Strategy Zoo / S1665
PriceMomentum_V1665
ARCHIVEDhybridllmAdded conservative regime gates to avoid entries in high-volatility and bubble states; tightened entry with RSI < 75 and a volatility filter (vol_pctile < 0.85) to reduce buying into spikes; broadened exit to include overbought RSI and short-term losses (ret_5d < -7%) alongside MACD flip; lowered base position to 0.8 and added position scaling rules to cut exposure when volatility is elevated or the stock is very close to its 52-week high.
Fitness
0.0789
Generation
77
Complexity
33
Created
2026-10-16
Lineage
Parents (1)
changed ret_20d threshold 0.085 -> 0.1653
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1665 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1653) and cumret_252d > 1.1509 and dist_sma_50 > -0.2357) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 0.8
if long and (macd_hist < 0.0 or rsi_14 > 72.0 or ret_5d < -0.07):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.2% | -1.1% | 0.4% | -1.3% |
| Total Return | -16.4% | -3.4% | 1.6% | -17.9% |
| Sharpe | -0.09 | 0.00 | 0.10 | -0.02 |
| Sortino | -0.05 | 0.00 | 0.07 | -0.01 |
| Calmar | -0.06 | -0.05 | 0.03 | -0.03 |
| Volatility | 14.3% | 15.2% | 15.2% | 14.7% |
| Max DD | -38.6% | -24.4% | -16.4% | -38.6% |
| Win Rate | 47.6% | 42.1% | 39.3% | 44.5% |
| Avg Win | 3.7% | 5.5% | 5.1% | 4.3% |
| Avg Loss | -3.7% | -4.0% | -3.0% | -3.5% |
| Payoff | 1.01 | 1.37 | 1.69 | 1.21 |
| Expectancy | -0.2% | -0.0% | 0.2% | -0.0% |
| Profit Factor | 0.92 | 1.00 | 1.09 | 0.97 |
| Trades | 63 | 19 | 28 | 110 |
| Avg Holding Days | 5.5 | 7.1 | 6.7 | 6.1 |
| Turnover | 12.6 | 10.1 | 11.9 | 11.9 |
| Exposure | 11.3% | 12.3% | 13.4% | 12.0% |
Growth of $100
PriceMomentum_V1665 vs TSLA Buy & Hold
PriceMomentum_V1665 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 | -6.5% | -0.71 | -7.9% | 7 |
| 2017 | 6.3% | 0.76 | -4.3% | 9 |
| 2018 | -5.5% | -0.68 | -9.7% | 3 |
| 2019 | -4.9% | -0.13 | -20.9% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -16.3% | -0.84 | -24.4% | 11 |
| 2022 | 4.3% | 0.36 | -13.9% | 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 | 279 | -2.9% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.8% | -0.15 | 1% |
| hidden test | LOW VOLATILITY | 445 | 8.4% | 0.53 | 20% |
| hidden test | MEDIUM VOLATILITY | 251 | -7.1% | -0.42 | 14% |
| hidden test | NORMAL | 819 | -1.6% | -0.10 | 15% |
| hidden test | SIDEWAYS | 300 | -9.1% | -0.43 | 29% |
| hidden test | UPTREND | 371 | 13.6% | 0.90 | 10% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 9.0% | 1.66 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.0% | 0.36 | 1% |
| train | LOW VOLATILITY | 745 | 14.0% | 1.15 | 19% |
| train | MEDIUM VOLATILITY | 568 | -28.9% | -1.68 | 14% |
| train | NORMAL | 1,601 | -3.3% | -0.21 | 14% |
| train | SIDEWAYS | 592 | -10.0% | -0.59 | 19% |
| train | UPTREND | 902 | 7.6% | 0.48 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | -10.7% | -0.67 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 5.4% | 0.35 | 11% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 20% |
| validation | SIDEWAYS | 206 | 8.1% | 0.38 | 24% |
| validation | UPTREND | 425 | -3.9% | -0.28 | 10% |
Trades (full period)
latest 100 of 110
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | 2026-10-15 | $377.81 | — | -3.00% | 7 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-13 | 2026-05-19 | $445.27 | $404.11 | -4.47% | 5 | |
| 2026-05-08 | 2026-05-12 | $428.35 | $433.45 | 6.26% | 3 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -5.29% | 10 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-17 | 2024-07-02 | $187.44 | $231.26 | 13.98% | 11 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.48% | 17 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.43% | 2 | |
| 2023-05-31 | 2023-06-02 | $203.93 | $213.97 | 2.36% | 3 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-12 | $288.17 | $300.03 | -5.84% | 6 | |
| 2022-08-02 | 2022-08-04 | $300.59 | $308.63 | 2.56% | 3 | |
| 2022-04-06 | 2022-04-11 | $348.59 | $325.31 | -4.98% | 4 | |
| 2022-03-31 | 2022-04-05 | $359.20 | $363.75 | 3.61% | 4 | |
| 2022-03-21 | 2022-03-30 | $307.05 | $364.66 | 16.75% | 8 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.74% | 2 | |
| 2021-10-13 | 2021-10-18 | $270.36 | $290.04 | 3.53% | 4 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 0.92% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-11 | 2021-07-12 | $203.30 | $228.57 | 5.99% | 21 | |
| 2021-05-28 | 2021-06-04 | $208.41 | $199.68 | -7.55% | 5 | |
| 2021-04-08 | 2021-04-29 | $227.93 | $225.67 | 2.76% | 16 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.04% | 2 | |
| 2019-07-22 | 2019-07-24 | $17.05 | $17.66 | 0.46% | 3 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.00% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-10-13 | 2017-10-23 | $23.70 | $22.47 | -2.53% | 7 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.78% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.68% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.21% | 2 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.64% | 2 | |
| 2016-12-30 | 2017-01-05 | $14.25 | $15.12 | 4.41% | 4 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.91% | 13 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -6.15% | 6 | |
| 2016-04-08 | 2016-04-14 | $16.67 | $16.79 | -0.98% | 5 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.00% | 2 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2016-03-23 | 2016-03-24 | $14.84 | $15.18 | -4.14% | 2 | |
| 2015-12-29 | 2016-01-06 | $15.81 | $14.60 | -2.04% | 6 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -4.45% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-07-07 | 2015-07-09 | $17.86 | $17.19 | -7.27% | 3 | |
| 2015-06-25 | 2015-07-06 | $17.92 | $18.65 | 4.31% | 7 | |
| 2015-06-22 | 2015-06-24 | $17.32 | $17.68 | 1.41% | 3 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-05-20 | 2015-05-22 | $16.29 | $16.52 | -0.65% | 3 | |
| 2015-05-14 | 2015-05-15 | $16.27 | $16.59 | 0.14% | 2 | |
| 2015-05-01 | 2015-05-12 | $15.07 | $16.32 | 4.57% | 8 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.52% | 2 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.22% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -7.15% | 4 | |
| 2014-09-08 | 2014-09-12 | $18.81 | $18.61 | 0.69% | 5 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 4.11% | 2 | |
| 2014-08-19 | 2014-08-25 | $17.12 | $17.50 | -1.13% | 5 | |
| 2014-08-15 | 2014-08-18 | $17.47 | $17.33 | 0.03% | 2 | |
| 2014-08-13 | 2014-08-14 | $17.35 | $17.43 | -0.05% | 2 | |
| 2014-08-11 | 2014-08-12 | $17.29 | $17.33 | 3.44% | 2 | |
| 2014-07-31 | 2014-08-08 | $14.89 | $16.54 | 7.99% | 7 | |
| 2014-06-25 | 2014-07-07 | $15.79 | $14.84 | -1.26% | 8 | |
| 2014-05-22 | 2014-06-24 | $13.66 | $15.50 | 14.81% | 23 | |
| 2014-05-01 | 2014-05-09 | $13.85 | $12.15 | -11.45% | 7 | |
| 2014-04-23 | 2014-04-29 | $13.87 | $13.79 | -7.56% | 5 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.12% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -6.31% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 |