Strategy Zoo / S1672
PriceMomentum_V1672
ARCHIVEDhybridllmAdded regime gating (allow only UPTREND/SIDEWAYS & LOW/MEDIUM vol, bubble NORMAL) to avoid bad regimes; lowered base_position to 0.6 and expanded volatility scaling (higher in low vol, lower in high vol) to reduce drawdown; tightened entry by requiring positive macd_hist confirmation on primary branch to cut false breakouts; enhanced exit to include short-term momentum failure (ret_5d < -3% with macd_hist < 0) and a close cross below sma_50 for more reliable exits.
Fitness
0.1556
Generation
77
Complexity
25
Created
2026-10-16
Lineage
Parents (1)
logic of PriceMomentum_V1342 with risk overlay of PriceMomentum_V1554
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1672 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.0062) and macd_hist > 0.0) or ret_20d > 0.184):
position = 0.6
if long and (ret_20d < -0.006 or (ret_5d < -0.03 and macd_hist < 0.0) or close < sma_50):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 0.85
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 3.0% | 0.9% | 0.6% |
| Total Return | -2.8% | 9.2% | 3.5% | 9.8% |
| Sharpe | -0.01 | 0.42 | 0.15 | 0.12 |
| Sortino | -0.01 | 0.26 | 0.08 | 0.07 |
| Calmar | -0.02 | 0.35 | 0.07 | 0.03 |
| Volatility | 7.2% | 7.7% | 8.4% | 7.6% |
| Max DD | -16.9% | -8.5% | -13.6% | -23.8% |
| Win Rate | 32.3% | 46.2% | 43.5% | 38.8% |
| Avg Win | 3.9% | 3.9% | 2.9% | 3.5% |
| Avg Loss | -1.9% | -1.8% | -1.9% | -1.9% |
| Payoff | 2.04 | 2.12 | 1.54 | 1.86 |
| Expectancy | -0.0% | 0.8% | 0.2% | 0.2% |
| Profit Factor | 0.97 | 1.82 | 1.19 | 1.18 |
| Trades | 31 | 13 | 23 | 67 |
| Avg Holding Days | 10.2 | 9.8 | 6.5 | 8.8 |
| Turnover | 3.7 | 3.9 | 5.5 | 4.2 |
| Exposure | 6.8% | 6.7% | 6.3% | 6.6% |
Growth of $100
PriceMomentum_V1672 vs TSLA Buy & Hold
PriceMomentum_V1672 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 | 0.4% | 0.10 | -3.6% | 3 |
| 2017 | 7.5% | 1.66 | -2.7% | 3 |
| 2018 | -4.9% | -1.25 | -5.7% | 3 |
| 2019 | -10.0% | -1.34 | -10.0% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.5% | 0.84 | -8.5% | 8 |
| 2022 | -0.3% | -0.01 | -7.9% | 5 |
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 | -0.8% | -1.06 | 0% |
| hidden test | EXPENSIVE | 83 | 21.8% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -9.0% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 445 | 6.4% | 0.65 | 11% |
| hidden test | MEDIUM VOLATILITY | 251 | 2.5% | 0.37 | 4% |
| hidden test | NORMAL | 819 | -0.7% | -0.09 | 7% |
| hidden test | SIDEWAYS | 300 | -9.1% | -0.95 | 11% |
| hidden test | UPTREND | 371 | 11.1% | 1.08 | 7% |
| train | DOWNTREND | 518 | -3.3% | -1.23 | 0% |
| train | EXPENSIVE | 311 | 1.9% | 1.41 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.4% | 0.06 | 0% |
| train | LOW VOLATILITY | 745 | 2.7% | 0.32 | 15% |
| train | MEDIUM VOLATILITY | 568 | -4.4% | -0.77 | 4% |
| train | NORMAL | 1,601 | -0.5% | -0.06 | 8% |
| train | SIDEWAYS | 592 | -3.6% | -0.45 | 7% |
| train | UPTREND | 902 | 4.0% | 0.48 | 10% |
| 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 | -4.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 5.1% | 0.64 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 8.2% | 0.87 | 6% |
| validation | NORMAL | 474 | 5.1% | 0.53 | 11% |
| validation | SIDEWAYS | 206 | -3.4% | -0.42 | 10% |
| validation | UPTREND | 425 | 7.4% | 0.86 | 7% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-04 | $442.10 | $418.45 | -2.01% | 6 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.69% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -0.80% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.07% | 11 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 6.37% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.68% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.13% | 8 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -5.20% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.30% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 3.96% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 2.36% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -1.99% | 2 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -1.99% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.11% | 2 | |
| 2024-07-03 | 2024-07-12 | $246.39 | $248.23 | 1.59% | 7 | |
| 2023-11-29 | 2024-01-04 | $244.14 | $237.93 | -1.70% | 25 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.03% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.38% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.05% | 2 | |
| 2023-09-15 | 2023-09-22 | $274.39 | $244.88 | -2.76% | 6 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 4.46% | 10 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 9.81% | 19 | |
| 2023-03-01 | 2023-03-03 | $202.77 | $197.79 | -2.68% | 3 | |
| 2022-08-15 | 2022-08-23 | $309.32 | $296.45 | -1.95% | 7 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -1.28% | 9 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -1.39% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.33% | 2 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 4.11% | 15 | |
| 2021-09-08 | 2021-11-10 | $251.29 | $355.98 | 17.60% | 46 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -1.77% | 10 | |
| 2021-07-13 | 2021-07-20 | $222.85 | $220.17 | -3.06% | 6 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.03% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.13% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.45% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.55% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -3.29% | 12 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.23% | 2 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -7.04% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -1.46% | 4 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -1.67% | 2 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -1.78% | 12 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.03% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.09% | 4 | |
| 2017-01-04 | 2017-01-25 | $15.13 | $16.96 | 8.45% | 15 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -1.50% | 17 | |
| 2016-03-28 | 2016-04-14 | $15.35 | $16.79 | 4.69% | 14 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.65% | 4 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -2.76% | 6 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -2.23% | 5 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 5.12% | 51 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.20% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -3.31% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.11% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 3.37% | 30 | |
| 2014-06-16 | 2014-07-08 | $14.97 | $14.60 | 4.01% | 16 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.34% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.54% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.25% | 5 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 8.06% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.06% | 3 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 2.79% | 38 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.41% | 6 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -1.84% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 2.18% | 5 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -2.83% | 7 | |
| 2012-03-14 | 2012-03-21 | $2.35 | $2.34 | -1.70% | 6 | |
| 2012-02-15 | 2012-03-09 | $2.24 | $2.32 | -0.21% | 17 |