Strategy Zoo / S1647
PriceMomentum_V1647
ARCHIVEDhybridllmAdded regime gate requiring UPTREND and normal bubble to avoid adverse macro regimes; split entry into momentum (ret_20d + macd_hist + price above SMA50) and volume breakout branches for robustness; tightened and multi-condition exits (short-term stop, close below SMA50, larger 20d stop) to reduce drawdown; introduced graduated volatility position sizing (full size in low vol, scaled down in medium/high); reduced base position to limit risk.
Fitness
0.4969
Generation
76
Complexity
17
Created
2026-10-15
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1647 [hybrid]
if flat and ((ret_20d > 0.04 and macd_hist > 0.0 and ret_5d > 0.0 and dist_sma_50 > 0.0) or (breakout_20 > 0.0 and volume_breakout > 0.0 and sma_50_slope > 0.0)):
position = 0.8
if long and (ret_5d < -0.04 or close < sma_50 or ret_20d < -0.06):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.2% | 41.5% | 10.7% | 15.1% |
| Total Return | 87.6% | 183.4% | 46.5% | 697.1% |
| Sharpe | 0.54 | 1.69 | 0.65 | 0.85 |
| Sortino | 0.48 | 1.97 | 0.54 | 0.79 |
| Calmar | 0.29 | 1.83 | 0.42 | 0.54 |
| Volatility | 17.5% | 22.0% | 17.9% | 18.6% |
| Max DD | -27.9% | -22.6% | -25.2% | -27.9% |
| Win Rate | 32.7% | 52.2% | 40.7% | 39.2% |
| Avg Win | 9.8% | 13.8% | 9.5% | 11.3% |
| Avg Loss | -2.7% | -3.9% | -3.3% | -3.1% |
| Payoff | 3.56 | 3.51 | 2.84 | 3.62 |
| Expectancy | 1.4% | 5.3% | 1.9% | 2.5% |
| Profit Factor | 1.73 | 3.83 | 1.95 | 2.34 |
| Trades | 52 | 23 | 27 | 102 |
| Avg Holding Days | 15.0 | 13.1 | 11.6 | 13.8 |
| Turnover | 9.7 | 9.5 | 10.4 | 9.8 |
| Exposure | 22.6% | 21.2% | 18.7% | 21.3% |
Growth of $100
PriceMomentum_V1647 vs TSLA Buy & Hold
PriceMomentum_V1647 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 | 15.6% | 1.40 | -5.4% | 3 |
| 2017 | 8.4% | 0.59 | -14.1% | 7 |
| 2018 | -6.7% | -0.75 | -10.2% | 7 |
| 2019 | 9.9% | 0.54 | -21.4% | 5 |
| 2020 | 138.8% | 3.29 | -10.4% | 9 |
| 2021 | 14.0% | 0.73 | -22.6% | 8 |
| 2022 | 3.7% | 0.32 | -14.5% | 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 | -1.7% | -0.16 | 10% |
| hidden test | EXPENSIVE | 83 | 61.7% | 2.68 | 25% |
| hidden test | EXTREME | 48 | 64.5% | 2.58 | 19% |
| hidden test | HIGH VOLATILITY | 254 | 10.3% | 0.76 | 9% |
| hidden test | LOW VOLATILITY | 445 | 32.4% | 1.75 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -23.5% | -1.15 | 17% |
| hidden test | NORMAL | 818 | 3.6% | 0.21 | 18% |
| hidden test | SIDEWAYS | 300 | -4.6% | -0.29 | 24% |
| hidden test | UPTREND | 371 | 35.0% | 1.50 | 21% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 8% |
| train | EXPENSIVE | 311 | 14.8% | 0.73 | 29% |
| train | EXTREME | 100 | 95.2% | 3.79 | 31% |
| train | HIGH VOLATILITY | 699 | 17.9% | 0.99 | 9% |
| train | LOW VOLATILITY | 745 | 17.0% | 0.94 | 40% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.70 | 16% |
| train | NORMAL | 1,601 | 3.0% | 0.18 | 21% |
| train | SIDEWAYS | 592 | -9.3% | -0.62 | 19% |
| train | UPTREND | 902 | 27.0% | 1.22 | 33% |
| validation | DOWNTREND | 125 | 30.4% | 2.21 | 4% |
| validation | EXPENSIVE | 138 | 47.9% | 1.84 | 27% |
| validation | EXTREME | 144 | 121.3% | 4.11 | 27% |
| validation | HIGH VOLATILITY | 258 | 21.6% | 1.14 | 8% |
| validation | LOW VOLATILITY | 183 | 16.4% | 0.96 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 61.8% | 2.35 | 25% |
| validation | NORMAL | 474 | 8.4% | 0.48 | 18% |
| validation | SIDEWAYS | 206 | -16.0% | -1.18 | 15% |
| validation | UPTREND | 425 | 64.8% | 2.44 | 29% |
Trades (full period)
latest 100 of 103
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-12 | — | $378.03 | — | -3.33% | 3 | OPEN |
| 2026-09-09 | 2026-09-29 | $367.81 | $352.84 | -3.01% | 15 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-05-28 | 2026-06-05 | $442.10 | $391.00 | -4.13% | 7 | |
| 2026-05-04 | 2026-05-19 | $392.51 | $404.11 | 3.82% | 12 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.25% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-08 | 2025-10-09 | $346.40 | $435.54 | 18.39% | 24 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.27% | 10 | |
| 2025-05-09 | 2025-06-04 | $298.26 | $332.05 | 7.74% | 18 | |
| 2025-04-28 | 2025-05-07 | $285.88 | $276.22 | -0.98% | 8 | |
| 2024-11-07 | 2024-12-24 | $296.91 | $462.28 | 14.29% | 33 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 3.94% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-19 | 2024-07-25 | $239.20 | $220.25 | -3.77% | 5 | |
| 2024-06-18 | 2024-07-18 | $184.86 | $249.23 | 22.51% | 21 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.33% | 8 | |
| 2024-04-30 | 2024-05-07 | $183.28 | $177.81 | -1.38% | 6 | |
| 2023-11-29 | 2024-01-04 | $244.14 | $237.93 | -2.77% | 25 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-09 | 2023-10-13 | $259.67 | $251.12 | -0.67% | 5 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-07-06 | 2023-07-21 | $276.54 | $260.02 | -4.76% | 12 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 26.30% | 25 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.76% | 4 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 6.88% | 19 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-23 | $306.56 | $296.45 | -4.79% | 6 | |
| 2022-07-19 | 2022-08-10 | $245.53 | $294.36 | 12.50% | 17 | |
| 2022-03-22 | 2022-04-07 | $331.33 | $352.42 | 8.03% | 13 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.95% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -3.29% | 4 | |
| 2021-09-07 | 2021-11-10 | $250.97 | $355.98 | 31.09% | 47 | |
| 2021-08-03 | 2021-08-18 | $236.58 | $229.66 | -5.11% | 12 | |
| 2021-07-13 | 2021-07-20 | $222.85 | $220.17 | -4.78% | 6 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.23% | 9 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -4.14% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -3.53% | 6 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -3.72% | 9 | |
| 2021-01-05 | 2021-01-19 | $245.04 | $281.52 | 7.88% | 10 | |
| 2020-11-18 | 2020-12-29 | $162.21 | $222.00 | 28.32% | 28 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -5.30% | 5 | |
| 2020-08-18 | 2020-09-04 | $125.81 | $139.44 | 9.33% | 14 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 9.94% | 17 | |
| 2020-05-11 | 2020-06-29 | $54.09 | $67.29 | 13.55% | 35 | |
| 2020-04-28 | 2020-05-05 | $51.27 | $51.21 | -1.18% | 6 | |
| 2020-04-14 | 2020-04-24 | $47.33 | $48.34 | 2.45% | 9 | |
| 2020-02-13 | 2020-02-26 | $53.60 | $51.92 | 1.32% | 9 | |
| 2019-12-17 | 2020-02-12 | $25.27 | $51.15 | 55.12% | 39 | |
| 2019-11-06 | 2019-11-25 | $21.77 | $22.42 | -2.00% | 14 | |
| 2019-10-15 | 2019-11-04 | $17.19 | $21.16 | 14.81% | 15 | |
| 2019-10-02 | 2019-10-07 | $16.21 | $15.85 | -3.38% | 4 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.82% | 10 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 1.89% | 19 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -2.61% | 5 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -0.40% | 20 | |
| 2018-08-03 | 2018-08-15 | $23.21 | $22.58 | -0.06% | 9 | |
| 2018-06-07 | 2018-06-25 | $21.07 | $22.20 | 1.29% | 13 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.79% | 2 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -1.75% | 5 | |
| 2018-01-09 | 2018-02-06 | $22.25 | $22.26 | -0.49% | 20 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.54% | 10 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.22% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.28% | 12 | |
| 2017-06-01 | 2017-06-30 | $22.69 | $24.11 | 2.58% | 22 | |
| 2017-05-15 | 2017-05-18 | $21.06 | $20.87 | -3.59% | 4 | |
| 2017-03-28 | 2017-05-05 | $18.50 | $20.56 | 3.18% | 28 | |
| 2016-12-14 | 2017-02-24 | $13.25 | $17.13 | 22.18% | 49 | |
| 2016-07-19 | 2016-08-29 | $15.02 | $14.35 | -1.02% | 30 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-04 | 2016-04-14 | $13.40 | $16.79 | 11.78% | 29 | |
| 2015-12-18 | 2016-01-05 | $15.36 | $14.90 | -3.41% | 11 | |
| 2015-11-27 | 2015-12-09 | $15.44 | $14.97 | -1.28% | 9 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.62% | 7 | |
| 2015-07-21 | 2015-07-28 | $17.78 | $17.65 | -6.41% | 6 | |
| 2015-04-07 | 2015-07-09 | $13.55 | $17.19 | 19.97% | 66 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -3.76% | 2 | |
| 2015-02-06 | 2015-02-13 | $14.49 | $13.58 | -6.74% | 6 | |
| 2014-11-28 | 2014-12-02 | $16.30 | $15.43 | -5.58% | 3 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.07% | 9 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 7.00% | 31 | |
| 2014-06-17 | 2014-07-08 | $15.44 | $14.60 | -0.80% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.07% | 5 | |
| 2014-01-15 | 2014-03-11 | $10.94 | $15.63 | 20.39% | 38 | |
| 2013-12-27 | 2014-01-14 | $10.07 | $10.75 | -6.75% | 12 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -0.88% | 2 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | -1.47% | 12 | |
| 2013-07-30 | 2013-08-16 | $8.78 | $9.47 | 1.27% | 14 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -3.28% | 11 | |
| 2013-04-11 | 2013-06-04 | $2.91 | $6.32 | 29.24% | 38 | |
| 2013-03-27 | 2013-04-09 | $2.54 | $2.70 | 11.19% | 9 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.18% | 18 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 5.35% | 45 | |
| 2012-09-18 | 2012-09-25 | $2.09 | $1.84 | -3.59% | 6 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -1.18% | 2 |