PriceMomentum_V0548

REJECTEDmomentum

llm1) Tightened regime: restrict entries to UPTREND and avoid HIGH_VOLATILITY and bubble EXTREME to improve robustness. 2) Entry revised: require moderate 20-day momentum (ret_20d>3%) plus both 50d and 200d SMA slopes positive (trend confirmation) to reduce false signals. 3) Exit improved: multi-condition exit = momentum reversal (ret_20d<-12%), account-level drawdown guard (drawdown<-8%), or declining 50d slope to cut losses earlier. 4) Volatility-based sizing: increase size in low vol, reduce in high vol, default moderate exposure. 5) Lowered base_position to 0.7 to reduce leverage and drawdown risk. | rejected: stage1: sharpe -0.73 below screen

Fitness

—

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

PriceMomentum_V0261S0261 · gen 12ARCHIVEDllm

changed ret_20d threshold -0.03 -> -0.1437

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0548  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and sma_50_slope > 0.0 and sma_200_slope > 0.0):
    position = 0.7
if long and (ret_20d < -0.12 or drawdown < -0.08 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

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