Strategy Zoo / S1666
PriceMomentum_V1666
ARCHIVEDhybridllm1) Added regime gates: only trade in UPTREND and non-high-volatility regimes and avoid bubble extremes to reduce overfitting and avoid bad macro periods. 2) Simplified and strengthened entry: keep strong ret_20d breakout branch and add a robust momentum branch requiring ret_20d>5%, either sma_50 cross or breakout_20, positive sma_50_slope and moderate vol (vol_pctile<0.7) to improve validation stability. 3) Improved exit rules: multi-condition exit (5d stop-loss, negative MACD histogram, or falling sma_50_slope) to limit drawdowns. 4) Position sizing rules: scaled exposures by volatility and bubble state (lower size in high vol or bubbles). 5) Lowered base position to 0.8 to reduce leverage/turnover and improve walk-forward robustness.
Fitness
0.0654
Generation
77
Complexity
21
Created
2026-10-16
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0852
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1666 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.18 or (ret_20d > 0.05 and (close > sma_50 or breakout_20 > 0.0) and sma_50_slope > 0.0 and vol_pctile < 0.7)):
position = 0.8
if long and (ret_5d < -0.07 or macd_hist < 0.0 or sma_50_slope < 0.0):
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 *= 0.35
if regime.bubble == "EXPENSIVE": position *= 0.5
if regime.bubble == "EXTREME": position *= 0.0Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | -3.2% | 4.3% | -0.5% |
| Total Return | -12.2% | -9.3% | 17.4% | -6.6% |
| Sharpe | -0.14 | -0.26 | 0.44 | 0.00 |
| Sortino | -0.07 | -0.13 | 0.18 | 0.00 |
| Calmar | -0.07 | -0.12 | 0.29 | -0.02 |
| Volatility | 8.9% | 10.5% | 11.2% | 9.8% |
| Max DD | -23.6% | -27.3% | -14.9% | -30.6% |
| Win Rate | 34.5% | 33.3% | 52.0% | 38.8% |
| Avg Win | 2.7% | 4.3% | 3.5% | 3.2% |
| Avg Loss | -1.7% | -2.7% | -2.2% | -2.0% |
| Payoff | 1.57 | 1.58 | 1.56 | 1.59 |
| Expectancy | -0.2% | -0.4% | 0.7% | 0.0% |
| Profit Factor | 0.83 | 0.79 | 1.69 | 1.01 |
| Trades | 55 | 18 | 25 | 98 |
| Avg Holding Days | 3.9 | 4.7 | 3.4 | 3.9 |
| Turnover | 10.3 | 8.3 | 9.6 | 9.7 |
| Exposure | 6.2% | 6.2% | 4.6% | 5.8% |
Growth of $100
PriceMomentum_V1666 vs TSLA Buy & Hold
PriceMomentum_V1666 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 | -4.2% | -0.71 | -8.0% | 8 |
| 2017 | 8.8% | 1.90 | -0.9% | 2 |
| 2018 | -5.5% | -1.28 | -5.5% | 4 |
| 2019 | -6.2% | -1.23 | -6.3% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.9% | 0.54 | -13.4% | 11 |
| 2022 | -16.0% | -2.40 | -16.0% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 33.9% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.5% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 445 | 9.6% | 0.86 | 7% |
| hidden test | MEDIUM VOLATILITY | 251 | 7.1% | 0.51 | 5% |
| hidden test | NORMAL | 819 | 2.2% | 0.20 | 5% |
| hidden test | SIDEWAYS | 300 | -0.4% | -0.30 | 1% |
| hidden test | UPTREND | 371 | 12.8% | 0.72 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 2.3% | 1.18 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.7% | 0.33 | 0% |
| train | LOW VOLATILITY | 745 | -1.9% | -0.17 | 15% |
| train | MEDIUM VOLATILITY | 568 | -5.3% | -0.89 | 2% |
| train | NORMAL | 1,601 | -2.0% | -0.20 | 8% |
| train | SIDEWAYS | 592 | -3.5% | -1.17 | 1% |
| train | UPTREND | 902 | -0.5% | -0.04 | 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 | -6.6% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -4.6% | -0.42 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 1.5% | 0.12 | 4% |
| validation | NORMAL | 474 | -4.4% | -0.33 | 10% |
| validation | SIDEWAYS | 206 | -8.9% | -1.62 | 1% |
| validation | UPTREND | 425 | -0.5% | -0.04 | 11% |
Trades (full period)
98 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.10% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.72% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.22% | 4 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.99% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.49% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.22% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.71% | 8 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.09% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.76% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.82% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.22% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.16% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.52% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.05% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.82% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.43% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.26% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.56% | 10 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.86% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -2.28% | 4 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.41% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.19% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -1.68% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.61% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.54% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.49% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -1.55% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.48% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.65% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.18% | 2 | |
| 2015-07-15 | 2015-07-16 | $17.54 | $17.78 | -0.92% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-06-05 | 2015-06-08 | $16.61 | $17.09 | 0.89% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.05% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.59% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.14% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.25% | 2 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -7.41% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.41% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-07-14 | 2014-07-15 | $15.11 | $14.64 | 2.98% | 2 | |
| 2014-07-10 | 2014-07-11 | $14.63 | $14.54 | -1.45% | 2 | |
| 2014-07-08 | 2014-07-09 | $14.60 | $14.87 | -1.45% | 2 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.67% | 2 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.73% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-12-26 | 2012-12-27 | $2.24 | $2.25 | -1.77% | 2 | |
| 2012-12-21 | 2012-12-24 | $2.27 | $2.29 | -1.16% | 2 | |
| 2012-12-18 | 2012-12-19 | $2.31 | $2.31 | 0.28% | 2 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.33% | 8 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 2.76% | 2 | |
| 2012-03-05 | 2012-03-06 | $2.25 | $2.21 | -0.79% | 2 | |
| 2012-03-01 | 2012-03-02 | $2.29 | $2.27 | 2.23% | 2 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |