PriceMomentum_V0416

ARCHIVEDmomentum

llmBroadened entry (lowered ret_20d threshold, allow recent breakout or 5d momentum and added rsi cap), tightened slope gate slightly to avoid deep downtrends, added exit conditions to cut on high volatility and strong overbought (rsi), added regime gates to avoid high-volatility and bubble periods, introduced volatility-based position scaling (reduce size when vol_pctile>0.8), lowered base position to reduce risk and improve out-of-sample robustness.

Fitness

0.1279

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0340S0340 · gen 16ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.1224

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0416  [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and (breakout_20 > 0.0 or ret_5d > 0.0) and sma_50_slope > -0.002 and rsi_14 < 80.0):
    position = 0.8
if long and (ret_20d < -0.03 or rsi_14 > 85.0 or vol_pctile > 0.95):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.0%	1.1%	-1.0%	-1.1%
Total Return	-14.8%	3.3%	-3.8%	-15.3%
Sharpe	-0.05	0.15	0.03	0.01
Sortino	-0.03	0.08	0.02	0.01
Calmar	-0.04	0.04	-0.03	-0.02
Volatility	15.5%	14.8%	17.5%	15.9%
Max DD	-47.1%	-28.2%	-30.7%	-47.1%
Win Rate	46.4%	33.3%	42.9%	43.8%
Avg Win	5.4%	19.3%	9.5%	7.9%
Avg Loss	-5.3%	-7.1%	-6.8%	-6.0%
Payoff	1.01	2.71	1.40	1.31
Expectancy	-0.3%	1.7%	0.2%	0.1%
Profit Factor	0.88	1.35	1.05	1.02
Trades	28	6	14	48
Avg Holding Days	15.2	23.0	13.5	15.7
Turnover	5.6	3.2	6.1	5.2
Exposure	15.8%	14.0%	15.0%	15.2%

Growth of $100

PriceMomentum_V0416 vs TSLA Buy & Hold

PriceMomentum_V0416 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	-18.0%	-1.24	-24.7%	5
2017	9.8%	1.45	-4.3%	3
2018	-17.8%	-1.68	-18.2%	3
2019	6.6%	0.40	-17.6%	4
2020	0.0%	0.00	0.0%	0
2021	38.7%	1.90	-10.1%	3
2022	-25.6%	-1.55	-28.2%	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	-1.2%	-0.97	0%
hidden test	EXPENSIVE	83	17.6%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-12.3%	-0.85	1%
hidden test	LOW VOLATILITY	429	16.1%	0.95	23%
hidden test	MEDIUM VOLATILITY	248	-13.4%	-0.64	15%
hidden test	NORMAL	800	-1.3%	-0.07	17%
hidden test	SIDEWAYS	293	-23.5%	-1.23	25%
hidden test	UPTREND	371	20.7%	0.95	18%
train	DOWNTREND	518	-3.6%	-0.67	1%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-1.2%	-0.08	1%
train	LOW VOLATILITY	745	15.0%	0.91	33%
train	MEDIUM VOLATILITY	568	-21.1%	-1.42	12%
train	NORMAL	1,601	-2.4%	-0.14	20%
train	SIDEWAYS	592	-17.6%	-1.07	16%
train	UPTREND	902	11.9%	0.64	24%
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	0.0%	0.00	0%
validation	LOW VOLATILITY	183	16.1%	0.89	42%
validation	MEDIUM VOLATILITY	315	-4.1%	-0.22	9%
validation	NORMAL	474	3.5%	0.19	22%
validation	SIDEWAYS	206	-18.9%	-1.03	19%
validation	UPTREND	425	13.0%	0.87	16%

Trades (full period)

48 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-08	$428.35	$408.95	-4.08%	21
2025-12-15	2026-01-07	$475.31	$431.41	-4.62%	16
2025-08-25	2025-09-15	$346.60	$410.04	12.89%	15
2025-08-12	2025-08-21	$340.84	$320.11	-3.73%	8
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2024-09-23	2024-10-14	$250.00	$219.16	-6.94%	16
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-06-27	2024-07-08	$197.42	$252.94	21.87%	7
2023-11-17	2024-01-10	$234.30	$233.94	0.43%	36
2023-09-12	2023-09-28	$267.48	$246.38	-9.90%	13
2023-06-22	2023-08-02	$264.61	$254.11	0.58%	29
2023-05-31	2023-06-12	$203.93	$249.83	16.72%	9
2023-03-01	2023-03-08	$202.77	$182.00	-7.16%	6
2022-09-21	2022-09-26	$300.80	$276.01	-8.87%	4
2022-08-02	2022-08-29	$300.59	$284.82	-2.53%	20
2022-03-31	2022-04-27	$359.20	$293.84	-16.15%	19
2021-11-23	2021-12-01	$369.68	$365.00	-0.96%	6
2021-08-04	2021-10-26	$236.97	$339.48	34.30%	59
2021-06-14	2021-07-26	$205.90	$219.21	4.30%	30
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2019-10-17	2019-10-25	$17.46	$21.88	12.18%	7
2019-09-13	2019-09-27	$16.35	$16.14	-1.15%	11
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2018-12-07	2018-12-19	$23.86	$22.20	-5.89%	9
2018-03-13	2018-03-15	$22.79	$21.71	-4.53%	3
2018-01-23	2018-02-09	$23.52	$20.69	-8.41%	14
2017-12-14	2017-12-26	$22.53	$21.15	-3.42%	8
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2016-12-28	2017-01-25	$14.65	$16.96	12.46%	19
2016-10-04	2016-10-06	$14.09	$13.40	-2.12%	3
2016-07-25	2016-08-23	$15.33	$14.99	0.11%	22
2016-06-08	2016-06-23	$15.70	$13.09	-12.51%	12
2016-03-28	2016-05-04	$15.35	$14.84	1.54%	28
2016-03-21	2016-03-24	$15.89	$15.18	-3.63%	4
2015-09-21	2015-10-02	$17.61	$16.50	-6.54%	10
2015-04-28	2015-07-28	$15.37	$17.65	7.37%	64
2015-04-14	2015-04-21	$13.83	$13.96	-1.88%	6
2014-11-12	2014-12-02	$16.61	$15.43	-6.34%	14
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-10	2014-07-17	$13.49	$14.36	4.57%	27
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-20	2013-02-26	$2.57	$2.30	-10.17%	5
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
2012-09-18	2012-09-21	$2.09	$2.00	-4.20%	4
2012-07-11	2012-07-20	$2.10	$2.12	2.49%	8
2012-02-15	2012-04-10	$2.24	$2.16	0.02%	38