Strategy Zoo / S1689
PriceMomentum_V1689
ARCHIVEDhybridllmAdded regime gates to avoid expensive/bubbly or high-volatility markets; reduced base_position to 0.75 and introduced scaled sizing by volatility (higher in low vol, much smaller in high vol). Reworked entry to require momentum plus limited extension from sma_20 or a cleaner price/sma_50 + MACD_hist momentum signal. Improved exit rules with a firmer stop (ret_20d <-3%), a technical stop (price crossing below sma_50), and a drawdown stop (-12%) to limit deep losses and reduce overfitting.
Fitness
0.0776
Generation
78
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_V1689 [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 dist_sma_20 < 0.18 and sma_50_slope > 0.0) or (close > sma_50 and macd_hist > 0.0 and ret_5d > 0.01)):
position = 0.75
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.65
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.2% | 0.3% | -4.1% | -2.7% |
| Total Return | -23.1% | 1.0% | -14.6% | -33.7% |
| Sharpe | -0.25 | 0.08 | -0.31 | -0.20 |
| Sortino | -0.15 | 0.05 | -0.20 | -0.13 |
| Calmar | -0.09 | 0.02 | -0.18 | -0.06 |
| Volatility | 10.9% | 10.4% | 11.5% | 11.0% |
| Max DD | -37.7% | -17.6% | -22.9% | -48.6% |
| Win Rate | 38.0% | 42.9% | 43.8% | 41.2% |
| Avg Win | 1.5% | 1.9% | 1.6% | 1.6% |
| Avg Loss | -1.3% | -1.3% | -1.5% | -1.4% |
| Payoff | 1.18 | 1.46 | 1.07 | 1.20 |
| Expectancy | -0.2% | 0.1% | -0.1% | -0.1% |
| Profit Factor | 0.72 | 1.10 | 0.83 | 0.84 |
| Trades | 108 | 56 | 96 | 260 |
| Avg Holding Days | 3.7 | 2.6 | 2.3 | 2.9 |
| Turnover | 18.1 | 23.6 | 33.6 | 23.2 |
| Exposure | 9.8% | 7.6% | 8.7% | 9.0% |
Growth of $100
PriceMomentum_V1689 vs TSLA Buy & Hold
PriceMomentum_V1689 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 | -7.3% | -1.18 | -8.9% | 18 |
| 2017 | 0.7% | 0.16 | -4.4% | 12 |
| 2018 | -4.6% | -0.70 | -7.4% | 5 |
| 2019 | -1.2% | -0.07 | -6.9% | 17 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.3% | 0.51 | -12.4% | 32 |
| 2022 | -5.9% | -0.74 | -9.9% | 24 |
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 | -1.0% | -0.99 | 0% |
| hidden test | EXPENSIVE | 83 | 15.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.2% | -0.22 | 0% |
| hidden test | LOW VOLATILITY | 445 | 0.5% | 0.04 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -13.1% | -0.97 | 7% |
| hidden test | NORMAL | 819 | -5.6% | -0.47 | 10% |
| hidden test | SIDEWAYS | 300 | -19.2% | -1.59 | 14% |
| hidden test | UPTREND | 371 | 7.2% | 0.49 | 11% |
| train | DOWNTREND | 518 | -3.9% | -0.73 | 1% |
| train | EXPENSIVE | 311 | 5.9% | 1.26 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.8% | 0.23 | 0% |
| train | LOW VOLATILITY | 745 | 3.8% | 0.29 | 20% |
| train | MEDIUM VOLATILITY | 568 | -16.8% | -1.52 | 8% |
| train | NORMAL | 1,601 | -4.5% | -0.38 | 12% |
| train | SIDEWAYS | 592 | -6.7% | -0.82 | 8% |
| train | UPTREND | 902 | 0.6% | 0.04 | 16% |
| 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 | -4.0% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 0.5% | 0.04 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 5.0% | 0.42 | 6% |
| validation | NORMAL | 474 | 1.4% | 0.10 | 12% |
| validation | SIDEWAYS | 206 | -8.1% | -0.91 | 7% |
| validation | UPTREND | 425 | 5.4% | 0.43 | 10% |
Trades (full period)
latest 100 of 260
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-13 | 2026-10-14 | $375.23 | $367.16 | -0.70% | 2 | |
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.39% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.71% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.45% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.16% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -1.91% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.97% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.86% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.09% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.95% | 21 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.38% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.58% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.93% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.77% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.59% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.30% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.27% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.47% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.98% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -1.74% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.27% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -1.83% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.63% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.05% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 0.84% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.19% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.21% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.92% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -1.73% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.77% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.10% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.43% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.31% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -0.84% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.21% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 1.94% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.08% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.18% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.09% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.39% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.25% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.81% | 2 | |
| 2024-06-21 | 2024-06-24 | $183.01 | $182.58 | 0.44% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.18% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.39% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.54% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.26% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.08% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.38% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.58% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.00% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.22% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.54% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.93% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.32% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -1.95% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.99% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -1.72% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.75% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.18% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -0.97% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.95% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.23% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.41% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.45% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.61% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.79% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.46% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -0.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.12% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.02% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.22% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.70% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.42% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.24% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.21% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.71% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.52% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.28% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.12% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.18% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.88% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -1.73% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.37% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -1.88% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -4.73% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.25% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.17% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -0.56% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.08% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -2.95% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.55% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.07% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.26% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.13% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.18% | 2 |