_20d > 0.03 and macd_hist > 0.0 and close > sma_50 and vol_pctile < 0.85) or (ret_20d > 0.16 and cumret_252d > -0.05)):
position = 0.9
if long and (ret_20d < -0.03 or drawdown > 0.12 or close < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.2
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.9% | 51.8% | 4.8% | 14.4% |
| Total Return | 70.0% | 250.0% | 19.3% | 629.1% |
| Sharpe | 0.43 | 1.89 | 0.32 | 0.74 |
| Sortino | 0.39 | 2.36 | 0.28 | 0.70 |
| Calmar | 0.17 | 2.65 | 0.18 | 0.36 |
| Volatility | 20.3% | 23.5% | 21.8% | 21.4% |
| Max DD | -40.1% | -19.5% | -27.0% | -40.1% |
| Win Rate | 33.3% | 40.0% | 22.7% | 31.7% |
| Avg Win | 9.3% | 30.0% | 17.7% | 17.9% |
| Avg Loss | -3.4% | -3.0% | -3.3% | -3.3% |
| Payoff | 2.72 | 9.86 | 5.41 | 5.39 |
| Expectancy | 0.8% | 10.2% | 1.5% | 3.4% |
| Profit Factor | 1.36 | 6.58 | 1.59 | 2.50 |
| Trades | 45 | 15 | 22 | 82 |
| Avg Holding Days | 20.2 | 27.5 | 17.7 | 21.5 |
| Turnover | 10.5 | 7.1 | 10.6 | 9.8 |
| Exposure | 27.4% | 27.7% | 24.7% | 26.8% |
Growth of $100
PriceMomentum_V1629 vs TSLA Buy & Hold
PriceMomentum_V1629 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 | 5.9% | 0.53 | -10.4% | 3 |
| 2017 | 2.2% | 0.21 | -19.6% | 6 |
| 2018 | -10.8% | -0.88 | -16.7% | 6 |
| 2019 | 15.8% | 0.68 | -22.6% | 4 |
| 2020 | 174.3% | 3.94 | -6.7% | 4 |
| 2021 | 34.5% | 1.34 | -19.5% | 5 |
| 2022 | -7.3% | -0.32 | -16.3% | 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 | -5.2% | -0.51 | 8% |
| hidden test | EXPENSIVE | 83 | 57.1% | 1.94 | 41% |
| hidden test | EXTREME | 48 | 48.3% | 1.84 | 21% |
| hidden test | HIGH VOLATILITY | 254 | -4.8% | -0.36 | 7% |
| hidden test | LOW VOLATILITY | 445 | 41.9% | 1.90 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.9% | -1.57 | 25% |
| hidden test | NORMAL | 818 | -0.4% | -0.02 | 23% |
| hidden test | SIDEWAYS | 300 | -12.1% | -0.60 | 30% |
| hidden test | UPTREND | 371 | 31.8% | 1.12 | 33% |
| train | DOWNTREND | 518 | -9.1% | -0.77 | 10% |
| train | EXPENSIVE | 311 | 27.1% | 1.15 | 37% |
| train | EXTREME | 100 | 89.1% | 4.03 | 31% |
| train | HIGH VOLATILITY | 699 | 9.7% | 0.51 | 8% |
| train | LOW VOLATILITY | 745 | 33.1% | 1.49 | 51% |
| train | MEDIUM VOLATILITY | 568 | -24.6% | -1.28 | 21% |
| train | NORMAL | 1,601 | 0.1% | 0.01 | 25% |
| train | SIDEWAYS | 592 | -12.6% | -0.73 | 20% |
| train | UPTREND | 902 | 32.9% | 1.30 | 43% |
| validation | DOWNTREND | 125 | 23.5% | 1.53 | 5% |
| validation | EXPENSIVE | 138 | 62.4% | 2.27 | 32% |
| validation | EXTREME | 144 | 134.6% | 5.00 | 27% |
| validation | HIGH VOLATILITY | 258 | 20.1% | 1.20 | 9% |
| validation | LOW VOLATILITY | 183 | 21.7% | 0.94 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 77.8% | 2.78 | 29% |
| validation | NORMAL | 474 | 11.9% | 0.58 | 27% |
| validation | SIDEWAYS | 206 | -18.8% | -1.07 | 23% |
| validation | UPTREND | 425 | 81.4% | 2.97 | 37% |
Trades (full period)
83 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -3.28% | 6 | OPEN |
| 2026-09-09 | 2026-09-30 | $367.81 | $354.81 | -4.44% | 16 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -5.51% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.08% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.05% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.03% | 3 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.91% | 15 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 15.78% | 59 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.77% | 11 | |
| 2025-05-06 | 2025-06-06 | $275.35 | $295.14 | -3.40% | 23 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 8.89% | 45 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -6.63% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.67% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -1.05% | 2 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 21.61% | 32 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.22% | 8 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.42% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.79% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.31% | 3 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.65% | 9 | |
| 2023-05-22 | 2023-08-02 | $188.87 | $254.11 | 41.98% | 50 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.11% | 4 | |
| 2023-02-02 | 2023-03-08 | $188.27 | $182.00 | -2.83% | 24 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -10.02% | 5 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 12.02% | 30 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -3.64% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.26% | 27 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.25% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -2.12% | 4 | |
| 2021-08-03 | 2021-12-01 | $236.58 | $365.00 | 41.95% | 85 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.95% | 22 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.21% | 13 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -0.57% | 2 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 36.88% | 58 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | -0.29% | 10 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 8.45% | 27 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 41.99% | 83 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 95.63% | 97 | |
| 2019-10-02 | 2019-10-07 | $16.21 | $15.85 | -3.05% | 4 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -8.72% | 10 | |
| 2019-07-01 | 2019-08-12 | $15.14 | $15.27 | 2.46% | 30 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -7.23% | 2 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.59% | 36 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -3.77% | 9 | |
| 2018-06-13 | 2018-07-06 | $22.99 | $20.59 | -1.75% | 17 | |
| 2018-05-11 | 2018-05-14 | $20.07 | $19.46 | -0.27% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.51% | 2 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -5.34% | 23 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -4.23% | 11 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -6.37% | 8 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.32% | 12 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -3.34% | 26 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 4.05% | 41 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 22.44% | 57 | |
| 2016-07-13 | 2016-08-23 | $14.84 | $14.99 | 0.51% | 30 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.33% | 3 | |
| 2016-03-08 | 2016-05-04 | $13.51 | $14.84 | 0.63% | 41 | |
| 2015-12-18 | 2016-01-05 | $15.36 | $14.90 | -3.78% | 11 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -4.79% | 12 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.88% | 7 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 26.75% | 79 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -4.23% | 2 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -6.56% | 8 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.86% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.86% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.67% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 4.57% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.60% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.72% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.87% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 11.90% | 49 | |
| 2013-12-24 | 2014-01-14 | $10.09 | $10.75 | -5.72% | 14 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 0.29% | 2 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -0.56% | 2 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 7.03% | 79 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 39.32% | 64 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.20% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 5.66% | 46 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -8.35% | 7 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -0.76% | 2 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.68% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.15% | 11 | |
| 2012-02-07 | 2012-04-10 | $2.11 | $2.16 | 5.85% | 44 |