PriceMomentum_V0434

REJECTEDmomentum

llmAdded trend gate (UPTREND only) and restricted to NORMAL bubble; strengthened entry with sma_50_slope and breakout confirmation + RSI filter to avoid overbought. Replaced single threshold entry with multi-condition regime-aware gate. Exits: tightened stop-loss (-12%), add trend-break (dist_sma_50<0), momentum+volatility exit (macd_hist<0 AND vol_chg>0.25) and RSI exit <35 for faster deleveraging. Reduced base position to 0.75 and added volatility-based scaling (lower exposure in medium/high vol) to limit drawdowns. | rejected: stage1: sharpe -1.00 below screen

Fitness

—

Generation

Complexity

Created

2026-09-19

Lineage

Parents (1)

PriceMomentum_V0294S0294 · gen 14ARCHIVEDllm

entry from PriceMomentum_V0054, exit from PriceMomentum_V0227

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0434  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and sma_50_slope > 0.0 and breakout_20 == 1 and rsi_14 < 72.0):
    position = 0.75
if long and (ret_20d < -0.12 or dist_sma_50 < 0.0 or (macd_hist < 0.0 and vol_chg > 0.25) or rsi_14 < 35.0):
    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 *= 0.35

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	—	—	—	—
Total Return	—	—	—	—
Sharpe	—	—	—	—
Sortino	—	—	—	—
Calmar	—	—	—	—
Volatility	—	—	—	—
Max DD	—	—	—	—
Win Rate	—	—	—	—
Avg Win	—	—	—	—
Avg Loss	—	—	—	—
Payoff	—	—	—	—
Expectancy	—	—	—	—
Profit Factor	—	—	—	—
Trades	—	—	—	—
Avg Holding Days	—	—	—	—
Turnover	—	—	—	—
Exposure	—	—	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
No walk-forward results

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
No regime results

Trades (full period)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded