Strategy Zoo / S1670
PriceMomentum_V1670
ARCHIVEDhybridllmAdded regime gate to require UPTREND + MEDIUM volatility and NORMAL bubble; simplified & de-duplicated entry logic; introduced a volatility filter (vol_pctile < 0.8) to avoid extreme noise; tightened distance-from-50SMA and kept momentum/breakout signals; added a safety exit on drawdown <-12% alongside macd_hist<0; reduced base position to 0.8 and added volatility- and volume-based position scaling (reduce size in high vol, increase on big volume spikes) to improve robustness and lower drawdown.
Fitness
0.3671
Generation
77
Complexity
19
Created
2026-10-16
Lineage
Parents (1)
swapped indicator ret_20d -> cumret_252d; removed entry condition: (ret_20d > 0.184 and breakout_20 == 1)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1670 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or cumret_252d > 1.1509) and ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.5)) and dist_sma_50 > -0.25 and vol_pctile < 0.8 and sma_20 < close):
position = 0.8
if long and (macd_hist < 0.0 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.4% | 35.8% | -4.8% | 8.9% |
| Total Return | 64.7% | 150.4% | -17.0% | 250.4% |
| Sharpe | 0.42 | 1.19 | -0.25 | 0.51 |
| Sortino | 0.35 | 1.09 | -0.16 | 0.42 |
| Calmar | 0.20 | 1.02 | -0.16 | 0.16 |
| Volatility | 19.2% | 29.3% | 15.1% | 20.8% |
| Max DD | -32.8% | -35.0% | -31.0% | -54.1% |
| Win Rate | 38.5% | 45.5% | 47.5% | 42.9% |
| Avg Win | 4.9% | 6.9% | 2.1% | 4.6% |
| Avg Loss | -2.0% | -2.0% | -2.3% | -2.1% |
| Payoff | 2.48 | 3.49 | 0.93 | 2.24 |
| Expectancy | 0.7% | 2.1% | -0.2% | 0.8% |
| Profit Factor | 1.55 | 2.91 | 0.84 | 1.68 |
| Trades | 117 | 55 | 80 | 252 |
| Avg Holding Days | 4.5 | 4.4 | 2.5 | 3.9 |
| Turnover | 23.5 | 29.3 | 34.0 | 27.3 |
| Exposure | 16.9% | 19.6% | 10.0% | 15.7% |
Growth of $100
PriceMomentum_V1670 vs TSLA Buy & Hold
PriceMomentum_V1670 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 | -1.9% | -0.21 | -5.5% | 18 |
| 2017 | 11.1% | 0.72 | -12.1% | 21 |
| 2018 | -7.4% | -0.94 | -10.6% | 6 |
| 2019 | 4.8% | 0.52 | -7.4% | 5 |
| 2020 | 156.7% | 2.40 | -18.9% | 9 |
| 2021 | 26.7% | 1.14 | -15.2% | 31 |
| 2022 | -23.4% | -2.23 | -23.3% | 15 |
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 | -1.7% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | 40.1% | 1.80 | 18% |
| hidden test | EXTREME | 48 | 36.3% | 1.40 | 17% |
| hidden test | HIGH VOLATILITY | 254 | -14.8% | -0.99 | 4% |
| hidden test | LOW VOLATILITY | 445 | 0.4% | 0.03 | 13% |
| hidden test | MEDIUM VOLATILITY | 251 | -0.2% | -0.01 | 11% |
| hidden test | NORMAL | 819 | -10.6% | -0.81 | 9% |
| hidden test | SIDEWAYS | 300 | -16.7% | -1.28 | 12% |
| hidden test | UPTREND | 371 | 5.0% | 0.24 | 16% |
| train | DOWNTREND | 518 | -6.4% | -1.18 | 1% |
| train | EXPENSIVE | 311 | 26.8% | 1.07 | 35% |
| train | EXTREME | 100 | 195.0% | 3.79 | 47% |
| train | HIGH VOLATILITY | 699 | 21.3% | 0.87 | 12% |
| train | LOW VOLATILITY | 745 | 11.2% | 0.81 | 23% |
| train | MEDIUM VOLATILITY | 568 | -12.4% | -0.70 | 15% |
| train | NORMAL | 1,601 | -7.3% | -0.56 | 11% |
| train | SIDEWAYS | 592 | -5.3% | -0.43 | 13% |
| train | UPTREND | 902 | 25.1% | 0.95 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 60.3% | 1.95 | 29% |
| validation | EXTREME | 144 | 146.2% | 2.86 | 33% |
| validation | HIGH VOLATILITY | 258 | 24.1% | 0.65 | 11% |
| validation | LOW VOLATILITY | 183 | 23.6% | 1.53 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 50.1% | 1.79 | 24% |
| validation | NORMAL | 474 | -6.4% | -0.39 | 13% |
| validation | SIDEWAYS | 206 | -9.5% | -1.08 | 8% |
| validation | UPTREND | 425 | 66.5% | 1.73 | 31% |
Trades (full period)
latest 100 of 252
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.31% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -4.24% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 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 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.63% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.24% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.51% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.10% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-09 | 2024-12-23 | $389.79 | $430.60 | 6.49% | 11 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 5.72% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.22% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.53% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -3.38% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -2.67% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.26% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.93% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.91% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.41% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.06% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.21% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.35% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.14% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.39% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -2.97% | 4 | |
| 2022-03-29 | 2022-04-01 | $366.52 | $361.53 | -1.20% | 4 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.23% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-28 | 2021-12-31 | $362.82 | $352.26 | -1.89% | 4 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-04 | 2021-10-07 | $260.51 | $264.54 | 0.62% | 4 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.76% | 4 |