Strategy Zoo / S1686
PriceMomentum_V1686
ARCHIVEDhybridllmSimplified and regularized entry logic: keep breakout plus a cleaner momentum entry (ret_20d>5% with moderate RSI and not extreme volatility) to reduce overfitting. Broadened exit to a practical stop (ret_20d<-6%), overbought (RSI>80), or loss of short SMA (cross below sma_50) for clearer exits. Added regime gates to avoid trading in high-volatility or bubble regimes (only UPTREND/SIDEWAYS, LOW/MEDIUM vol, NORMAL bubble). Added simple volatility-based position sizing (full size in low vol, reduced size in higher vol) and reduced base_position to 0.8 to lower tail risk.
Fitness
0.0904
Generation
78
Complexity
15
Created
2026-10-16
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1686 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_20 == 1 and close > sma_50) or (ret_20d > 0.05 and rsi_14 < 75.0 and vol_pctile < 0.85)):
position = 0.8
if long and (ret_20d < -0.06 or rsi_14 > 80.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.3% | -4.3% | -6.8% | -3.9% |
| Total Return | -17.2% | -12.3% | -23.3% | -44.3% |
| Sharpe | -0.07 | -0.17 | -0.28 | -0.15 |
| Sortino | -0.04 | -0.10 | -0.18 | -0.10 |
| Calmar | -0.05 | -0.14 | -0.25 | -0.07 |
| Volatility | 16.2% | 16.9% | 18.8% | 17.1% |
| Max DD | -45.6% | -30.3% | -27.2% | -54.1% |
| Win Rate | 35.7% | 50.0% | 45.7% | 42.1% |
| Avg Win | 5.9% | 4.1% | 4.7% | 5.0% |
| Avg Loss | -3.7% | -5.1% | -4.8% | -4.3% |
| Payoff | 1.59 | 0.80 | 0.97 | 1.16 |
| Expectancy | -0.3% | -0.5% | -0.5% | -0.4% |
| Profit Factor | 0.88 | 0.80 | 0.82 | 0.84 |
| Trades | 42 | 18 | 35 | 95 |
| Avg Holding Days | 11.3 | 9.8 | 6.6 | 9.3 |
| Turnover | 8.4 | 9.6 | 15.1 | 10.4 |
| Exposure | 17.1% | 16.8% | 17.1% | 17.1% |
Growth of $100
PriceMomentum_V1686 vs TSLA Buy & Hold
PriceMomentum_V1686 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 | -7.2% | -0.58 | -14.8% | 7 |
| 2017 | 13.2% | 1.76 | -4.3% | 4 |
| 2018 | -18.5% | -1.55 | -19.7% | 3 |
| 2019 | 3.3% | 0.26 | -18.6% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 1.2% | 0.16 | -15.0% | 14 |
| 2022 | -13.4% | -0.59 | -30.3% | 4 |
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 | -3.1% | -1.50 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -20.2% | -1.13 | 2% |
| hidden test | LOW VOLATILITY | 445 | 13.0% | 0.75 | 25% |
| hidden test | MEDIUM VOLATILITY | 251 | -22.5% | -1.03 | 18% |
| hidden test | NORMAL | 819 | -9.5% | -0.48 | 20% |
| hidden test | SIDEWAYS | 300 | -40.0% | -1.84 | 29% |
| hidden test | UPTREND | 371 | 21.3% | 0.93 | 20% |
| train | DOWNTREND | 518 | -6.2% | -0.90 | 1% |
| train | EXPENSIVE | 311 | 7.1% | 1.38 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.9% | -0.06 | 1% |
| train | LOW VOLATILITY | 745 | 16.0% | 0.96 | 33% |
| train | MEDIUM VOLATILITY | 568 | -23.6% | -1.40 | 16% |
| train | NORMAL | 1,601 | -2.7% | -0.15 | 21% |
| train | SIDEWAYS | 592 | -13.3% | -0.79 | 19% |
| train | UPTREND | 902 | 10.0% | 0.52 | 25% |
| 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% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 6.7% | 0.38 | 42% |
| validation | MEDIUM VOLATILITY | 315 | -5.5% | -0.27 | 16% |
| validation | NORMAL | 474 | -4.7% | -0.22 | 27% |
| validation | SIDEWAYS | 206 | -21.8% | -0.97 | 28% |
| validation | UPTREND | 425 | 5.3% | 0.33 | 16% |
Trades (full period)
96 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -2.92% | 7 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.06% | 19 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 12.89% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 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 | 2024-10-14 | $250.00 | $219.16 | -6.94% | 16 | |
| 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 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 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 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 18.26% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.53% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.58% | 29 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.68% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.09% | 2 | |
| 2023-05-31 | 2023-06-08 | $203.93 | $234.86 | 9.05% | 7 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.83% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2023-02-28 | 2023-03-09 | $205.71 | $172.92 | -10.09% | 8 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.95% | 5 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -5.35% | 22 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.35% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -4.40% | 7 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.74% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 6.63% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 2.86% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.66% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.24% | 2 | |
| 2021-08-02 | 2021-10-19 | $236.56 | $288.09 | 20.76% | 56 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -1.53% | 24 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -4.21% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.68% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -7.62% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -7.48% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.58% | 2 | |
| 2016-12-28 | 2017-01-24 | $14.65 | $16.97 | 10.44% | 18 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.02% | 2 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.31% | 27 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.08% | 2 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.50% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.54% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.90% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 7.37% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-09-05 | 2014-09-23 | $18.49 | $16.69 | -10.26% | 13 | |
| 2014-08-04 | 2014-09-03 | $15.90 | $18.75 | 16.99% | 22 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 4.12% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.52% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -4.20% | 4 | |
| 2012-07-05 | 2012-07-24 | $2.08 | $1.99 | -0.04% | 14 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.02% | 38 |