Strategy Zoo / S1691
PriceMomentum_V1691
ARCHIVEDhybridllmReduced position size to 0.8 to lower drawdown; added regime gates to avoid high volatility and bubble regimes; simplified and de-noised entry (loosened sma_200_slope threshold, removed overfitting cumret checks); required rel_volume>1.2 for breakout signals; strengthened exits by adding hard stop on drawdown and high volatility (vol_pctile>0.9) in addition to macd_hist<0.
Fitness
0.0987
Generation
78
Complexity
24
Created
2026-10-16
Lineage
Parents (1)
changed ret_20d threshold 0.085 -> 0.1653
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1691 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((((close > sma_200 and sma_200_slope > -0.001) or ret_20d > 0.12) and dist_sma_50 > -0.25) or ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.2))) and sma_20 < close):
position = 0.8
if long and (macd_hist < 0.0 or drawdown < -0.12 or vol_pctile > 0.9):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -7.9% | 8.9% | -8.5% | -4.9% |
| Total Return | -48.4% | 29.2% | -28.4% | -52.2% |
| Sharpe | -0.59 | 0.61 | -0.52 | -0.29 |
| Sortino | -0.38 | 0.46 | -0.37 | -0.20 |
| Calmar | -0.15 | 0.54 | -0.25 | -0.08 |
| Volatility | 12.8% | 15.9% | 15.0% | 14.0% |
| Max DD | -53.7% | -16.6% | -34.0% | -58.4% |
| Win Rate | 40.1% | 50.7% | 39.1% | 41.9% |
| Avg Win | 1.7% | 2.3% | 2.3% | 2.0% |
| Avg Loss | -1.7% | -1.5% | -1.9% | -1.7% |
| Payoff | 0.99 | 1.53 | 1.20 | 1.16 |
| Expectancy | -0.3% | 0.4% | -0.3% | -0.2% |
| Profit Factor | 0.67 | 1.57 | 0.77 | 0.83 |
| Trades | 177 | 69 | 110 | 356 |
| Avg Holding Days | 2.7 | 2.5 | 2.2 | 2.5 |
| Turnover | 35.5 | 36.8 | 46.7 | 38.6 |
| Exposure | 12.0% | 10.7% | 11.3% | 11.6% |
Growth of $100
PriceMomentum_V1691 vs TSLA Buy & Hold
PriceMomentum_V1691 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 | -9.4% | -1.01 | -14.0% | 25 |
| 2017 | 1.6% | 0.24 | -5.2% | 15 |
| 2018 | -12.7% | -1.19 | -16.4% | 10 |
| 2019 | -4.4% | -0.36 | -9.3% | 16 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 7.3% | 0.44 | -16.6% | 46 |
| 2022 | 8.8% | 0.65 | -9.4% | 22 |
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 | -1.8% | -1.08 | 0% |
| hidden test | EXPENSIVE | 83 | 16.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.0% | -0.23 | 1% |
| hidden test | LOW VOLATILITY | 445 | -12.1% | -0.81 | 17% |
| hidden test | MEDIUM VOLATILITY | 251 | -5.8% | -0.30 | 13% |
| hidden test | NORMAL | 819 | -10.6% | -0.67 | 13% |
| hidden test | SIDEWAYS | 300 | -31.2% | -1.83 | 18% |
| hidden test | UPTREND | 371 | 6.8% | 0.37 | 14% |
| train | DOWNTREND | 518 | -5.9% | -1.11 | 1% |
| train | EXPENSIVE | 311 | 9.0% | 1.63 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -2.2% | -0.24 | 1% |
| train | LOW VOLATILITY | 745 | -1.4% | -0.10 | 21% |
| train | MEDIUM VOLATILITY | 568 | -21.8% | -1.46 | 14% |
| train | NORMAL | 1,601 | -11.1% | -0.79 | 15% |
| train | SIDEWAYS | 592 | -13.1% | -0.97 | 14% |
| train | UPTREND | 902 | -4.7% | -0.31 | 17% |
| validation | DOWNTREND | 125 | -0.3% | -2.02 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 3.9% | 0.27 | 1% |
| validation | LOW VOLATILITY | 183 | -3.7% | -0.29 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 22.4% | 1.21 | 11% |
| validation | NORMAL | 474 | 15.6% | 0.78 | 17% |
| validation | SIDEWAYS | 206 | 10.9% | 0.68 | 15% |
| validation | UPTREND | 425 | 12.2% | 0.67 | 12% |
Trades (full period)
latest 100 of 356
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-13 | 2026-10-14 | $375.23 | $367.16 | -0.75% | 2 | |
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.48% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 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 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 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 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 5.37% | 21 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.67% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.75% | 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 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 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 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 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 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 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 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.35% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.58% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 4.07% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.64% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.34% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.78% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.61% | 2 | |
| 2023-12-14 | 2023-12-15 | $251.05 | $253.50 | 3.77% | 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 | |
| 2023-11-27 | 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 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.74% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -3.98% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.55% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.35% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.50% | 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 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 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 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 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 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 |