Strategy Zoo / S1645
PriceMomentum_V1645
ARCHIVEDhybridllmAdded explicit trend and bubble regime gates (only trade in UPTREND and NORMAL bubble), replaced brittle ret_20d-only entry with two structured entry signals: momentum + MA alignment (ret_20d, close>sma_50, positive sma_50_slope) and breakout with RSI filter. Improved multi-condition exit (larger stop, overbought + weakening MACD, and proximity to 52w high). Reduced base position and added three volatility-based scaling tiers to lower exposure in high vol. These structural changes target better regime-awareness, risk control and more robust exits.
Fitness
0.2626
Generation
76
Complexity
19
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1645 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((ret_20d > 0.08 and close > sma_50 and sma_50_slope > 0.0) or (breakout_20 == 1 and rsi_14 < 80.0 and cumret_252d > -0.15)):
position = 0.6
if long and (ret_20d < -0.03 or (rsi_14 > 85.0 and macd_hist < 0.0) or dist_52w_high < 0.18):
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 | -0.1% | 12.3% | -6.2% | 0.7% |
| Total Return | -1.1% | 41.5% | -21.5% | 11.6% |
| Sharpe | 0.02 | 1.16 | -0.64 | 0.13 |
| Sortino | 0.01 | 1.09 | -0.37 | 0.09 |
| Calmar | -0.01 | 0.88 | -0.21 | 0.02 |
| Volatility | 7.1% | 10.4% | 9.3% | 8.5% |
| Max DD | -14.8% | -14.0% | -29.8% | -32.0% |
| Win Rate | 47.7% | 57.3% | 45.7% | 49.8% |
| Avg Win | 1.0% | 1.5% | 1.3% | 1.2% |
| Avg Loss | -0.9% | -1.2% | -1.6% | -1.1% |
| Payoff | 1.10 | 1.28 | 0.85 | 1.08 |
| Expectancy | 0.0% | 0.4% | -0.2% | 0.0% |
| Profit Factor | 1.01 | 1.72 | 0.72 | 1.07 |
| Trades | 220 | 103 | 94 | 418 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 29.8 | 32.4 | 26.8 | 29.7 |
| Exposure | 5.9% | 6.4% | 5.3% | 5.9% |
Growth of $100
PriceMomentum_V1645 vs TSLA Buy & Hold
PriceMomentum_V1645 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% | 0.33 | -2.8% | 24 |
| 2017 | 3.6% | 0.55 | -5.1% | 44 |
| 2018 | 0.6% | 0.22 | -2.3% | 11 |
| 2019 | -11.1% | -1.24 | -12.6% | 19 |
| 2020 | 36.5% | 2.60 | -5.4% | 40 |
| 2021 | 12.2% | 1.07 | -5.0% | 38 |
| 2022 | -9.0% | -1.44 | -10.4% | 24 |
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 | -12.3% | -2.00 | 1% |
| hidden test | EXPENSIVE | 83 | 5.1% | 0.36 | 9% |
| hidden test | EXTREME | 48 | 30.2% | 3.59 | 4% |
| hidden test | HIGH VOLATILITY | 254 | -10.2% | -1.25 | 1% |
| hidden test | LOW VOLATILITY | 445 | 1.6% | 0.16 | 8% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.2% | -1.73 | 5% |
| hidden test | NORMAL | 818 | -9.2% | -1.05 | 5% |
| hidden test | SIDEWAYS | 300 | -15.3% | -1.69 | 6% |
| hidden test | UPTREND | 371 | 6.3% | 0.56 | 8% |
| train | DOWNTREND | 518 | -2.7% | -0.75 | 1% |
| train | EXPENSIVE | 311 | 5.5% | 0.53 | 9% |
| train | EXTREME | 100 | 24.9% | 2.00 | 7% |
| train | HIGH VOLATILITY | 699 | -4.4% | -0.92 | 0% |
| train | LOW VOLATILITY | 745 | 2.7% | 0.35 | 12% |
| train | MEDIUM VOLATILITY | 568 | 2.3% | 0.27 | 5% |
| train | NORMAL | 1,601 | -2.5% | -0.43 | 5% |
| train | SIDEWAYS | 592 | 0.5% | 0.09 | 4% |
| train | UPTREND | 902 | 1.5% | 0.16 | 10% |
| validation | DOWNTREND | 125 | -4.0% | -0.96 | 1% |
| validation | EXPENSIVE | 138 | 25.6% | 2.00 | 10% |
| validation | EXTREME | 144 | 44.2% | 3.51 | 6% |
| validation | HIGH VOLATILITY | 258 | 4.7% | 0.74 | 0% |
| validation | LOW VOLATILITY | 183 | 9.2% | 1.15 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 19.8% | 1.44 | 10% |
| validation | NORMAL | 474 | -1.5% | -0.18 | 5% |
| validation | SIDEWAYS | 206 | -3.3% | -0.58 | 4% |
| validation | UPTREND | 425 | 24.3% | 1.86 | 9% |
Trades (full period)
latest 100 of 418
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-12 | 2026-10-13 | $378.03 | $375.23 | -0.85% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.57% | 2 | |
| 2026-09-23 | 2026-09-24 | $380.12 | $377.94 | 0.07% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -3.67% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -3.23% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -0.86% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 0.82% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.05% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.68% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -0.93% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -1.38% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.51% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.39% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -2.89% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 2.02% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.15% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.00% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -2.21% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.46% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 2.20% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -3.18% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.08% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 1.60% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 2.27% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.03% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -0.93% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -0.74% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 0.76% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.20% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -6.07% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.11% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -0.78% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.29% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.21% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.03% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 2.75% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -0.46% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 2.06% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 1.74% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 2.41% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.49% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.10% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.54% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 0.63% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.63% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.06% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.15% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 2.66% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -4.41% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.17% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -2.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -1.68% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.33% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.02% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.80% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.18% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.06% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.40% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.32% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.33% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.01% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.32% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 0.76% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 0.90% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 0.94% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 2.36% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -2.54% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.47% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-25 | 2022-08-26 | $296.07 | $288.09 | -0.33% | 2 | |
| 2022-08-23 | 2022-08-24 | $296.45 | $297.10 | 1.23% | 2 | |
| 2022-08-19 | 2022-08-22 | $296.67 | $289.91 | -1.35% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -0.44% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 1.22% | 2 |