PriceMomentum_V0524

ARCHIVEDmomentum

llm1) Tightened regime gate to only UPTREND and excluded extreme volatility/bubble states to avoid hostile markets. 2) Strengthened entry to require short-term momentum (ret_20d>0.04) plus trend confirmation (sma_50>sma_200) and positive macd_hist — reduces false breakouts. 3) Improved exits: softer stop (-12%) plus technical trend flip (sma_20<sma_50) and high-volatility escape (vol_pctile>0.95) to cut losses and avoid volatility crashes. 4) Position sizing: scale down in MEDIUM vol (0.6) and avoid positions in HIGH vol (0.0). 5) Lowered base position to 0.85 for risk control.

Fitness

0.3004

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

PriceMomentum_V0294S0294 · gen 14ARCHIVEDllm

entry from PriceMomentum_V0054, exit from PriceMomentum_V0227

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0524  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.04 and sma_50 > sma_200 and macd_hist > 0.0):
    position = 0.85
if long and (ret_20d < -0.12 or sma_20 < sma_50 or vol_pctile > 0.95):
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.0

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	2.8%	17.9%	-7.2%	3.2%
Total Return	24.6%	64.1%	-24.1%	59.1%
Sharpe	0.27	1.08	-0.54	0.30
Sortino	0.17	0.74	-0.25	0.18
Calmar	0.13	0.89	-0.20	0.08
Volatility	13.3%	16.5%	12.4%	13.8%
Max DD	-21.9%	-20.2%	-35.2%	-41.4%
Win Rate	37.5%	62.5%	30.0%	40.5%
Avg Win	5.2%	18.4%	2.7%	9.4%
Avg Loss	-2.0%	-10.3%	-4.9%	-3.8%
Payoff	2.61	1.78	0.56	2.47
Expectancy	0.7%	7.6%	-2.6%	1.5%
Profit Factor	1.57	2.96	0.24	1.68
Trades	24	8	10	42
Avg Holding Days	14.5	20.1	13.1	15.5
Turnover	4.9	3.9	4.8	4.6
Exposure	12.1%	13.2%	8.8%	11.5%

Growth of $100

PriceMomentum_V0524 vs TSLA Buy & Hold

PriceMomentum_V0524 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	-4.7%	-0.96	-7.2%	2
2017	-0.2%	0.05	-12.1%	12
2018	-6.6%	-1.38	-8.7%	1
2019	8.1%	1.31	-3.2%	0
2020	41.8%	2.03	-11.0%	4
2021	29.8%	1.38	-15.7%	3
2022	-12.6%	-1.49	-12.5%	1

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	268	0.0%	0.00	0%
hidden test	EXPENSIVE	83	2.7%	0.12	29%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-4.4%	-1.01	0%
hidden test	LOW VOLATILITY	429	-0.6%	-0.06	11%
hidden test	MEDIUM VOLATILITY	249	-19.4%	-1.05	13%
hidden test	NORMAL	801	-8.0%	-0.70	7%
hidden test	SIDEWAYS	293	-1.5%	-0.81	1%
hidden test	UPTREND	371	-15.5%	-0.79	22%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	23.2%	1.15	26%
train	EXTREME	100	5.9%	1.55	1%
train	HIGH VOLATILITY	699	5.4%	0.52	1%
train	LOW VOLATILITY	745	14.2%	0.91	24%
train	MEDIUM VOLATILITY	568	-12.4%	-0.93	11%
train	NORMAL	1,601	-0.3%	-0.03	10%
train	SIDEWAYS	592	-0.9%	-0.57	0%
train	UPTREND	902	8.7%	0.44	27%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	63.1%	2.39	38%
validation	EXTREME	144	19.6%	2.28	1%
validation	HIGH VOLATILITY	258	-6.0%	-1.00	0%
validation	LOW VOLATILITY	183	26.9%	1.52	28%
validation	MEDIUM VOLATILITY	315	32.2%	1.53	15%
validation	NORMAL	474	4.2%	0.29	10%
validation	SIDEWAYS	206	-9.1%	-1.31	1%
validation	UPTREND	425	36.2%	1.69	23%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2026-01-13	$467.26	$447.20	-7.25%	18
2025-12-15	2025-12-16	$475.31	$489.88	2.86%	2
2025-09-17	2025-11-24	$425.86	$417.78	-5.68%	49
2025-07-31	2025-08-01	$308.27	$302.63	-1.82%	2
2024-10-03	2024-10-22	$240.66	$217.97	-11.08%	14
2024-09-23	2024-09-27	$250.00	$260.46	3.30%	5
2024-09-16	2024-09-17	$226.78	$227.87	-0.88%	2
2024-09-06	2024-09-09	$210.73	$216.27	-4.41%	2
2024-09-04	2024-09-05	$219.41	$230.17	2.03%	2
2023-06-26	2023-08-14	$241.05	$239.76	-3.23%	35
2022-04-05	2022-04-27	$363.75	$293.84	-12.50%	16
2021-09-07	2021-11-10	$250.97	$355.98	33.27%	47
2021-01-12	2021-02-23	$283.15	$232.95	-11.54%	29
2020-12-10	2021-01-11	$209.02	$270.40	21.47%	21
2020-11-23	2020-12-08	$173.95	$216.63	14.95%	11
2020-11-19	2020-11-20	$166.42	$163.20	1.22%	2
2020-10-15	2020-11-13	$149.63	$136.17	-6.95%	22
2019-12-17	2020-01-22	$25.27	$37.97	34.02%	24
2018-12-12	2018-12-21	$24.44	$21.32	-6.61%	8
2017-09-18	2017-10-16	$25.67	$23.37	-3.76%	21
2017-08-17	2017-08-18	$23.46	$23.16	-1.65%	2
2017-08-15	2017-08-16	$24.16	$24.19	-0.31%	2
2017-08-04	2017-08-07	$23.79	$23.68	1.34%	2
2017-06-05	2017-06-14	$23.15	$25.38	4.93%	8
2017-05-15	2017-05-19	$21.06	$20.72	-1.93%	5
2017-05-02	2017-05-10	$21.26	$21.68	-2.90%	7
2017-04-20	2017-04-21	$20.17	$20.37	-0.60%	2
2017-04-03	2017-04-04	$19.90	$20.25	3.60%	2
2017-03-30	2017-03-31	$18.53	$18.55	-0.00%	2
2017-03-28	2017-03-29	$18.50	$18.49	2.10%	2
2017-02-01	2017-02-28	$16.62	$16.67	-0.70%	19
2016-07-26	2016-08-30	$15.30	$14.09	-5.64%	26
2016-06-08	2016-06-09	$15.70	$15.29	0.99%	2
2015-06-22	2015-08-07	$17.32	$16.17	-0.70%	34
2014-06-23	2014-10-01	$15.81	$16.02	7.49%	71
2014-02-13	2014-02-26	$13.31	$16.87	12.25%	9
2013-09-09	2013-10-29	$10.71	$10.96	-1.88%	37
2013-04-01	2013-04-02	$2.93	$2.96	13.37%	2
2013-03-27	2013-03-28	$2.54	$2.53	0.50%	2
2013-01-24	2013-03-18	$2.47	$2.34	-1.72%	37
2012-02-23	2012-04-25	$2.30	$2.19	-0.03%	44
2012-02-21	2012-02-22	$2.30	$2.28	-1.31%	2