PriceMomentum_V0364

ARCHIVEDhybrid

llmSimplified entry logic to reduce overfitting: require 20-day momentum plus either a price/sma_50 + positive MACD histogram confirmation or a stronger 20-day breakout. Tightened the long-term drawdown guard (cumret_252d > -0.15). Added more robust exits: keep the 20-day stop (-3%) and add a breakdown exit when price falls below the 50-day SMA. Restricted deployment to UPTREND and low/medium volatility regimes and only NORMAL bubble to avoid risky market states. Reduced base position to 0.7 to lower exposure and drawdown risk.

Fitness

0.1276

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0298S0298 · gen 14ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.0923

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0364  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and ((close > sma_50 and macd_hist > 0.0) or ret_20d > 0.0923) and cumret_252d > -0.15):
    position = 0.7
if long and (ret_20d < -0.03 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.4%	-2.2%	0.5%	-0.1%
Total Return	3.2%	-6.3%	1.7%	-1.6%
Sharpe	0.09	-0.10	0.10	0.05
Sortino	0.05	-0.04	0.04	0.02
Calmar	0.02	-0.06	0.02	-0.00
Volatility	9.7%	13.2%	12.6%	11.2%
Max DD	-20.0%	-34.5%	-19.7%	-34.5%
Win Rate	42.1%	25.0%	50.0%	40.5%
Avg Win	4.6%	16.3%	6.7%	6.9%
Avg Loss	-2.9%	-5.6%	-5.8%	-4.3%
Payoff	1.59	2.93	1.16	1.61
Expectancy	0.3%	-0.1%	0.5%	0.2%
Profit Factor	1.16	0.98	1.16	1.09
Trades	19	8	10	37
Avg Holding Days	13.7	12.8	9.1	12.2
Turnover	3.3	3.7	3.8	3.5
Exposure	8.4%	8.7%	6.1%	7.9%

Growth of $100

PriceMomentum_V0364 vs TSLA Buy & Hold

PriceMomentum_V0364 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	-5.6%	-0.72	-10.2%	3
2017	8.4%	2.04	-0.7%	2
2018	-9.9%	-1.85	-9.9%	2
2019	4.0%	0.58	-6.2%	2
2020	0.0%	0.00	0.0%	0
2021	24.9%	1.31	-16.0%	3
2022	-25.1%	-2.04	-27.0%	5

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	29.7%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-21.8%	-1.69	1%
hidden test	LOW VOLATILITY	429	8.8%	0.81	8%
hidden test	MEDIUM VOLATILITY	248	12.0%	0.80	8%
hidden test	NORMAL	800	-1.6%	-0.12	7%
hidden test	SIDEWAYS	293	-10.3%	-1.11	1%
hidden test	UPTREND	371	11.4%	0.63	15%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	6.1%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.0%	0.60	0%
train	LOW VOLATILITY	745	8.6%	0.71	19%
train	MEDIUM VOLATILITY	568	-13.1%	-1.46	4%
train	NORMAL	1,601	-0.1%	-0.01	10%
train	SIDEWAYS	592	-3.8%	-1.23	1%
train	UPTREND	902	4.4%	0.31	18%
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	-5.7%	-0.66	1%
validation	LOW VOLATILITY	183	11.3%	0.99	22%
validation	MEDIUM VOLATILITY	315	-5.1%	-0.30	8%
validation	NORMAL	474	-2.1%	-0.13	14%
validation	SIDEWAYS	206	-20.9%	-1.85	2%
validation	UPTREND	425	7.8%	0.50	15%

Trades (full period)

37 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.14%	2
2025-12-15	2026-01-05	$475.31	$451.67	-3.26%	14
2025-09-12	2025-09-15	$395.94	$410.04	5.01%	2
2025-06-02	2025-06-06	$342.69	$295.14	-12.73%	5
2025-05-22	2025-05-28	$341.04	$356.90	5.75%	4
2024-10-03	2024-10-14	$240.66	$219.16	-8.95%	8
2024-09-23	2024-09-27	$250.00	$260.46	4.53%	5
2024-09-05	2024-09-09	$230.17	$216.27	-2.82%	3
2024-07-03	2024-07-12	$246.39	$248.23	2.95%	7
2023-06-05	2023-08-02	$217.61	$254.11	15.30%	41
2022-09-21	2022-09-23	$300.80	$275.33	-4.72%	3
2022-08-16	2022-08-22	$306.56	$289.91	-3.01%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.78%	2
2022-04-05	2022-04-27	$363.75	$293.84	-16.93%	16
2022-01-12	2022-01-13	$368.74	$343.85	2.61%	2
2021-11-23	2021-12-01	$369.68	$365.00	-0.82%	6
2021-08-25	2021-11-10	$237.07	$355.98	29.94%	55
2021-08-05	2021-08-23	$238.21	$235.43	-3.11%	13
2019-11-22	2019-12-17	$22.20	$25.27	5.17%	17
2019-10-21	2019-10-22	$16.90	$17.04	-1.08%	2
2018-12-13	2018-12-19	$25.12	$22.20	-5.80%	5
2018-02-01	2018-02-06	$23.28	$22.26	-4.34%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.12%	4
2017-01-05	2017-01-25	$15.12	$16.96	8.25%	14
2016-07-26	2016-08-23	$15.30	$14.99	-2.28%	21
2016-06-08	2016-06-09	$15.70	$15.29	0.82%	2
2016-04-05	2016-05-04	$17.03	$14.84	-4.23%	22
2015-05-11	2015-07-28	$15.97	$17.65	4.88%	55
2015-04-29	2015-05-01	$15.50	$15.07	-1.48%	3
2014-08-05	2014-09-16	$15.90	$17.38	4.53%	30
2014-06-23	2014-07-17	$15.81	$14.36	-3.87%	18
2013-03-27	2013-04-02	$2.54	$2.96	11.07%	4
2013-02-15	2013-02-22	$2.47	$2.41	-5.76%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.08%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.36%	16
2012-02-23	2012-04-10	$2.30	$2.16	-2.06%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.08%	2