Strategy Zoo / S1708
PriceMomentum_V1708
ARCHIVEDhybridllmAdded trend and volatility regime gates to avoid entering in clear downtrends or high-volatility regimes; tightened and restructured entry to require momentum confirmation (macd_hist>0) and RSI in a non-overbought band, while keeping price/sma_200 regime or strong 20d return as signal; replaced fragile single-day exit with a clear technical exit (close < sma_50) plus a larger stop (ret_20d < -3%); reduced base_position to 0.8 and added graded position scaling by volatility and bubble state to lower exposure in risky regimes.
Fitness
0.1567
Generation
79
Complexity
22
Created
2026-10-16
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1708 [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 > 0.0923 or (close > sma_200 and sma_200_slope > 0.0)) and ret_20d > 0.03 and macd_hist > 0.0 and (rsi_14 > 40.0 and rsi_14 < 80.0)):
position = 0.8
if long and (close < sma_50 or ret_20d < -0.03):
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 *= 0.35
if regime.bubble == "EXPENSIVE": position *= 0.5
if regime.bubble == "EXTREME": position *= 0.2Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.0% | 5.2% | 5.4% | 2.4% |
| Total Return | 0.4% | 16.5% | 22.1% | 42.8% |
| Sharpe | 0.07 | 0.43 | 0.41 | 0.24 |
| Sortino | 0.05 | 0.29 | 0.25 | 0.15 |
| Calmar | 0.00 | 0.32 | 0.29 | 0.06 |
| Volatility | 14.0% | 14.0% | 16.1% | 14.6% |
| Max DD | -38.4% | -16.2% | -18.8% | -39.8% |
| Win Rate | 42.4% | 33.3% | 36.8% | 39.3% |
| Avg Win | 5.2% | 11.9% | 9.2% | 7.2% |
| Avg Loss | -3.5% | -2.5% | -3.2% | -3.3% |
| Payoff | 1.47 | 4.71 | 2.88 | 2.21 |
| Expectancy | 0.2% | 2.3% | 1.4% | 0.9% |
| Profit Factor | 1.08 | 2.36 | 1.68 | 1.43 |
| Trades | 33 | 9 | 19 | 61 |
| Avg Holding Days | 12.2 | 17.9 | 10.4 | 12.4 |
| Turnover | 6.5 | 4.5 | 7.6 | 6.4 |
| Exposure | 13.7% | 14.1% | 13.9% | 13.8% |
Growth of $100
PriceMomentum_V1708 vs TSLA Buy & Hold
PriceMomentum_V1708 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 | -6.2% | -0.58 | -10.9% | 4 |
| 2017 | 11.8% | 1.66 | -4.2% | 3 |
| 2018 | -13.0% | -1.37 | -14.2% | 3 |
| 2019 | -10.7% | -0.46 | -21.7% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 21.6% | 1.09 | -14.3% | 7 |
| 2022 | -4.2% | -0.24 | -16.2% | 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 | -2.3% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.8% | -1.26 | 1% |
| hidden test | LOW VOLATILITY | 445 | 19.0% | 1.12 | 23% |
| hidden test | MEDIUM VOLATILITY | 251 | 5.2% | 0.28 | 10% |
| hidden test | NORMAL | 819 | 4.2% | 0.25 | 16% |
| hidden test | SIDEWAYS | 300 | -8.7% | -0.55 | 21% |
| hidden test | UPTREND | 371 | 25.7% | 1.20 | 18% |
| train | DOWNTREND | 518 | -8.3% | -1.36 | 1% |
| train | EXPENSIVE | 311 | 3.8% | 1.64 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.2% | 0.23 | 1% |
| train | LOW VOLATILITY | 745 | 13.4% | 0.87 | 30% |
| train | MEDIUM VOLATILITY | 568 | -17.9% | -1.51 | 8% |
| train | NORMAL | 1,601 | 0.5% | 0.03 | 17% |
| train | SIDEWAYS | 592 | -12.9% | -0.87 | 14% |
| train | UPTREND | 902 | 15.5% | 0.93 | 21% |
| 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% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 17.9% | 1.12 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 9.6% | 0.57 | 11% |
| validation | NORMAL | 474 | 9.7% | 0.55 | 23% |
| validation | SIDEWAYS | 206 | -11.0% | -0.68 | 21% |
| validation | UPTREND | 425 | 16.1% | 1.09 | 15% |
Trades (full period)
61 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.25% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.67% | 15 | |
| 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 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -10.23% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.22% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -7.99% | 16 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.22% | 3 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 16.78% | 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 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.28% | 3 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.79% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.78% | 2 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 24.75% | 44 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.92% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.34% | 27 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 34.72% | 71 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.71% | 22 | |
| 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 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.53% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.19% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.44% | 13 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 13.63% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -7.54% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -3.85% | 7 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.60% | 2 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.02% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.65% | 10 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.44% | 19 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.75% | 23 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 0.61% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.18% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -4.87% | 4 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.30% | 6 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 10.25% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.17% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 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 | |
| 2014-05-27 | 2014-06-03 | $14.10 | $13.66 | -0.80% | 6 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.12% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 5.08% | 46 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.71% | 6 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -2.86% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.36% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 3.39% | 38 |