PriceMomentum_V0148

ARCHIVEDmomentum

structuralswapped indicator ret_20d -> ret_5d; restricted to volatility regimes ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']

Fitness

0.4976

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0121S0121 · gen 5ARCHIVEDstructural

added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0148  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.volatility in ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
    position = 1.0
if long and (ret_5d < -0.1276 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	16.4%	44.6%	11.8%	20.4%
Total Return	235.3%	202.3%	51.2%	1432.5%
Sharpe	0.84	1.19	0.63	0.87
Sortino	0.64	0.86	0.37	0.56
Calmar	0.53	1.32	0.34	0.58
Volatility	20.3%	36.6%	21.5%	24.8%
Max DD	-31.2%	-33.8%	-35.1%	-35.1%
Win Rate	73.9%	87.5%	55.6%	72.5%
Avg Win	11.7%	21.9%	17.4%	15.1%
Avg Loss	-7.5%	-18.2%	-8.7%	-8.9%
Payoff	1.56	1.20	1.99	1.70
Expectancy	6.7%	16.9%	5.8%	8.5%
Profit Factor	4.42	8.40	2.49	4.47
Trades	23	8	9	40
Avg Holding Days	13.5	27.1	16.3	16.9
Turnover	5.2	6.0	5.1	5.3
Exposure	12.3%	22.7%	14.0%	14.9%

Growth of $100

PriceMomentum_V0148 vs TSLA Buy & Hold

PriceMomentum_V0148 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	2.6%	0.47	-4.6%	2
2017	14.6%	1.19	-7.1%	5
2018	-23.5%	-1.22	-27.4%	4
2019	22.8%	1.67	-4.5%	2
2020	185.4%	2.10	-33.8%	3
2021	15.5%	0.90	-11.6%	2
2022	-10.9%	-0.59	-22.7%	3

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	267	7.8%	0.32	20%
hidden test	EXPENSIVE	83	16.7%	0.57	31%
hidden test	EXTREME	48	144.6%	3.29	47%
hidden test	HIGH VOLATILITY	254	21.0%	0.55	37%
hidden test	LOW VOLATILITY	429	1.9%	0.65	1%
hidden test	MEDIUM VOLATILITY	248	26.0%	1.83	14%
hidden test	NORMAL	800	5.3%	0.29	10%
hidden test	SIDEWAYS	293	4.5%	0.83	1%
hidden test	UPTREND	371	24.8%	0.93	20%
train	DOWNTREND	518	0.5%	0.16	3%
train	EXPENSIVE	311	23.2%	1.16	27%
train	EXTREME	100	331.4%	4.84	65%
train	HIGH VOLATILITY	699	42.6%	1.30	23%
train	LOW VOLATILITY	745	-1.6%	-0.84	1%
train	MEDIUM VOLATILITY	568	10.2%	0.88	14%
train	NORMAL	1,601	-3.7%	-0.33	6%
train	SIDEWAYS	592	-1.7%	-0.20	1%
train	UPTREND	902	39.0%	1.33	25%
validation	DOWNTREND	125	19.0%	1.11	17%
validation	EXPENSIVE	138	-0.4%	-0.01	31%
validation	EXTREME	144	238.6%	3.48	61%
validation	HIGH VOLATILITY	258	54.1%	0.94	36%
validation	LOW VOLATILITY	183	-0.9%	-0.59	1%
validation	MEDIUM VOLATILITY	315	60.8%	2.67	25%
validation	NORMAL	474	-2.8%	-0.18	9%
validation	SIDEWAYS	206	0.6%	0.10	1%
validation	UPTREND	425	71.7%	1.50	35%

Trades (full period)

41 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-09-08	—	$368.16	—	1.74%	9	OPEN
2025-10-03	2025-11-04	$429.83	$444.26	5.08%	23
2025-04-10	2025-05-12	$252.40	$318.38	9.35%	22
2025-04-08	2025-04-09	$221.86	$272.20	-5.09%	2
2024-12-19	2025-01-03	$436.17	$410.44	-12.76%	10
2024-11-07	2024-12-16	$296.91	$463.02	46.97%	27
2024-09-06	2024-09-27	$210.73	$260.46	9.15%	16
2024-07-03	2024-07-25	$246.39	$220.25	-7.88%	16
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2022-07-22	2022-08-02	$272.24	$300.59	6.26%	8
2022-06-22	2022-07-21	$236.09	$271.71	2.63%	21
2022-01-04	2022-01-20	$383.20	$332.09	-18.24%	12
2021-10-26	2021-11-12	$339.48	$344.47	3.96%	14
2020-11-19	2021-02-10	$166.42	$268.27	47.10%	56
2020-06-11	2020-09-09	$64.86	$122.09	41.49%	63
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2020-01-14	2020-02-27	$35.86	$45.27	39.21%	31
2019-10-25	2019-11-22	$21.88	$22.20	18.18%	21
2019-09-27	2019-10-15	$16.14	$17.19	3.91%	13
2018-12-06	2018-12-13	$24.20	$25.12	1.17%	6
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-09-19	2017-09-22	$25.01	$23.41	-3.42%	4
2017-08-04	2017-08-24	$23.79	$23.53	0.18%	15
2017-06-12	2017-06-16	$23.93	$24.76	3.29%	5
2017-06-01	2017-06-08	$22.69	$24.67	3.38%	6
2017-03-29	2017-05-03	$18.49	$20.73	10.90%	25
2016-12-14	2016-12-20	$13.25	$13.92	1.44%	5
2016-04-05	2016-04-28	$17.03	$16.51	1.17%	18
2015-12-17	2015-12-28	$15.56	$15.26	-1.28%	7
2015-07-21	2015-08-18	$17.78	$17.38	-7.25%	21
2014-02-20	2014-03-26	$14.00	$14.20	7.58%	25
2014-02-11	2014-02-18	$13.11	$13.58	0.18%	5
2013-10-07	2013-10-18	$12.20	$12.23	0.61%	10
2013-07-17	2013-09-09	$8.02	$10.71	52.82%	38
2013-07-02	2013-07-11	$7.85	$8.37	2.82%	7
2013-05-07	2013-06-05	$3.70	$6.36	62.73%	21
2013-04-02	2013-05-06	$2.96	$3.97	24.22%	25
2012-04-05	2012-04-12	$2.30	$2.23	-3.85%	5