Strategy Zoo / S1669
PriceMomentum_V1669
ARCHIVEDhybridllmSimplified and regularized entry to require medium-term momentum plus trend confirmation (sma_50 or sma_200 / sma_200 slope), relaxed cumret filter to avoid overfitting; stronger, multi-condition exit: vol-stop (ret_20d<-3%), trend flip (close < sma_50), and drawdown cap to control tail losses; added regime gates to avoid entering during downtrends, extreme volatility, or bubble extremes; introduced full volatility scaling (LOW high weight, MEDIUM moderate, HIGH conservative) and reduced base_position to lower risk/exposure.
Fitness
0.3068
Generation
77
Complexity
19
Created
2026-10-16
Lineage
Parents (1)
logic of PriceMomentum_V1342 with risk overlay of PriceMomentum_V1554
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1669 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.05 and (close > sma_50 or ret_20d > 0.18) and cumret_252d > -0.05 and (close > sma_200 or sma_200_slope > 0.0)):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "LOW_VOLATILITY": position *= 0.9Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.2% | 16.9% | -3.7% | 4.7% |
| Total Return | 38.4% | 59.6% | -13.2% | 95.8% |
| Sharpe | 0.36 | 1.05 | -0.19 | 0.38 |
| Sortino | 0.28 | 0.97 | -0.12 | 0.30 |
| Calmar | 0.18 | 0.76 | -0.12 | 0.13 |
| Volatility | 14.3% | 16.1% | 14.4% | 14.7% |
| Max DD | -22.8% | -22.2% | -31.2% | -36.6% |
| Win Rate | 39.0% | 33.3% | 25.0% | 35.3% |
| Avg Win | 5.6% | 17.1% | 8.4% | 9.1% |
| Avg Loss | -2.6% | -3.0% | -4.1% | -3.0% |
| Payoff | 2.17 | 5.71 | 2.05 | 3.04 |
| Expectancy | 0.6% | 3.7% | -1.0% | 1.3% |
| Profit Factor | 1.39 | 2.86 | 0.68 | 1.66 |
| Trades | 41 | 15 | 12 | 68 |
| Avg Holding Days | 12.7 | 16.5 | 17.3 | 14.8 |
| Turnover | 6.9 | 5.9 | 4.8 | 6.1 |
| Exposure | 16.2% | 17.9% | 13.1% | 15.8% |
Growth of $100
PriceMomentum_V1669 vs TSLA Buy & Hold
PriceMomentum_V1669 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 | -5.8% | -0.75 | -9.3% | 2 |
| 2017 | 3.6% | 0.32 | -14.0% | 13 |
| 2018 | -9.6% | -1.08 | -10.8% | 3 |
| 2019 | 26.2% | 1.56 | -5.4% | 1 |
| 2020 | 42.5% | 2.53 | -6.0% | 5 |
| 2021 | 27.2% | 1.31 | -18.2% | 7 |
| 2022 | -13.6% | -1.07 | -22.2% | 3 |
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 | -2.0% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 44.9% | 1.87 | 32% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.91 | 1% |
| hidden test | LOW VOLATILITY | 445 | 13.2% | 0.87 | 20% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.7% | -1.46 | 13% |
| hidden test | NORMAL | 819 | -7.7% | -0.57 | 12% |
| hidden test | SIDEWAYS | 300 | -7.5% | -0.54 | 16% |
| hidden test | UPTREND | 371 | 0.7% | 0.03 | 21% |
| train | DOWNTREND | 518 | -4.5% | -1.19 | 1% |
| train | EXPENSIVE | 311 | 23.2% | 1.25 | 27% |
| train | EXTREME | 100 | 5.6% | 1.55 | 0% |
| train | HIGH VOLATILITY | 699 | 7.4% | 0.58 | 1% |
| train | LOW VOLATILITY | 745 | 20.3% | 1.24 | 32% |
| train | MEDIUM VOLATILITY | 568 | -17.8% | -1.38 | 13% |
| train | NORMAL | 1,601 | 1.5% | 0.11 | 15% |
| train | SIDEWAYS | 592 | -7.0% | -0.65 | 12% |
| train | UPTREND | 902 | 18.5% | 0.96 | 28% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 60.5% | 2.87 | 28% |
| validation | EXTREME | 144 | 22.7% | 2.61 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.7% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 6.9% | 0.39 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 41.1% | 2.03 | 20% |
| validation | NORMAL | 474 | 2.4% | 0.15 | 20% |
| validation | SIDEWAYS | 206 | -21.5% | -1.45 | 17% |
| validation | UPTREND | 425 | 40.4% | 2.16 | 23% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.63% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.07% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.35% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.84% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.38% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -8.53% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.14% | 2 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -9.43% | 15 | |
| 2024-07-10 | 2024-07-12 | $263.26 | $248.23 | -3.98% | 3 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.49% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.23% | 2 | |
| 2023-06-09 | 2023-08-02 | $244.40 | $254.11 | 9.35% | 37 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -8.00% | 4 | |
| 2022-08-04 | 2022-08-29 | $308.63 | $284.82 | -4.21% | 18 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -1.88% | 26 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.53% | 6 | |
| 2021-08-04 | 2021-11-10 | $236.97 | $355.98 | 30.93% | 70 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.52% | 22 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -2.53% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -5.53% | 13 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -1.59% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 20.12% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 14.38% | 13 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.85% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.31% | 6 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 2.34% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 35.57% | 40 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.99% | 9 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -0.91% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -2.73% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.20% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.54% | 10 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -5.59% | 7 | |
| 2017-08-30 | 2017-09-07 | $23.55 | $23.37 | -1.30% | 6 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.09% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -1.66% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.26% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -4.61% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 4.72% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -1.57% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 0.53% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.57% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 5.49% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.65% | 42 | |
| 2016-03-29 | 2016-05-04 | $15.34 | $14.84 | -0.05% | 27 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.81% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.17% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -4.36% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.53% | 64 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.67% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.65% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.64% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 3.75% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.48% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.18% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.66% | 5 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -3.26% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 11.75% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -5.07% | 7 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 1.21% | 32 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 12.09% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.65% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 4.60% | 46 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -2.53% | 4 | |
| 2012-07-06 | 2012-07-20 | $2.07 | $2.12 | 2.51% | 11 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -2.45% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 2.89% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 3.45% | 38 |