Strategy Zoo / S1688
PriceMomentum_V1688
ARCHIVEDhybridllmReduced base exposure and added volatility scaling to limit risk in high-vol regimes; added regime gates to require uptrend and non-bubble markets; simplified and diversified entry rules to include momentum + trend or low-vol breakout; strengthened exits with multi-condition stops (long-term momentum drop, short-term crash, RSI overbought, drawdown limit) to improve robustness and reduce overfitting.
Fitness
0.4045
Generation
78
Complexity
21
Created
2026-10-16
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1688 [hybrid]
if flat and ((ret_20d > 0.04 and ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.09) and cumret_252d > -0.03) or (breakout_20 > 0.5 and vol_pctile < 0.7 and ret_5d > 0.0)):
position = 0.7
if long and (ret_20d < -0.03 or rsi_14 > 78.0 or drawdown > 0.08 or ret_1d < -0.08):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.5% | 28.5% | -1.0% | 8.7% |
| Total Return | 65.4% | 112.0% | -3.8% | 244.1% |
| Sharpe | 0.46 | 1.49 | 0.03 | 0.57 |
| Sortino | 0.43 | 1.80 | 0.03 | 0.56 |
| Calmar | 0.18 | 2.10 | -0.04 | 0.24 |
| Volatility | 16.6% | 17.8% | 17.5% | 17.1% |
| Max DD | -37.1% | -13.5% | -24.9% | -37.1% |
| Win Rate | 47.8% | 58.3% | 37.1% | 48.7% |
| Avg Win | 5.6% | 4.8% | 5.7% | 5.3% |
| Avg Loss | -3.3% | -2.6% | -3.2% | -3.1% |
| Payoff | 1.69 | 1.89 | 1.81 | 1.73 |
| Expectancy | 0.9% | 1.7% | 0.1% | 1.0% |
| Profit Factor | 1.55 | 2.65 | 1.07 | 1.64 |
| Trades | 69 | 48 | 35 | 152 |
| Avg Holding Days | 14.9 | 9.5 | 12.2 | 12.6 |
| Turnover | 11.3 | 13.6 | 12.0 | 11.9 |
| Exposure | 23.4% | 23.0% | 21.3% | 22.8% |
Growth of $100
PriceMomentum_V1688 vs TSLA Buy & Hold
PriceMomentum_V1688 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 | -11.0% | -0.85 | -22.9% | 6 |
| 2017 | -3.4% | -0.18 | -16.5% | 14 |
| 2018 | -7.4% | -0.66 | -15.4% | 6 |
| 2019 | 19.6% | 0.95 | -13.9% | 11 |
| 2020 | 94.8% | 3.35 | -9.0% | 27 |
| 2021 | 13.0% | 0.79 | -13.1% | 16 |
| 2022 | -5.4% | -0.30 | -13.1% | 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 | -12.6% | -1.05 | 12% |
| hidden test | EXPENSIVE | 83 | 46.0% | 2.01 | 31% |
| hidden test | EXTREME | 48 | 58.9% | 4.88 | 14% |
| hidden test | HIGH VOLATILITY | 254 | -9.7% | -0.87 | 7% |
| hidden test | LOW VOLATILITY | 445 | 24.7% | 1.32 | 30% |
| hidden test | MEDIUM VOLATILITY | 251 | -32.1% | -1.57 | 20% |
| hidden test | NORMAL | 819 | -7.5% | -0.44 | 21% |
| hidden test | SIDEWAYS | 300 | -8.7% | -0.50 | 27% |
| hidden test | UPTREND | 371 | 17.8% | 0.84 | 24% |
| train | DOWNTREND | 518 | -3.6% | -0.33 | 12% |
| train | EXPENSIVE | 311 | 17.4% | 0.95 | 30% |
| train | EXTREME | 100 | 85.0% | 4.71 | 26% |
| train | HIGH VOLATILITY | 699 | 2.9% | 0.18 | 7% |
| train | LOW VOLATILITY | 745 | 23.1% | 1.32 | 41% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.42 | 20% |
| train | NORMAL | 1,601 | 1.0% | 0.06 | 22% |
| train | SIDEWAYS | 592 | -8.5% | -0.56 | 19% |
| train | UPTREND | 902 | 24.8% | 1.25 | 33% |
| validation | DOWNTREND | 125 | 19.7% | 1.62 | 5% |
| validation | EXPENSIVE | 138 | 35.8% | 1.70 | 25% |
| validation | EXTREME | 144 | 89.1% | 4.28 | 21% |
| validation | HIGH VOLATILITY | 258 | 8.5% | 0.63 | 9% |
| validation | LOW VOLATILITY | 183 | 13.8% | 0.74 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 48.9% | 2.41 | 23% |
| validation | NORMAL | 474 | 5.0% | 0.32 | 23% |
| validation | SIDEWAYS | 206 | -11.2% | -0.72 | 23% |
| validation | UPTREND | 425 | 47.0% | 2.35 | 28% |
Trades (full period)
latest 100 of 153
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -2.56% | 7 | OPEN |
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -3.43% | 27 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -3.23% | 2 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.21% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -2.94% | 5 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -3.42% | 21 | |
| 2025-09-24 | 2025-11-14 | $442.79 | $404.35 | -4.17% | 38 | |
| 2025-09-18 | 2025-09-23 | $416.85 | $425.85 | 1.24% | 4 | |
| 2025-08-11 | 2025-09-17 | $339.03 | $425.86 | 18.88% | 27 | |
| 2025-04-30 | 2025-06-06 | $282.16 | $295.14 | -2.67% | 27 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -3.04% | 8 | |
| 2024-12-19 | 2025-01-14 | $436.17 | $396.36 | -2.48% | 16 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 2.40% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 1.74% | 2 | |
| 2024-11-13 | 2024-12-12 | $330.24 | $418.10 | 6.19% | 21 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 3.51% | 4 | |
| 2024-09-16 | 2024-10-14 | $226.78 | $219.16 | -5.40% | 21 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.63% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -3.63% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.47% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.79% | 2 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 15.88% | 11 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -1.54% | 21 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -9.07% | 6 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -1.18% | 37 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.37% | 2 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -5.29% | 13 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -0.65% | 6 | |
| 2023-06-21 | 2023-07-21 | $259.46 | $260.02 | -1.87% | 22 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-05-19 | 2023-06-07 | $180.14 | $224.57 | 16.93% | 13 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -7.53% | 13 | |
| 2023-02-09 | 2023-03-08 | $207.32 | $182.00 | -3.49% | 19 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -7.86% | 5 | |
| 2022-07-11 | 2022-08-29 | $234.34 | $284.82 | 7.18% | 36 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.18% | 4 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -0.87% | 27 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -3.15% | 14 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -2.64% | 2 | |
| 2021-11-11 | 2021-12-01 | $354.50 | $365.00 | 0.98% | 14 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -5.12% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.35% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 1.42% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 3.48% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 1.50% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.35% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.09% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 2021-08-02 | 2021-10-19 | $236.56 | $288.09 | 18.02% | 56 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 3.80% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -7.64% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 0.56% | 6 | |
| 2021-01-11 | 2021-02-11 | $270.40 | $270.55 | -4.99% | 23 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 13.70% | 20 | |
| 2020-12-01 | 2020-12-09 | $194.92 | $201.49 | 5.87% | 7 | |
| 2020-11-18 | 2020-11-30 | $162.21 | $189.20 | 12.78% | 8 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -2.75% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 0.01% | 10 | |
| 2020-09-10 | 2020-09-24 | $123.78 | $129.26 | 0.91% | 11 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -3.72% | 2 | |
| 2020-09-01 | 2020-09-04 | $158.35 | $139.44 | -3.41% | 4 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -0.23% | 2 | |
| 2020-08-25 | 2020-08-27 | $134.89 | $149.25 | 2.69% | 3 | |
| 2020-08-14 | 2020-08-24 | $110.05 | $134.28 | 4.29% | 7 | |
| 2020-07-22 | 2020-08-10 | $106.16 | $94.57 | -1.23% | 14 | |
| 2020-07-16 | 2020-07-21 | $100.04 | $104.56 | 1.10% | 4 | |
| 2020-07-14 | 2020-07-15 | $101.12 | $103.07 | 0.20% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 1.85% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -0.34% | 2 | |
| 2020-05-05 | 2020-07-07 | $51.21 | $92.66 | 27.91% | 44 | |
| 2020-04-14 | 2020-05-04 | $47.33 | $50.75 | 1.62% | 15 | |
| 2020-03-02 | 2020-03-04 | $49.57 | $49.97 | 1.99% | 3 | |
| 2020-02-07 | 2020-02-28 | $49.87 | $44.53 | -1.45% | 15 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -3.04% | 2 | |
| 2020-02-03 | 2020-02-04 | $52.00 | $59.14 | 3.45% | 2 | |
| 2020-01-24 | 2020-01-31 | $37.65 | $43.37 | 4.92% | 6 | |
| 2020-01-15 | 2020-01-23 | $34.57 | $38.15 | 2.44% | 6 | |
| 2020-01-13 | 2020-01-14 | $34.99 | $35.86 | 6.69% | 2 | |
| 2020-01-09 | 2020-01-10 | $32.09 | $31.88 | -1.68% | 2 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 2.57% | 2 | |
| 2019-12-30 | 2020-01-06 | $27.65 | $30.10 | 1.93% | 5 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 0.80% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 2.21% | 2 | |
| 2019-11-21 | 2019-12-20 | $23.66 | $27.04 | 9.65% | 21 | |
| 2019-11-18 | 2019-11-20 | $23.33 | $23.48 | 0.33% | 3 | |
| 2019-11-14 | 2019-11-15 | $23.29 | $23.48 | 0.13% | 2 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 0.21% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.05% | 2 | |
| 2019-10-28 | 2019-10-29 | $21.85 | $21.08 | -0.06% | 2 | |
| 2019-09-11 | 2019-10-25 | $16.47 | $21.88 | 12.93% | 33 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 1.00% | 18 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -5.90% | 2 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.00% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -2.19% | 12 | |
| 2018-06-19 | 2018-07-06 | $23.50 | $20.59 | -3.07% | 13 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -2.67% | 5 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -1.09% | 5 |