Strategy Zoo / S1692
PriceMomentum_V1692
ARCHIVEDhybridllmAdded regime gates to avoid entering in downtrends or extreme volatility/bubble; tightened entry by requiring short-term breakout plus positive 50-day slope or MACD confirmation (keeps strong ret_20d leg); added volatility-aware position sizing (LOW=1.0, MED=0.7, HIGH=0.35) and reduced base position to 0.6 to lower drawdown risk; improved exits with larger negative-20d cutoff, a drawdown stop, and RSI+1d weakness filter to get out of fading rallies.
Fitness
0.3351
Generation
78
Complexity
26
Created
2026-10-16
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1692 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923 or macd_hist > 0.0) and sma_50_slope > 0.0 and breakout_20 > 0.0 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 0.6
if long and (ret_20d < -0.03 or drawdown > 0.12 or (rsi_14 > 75.0 and ret_1d < 0.0)):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.1% | 17.5% | -3.1% | 4.9% |
| Total Return | 37.6% | 62.1% | -11.0% | 101.8% |
| Sharpe | 0.43 | 1.33 | -0.18 | 0.47 |
| Sortino | 0.28 | 1.06 | -0.12 | 0.31 |
| Calmar | 0.20 | 1.23 | -0.10 | 0.16 |
| Volatility | 10.6% | 12.7% | 12.7% | 11.6% |
| Max DD | -20.7% | -14.2% | -31.0% | -31.0% |
| Win Rate | 53.3% | 66.7% | 33.3% | 52.6% |
| Avg Win | 5.6% | 7.2% | 7.4% | 6.5% |
| Avg Loss | -3.8% | -3.9% | -4.8% | -4.1% |
| Payoff | 1.47 | 1.83 | 1.53 | 1.56 |
| Expectancy | 1.2% | 3.5% | -0.7% | 1.4% |
| Profit Factor | 1.68 | 3.67 | 0.77 | 1.74 |
| Trades | 30 | 15 | 12 | 57 |
| Avg Holding Days | 14.1 | 13.1 | 18.4 | 14.8 |
| Turnover | 4.5 | 4.9 | 3.9 | 4.4 |
| Exposure | 10.8% | 11.8% | 11.7% | 11.2% |
Growth of $100
PriceMomentum_V1692 vs TSLA Buy & Hold
PriceMomentum_V1692 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 | -4.5% | -0.63 | -8.2% | 3 |
| 2017 | 18.2% | 1.88 | -5.9% | 9 |
| 2018 | -7.4% | -1.04 | -8.4% | 2 |
| 2019 | 13.7% | 0.91 | -9.0% | 3 |
| 2020 | 40.0% | 2.94 | -3.3% | 5 |
| 2021 | 22.2% | 1.36 | -14.2% | 8 |
| 2022 | -6.8% | -0.66 | -12.3% | 2 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 38.0% | 1.86 | 28% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.1% | -1.69 | 0% |
| hidden test | LOW VOLATILITY | 445 | 16.7% | 1.30 | 17% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.0% | -1.58 | 14% |
| hidden test | NORMAL | 819 | -6.5% | -0.54 | 11% |
| hidden test | SIDEWAYS | 300 | -15.4% | -1.32 | 13% |
| hidden test | UPTREND | 371 | 6.6% | 0.38 | 19% |
| train | DOWNTREND | 518 | -1.5% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 34.5% | 2.79 | 14% |
| train | EXTREME | 100 | 4.9% | 1.55 | 0% |
| train | HIGH VOLATILITY | 699 | 3.0% | 0.31 | 1% |
| train | LOW VOLATILITY | 745 | 18.2% | 1.49 | 23% |
| train | MEDIUM VOLATILITY | 568 | -11.5% | -1.26 | 7% |
| train | NORMAL | 1,601 | -1.3% | -0.12 | 11% |
| train | SIDEWAYS | 592 | -8.7% | -1.07 | 4% |
| train | UPTREND | 902 | 16.7% | 1.17 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 57.8% | 3.34 | 19% |
| validation | EXTREME | 144 | 19.9% | 2.61 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.0% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 17.7% | 1.51 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 34.4% | 2.04 | 15% |
| validation | NORMAL | 474 | 4.1% | 0.33 | 13% |
| validation | SIDEWAYS | 206 | -12.2% | -1.20 | 8% |
| validation | UPTREND | 425 | 36.0% | 2.36 | 17% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -2.97% | 21 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -3.43% | 16 | |
| 2025-08-26 | 2025-11-14 | $351.67 | $404.35 | 9.53% | 58 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -7.54% | 14 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -8.54% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.63% | 2 | |
| 2024-07-03 | 2024-07-12 | $246.39 | $248.23 | 1.84% | 7 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -5.65% | 10 | |
| 2023-06-16 | 2023-08-02 | $260.54 | $254.11 | 2.33% | 32 | |
| 2023-05-31 | 2023-06-15 | $203.93 | $255.90 | 15.74% | 12 | |
| 2023-03-01 | 2023-03-08 | $202.77 | $182.00 | -3.78% | 6 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.15% | 20 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -4.75% | 25 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -5.12% | 2 | |
| 2021-11-04 | 2021-11-08 | $409.97 | $387.65 | 0.20% | 3 | |
| 2021-10-28 | 2021-11-03 | $359.01 | $404.62 | 5.28% | 5 | |
| 2021-10-22 | 2021-10-27 | $303.23 | $345.95 | 8.31% | 4 | |
| 2021-08-04 | 2021-10-20 | $236.97 | $288.60 | 12.64% | 55 | |
| 2021-04-27 | 2021-05-11 | $234.91 | $205.73 | -6.45% | 11 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -1.20% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 17.44% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 12.50% | 13 | |
| 2020-06-26 | 2020-06-30 | $63.98 | $71.99 | 0.94% | 3 | |
| 2020-01-17 | 2020-01-22 | $34.03 | $37.97 | 2.68% | 3 | |
| 2020-01-13 | 2020-01-16 | $34.99 | $34.23 | 5.22% | 4 | |
| 2019-12-31 | 2020-01-10 | $27.89 | $31.88 | 9.30% | 8 | |
| 2019-11-22 | 2019-12-30 | $22.20 | $27.65 | 12.33% | 25 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 9.83% | 8 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -8.28% | 2 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -2.26% | 10 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -5.25% | 15 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -5.40% | 10 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.10% | 2 | |
| 2017-06-06 | 2017-06-14 | $23.52 | $25.38 | 3.20% | 7 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 0.72% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.50% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 4.72% | 6 | |
| 2017-02-09 | 2017-02-16 | $17.95 | $17.93 | 3.90% | 6 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.19% | 2 | |
| 2017-01-04 | 2017-01-26 | $15.13 | $16.83 | 9.97% | 16 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -1.95% | 21 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.50% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.13% | 4 | |
| 2015-09-23 | 2015-10-02 | $17.40 | $16.50 | -4.74% | 8 | |
| 2015-05-29 | 2015-07-28 | $16.72 | $17.65 | 2.47% | 42 | |
| 2015-04-28 | 2015-05-19 | $15.37 | $16.48 | 4.31% | 16 | |
| 2014-09-05 | 2014-09-16 | $18.49 | $17.38 | -6.90% | 8 | |
| 2014-08-05 | 2014-09-04 | $15.90 | $19.07 | 10.36% | 22 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -5.19% | 17 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -2.85% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 10.34% | 9 | |
| 2013-09-16 | 2013-10-02 | $11.11 | $12.06 | 9.60% | 13 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -2.21% | 23 | |
| 2012-11-14 | 2013-01-11 | $2.09 | $2.19 | 3.63% | 40 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -4.45% | 4 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 2.68% | 38 |