PriceMomentum_V0550

ARCHIVEDmomentum

llmAdded trend and breakout/volume confirmation to entry (ret_20d > 3%, positive sma_50_slope, and either breakout_20 or volume_breakout) to reduce false signals. Restricted trading to UPTREND and non-high-volatility/bubble-extreme regimes. Simplified and tightened exits: short-term stop (ret_5d < -5%), larger drawdown stop (ret_20d < -12%), or sma_10 crossing below sma_50 for trend failure. Lowered base position to 0.8 and added volatility-based scaling to reduce size in higher volatility.

Fitness

0.2872

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_V0550  [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 > 0.03 and sma_50_slope > 0.0 and (breakout_20 > 0.0 or volume_breakout > 0.0)):
    position = 0.8
if long and (ret_5d < -0.05 or ret_20d < -0.12 or sma_10 < sma_50):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.8
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.0%	15.7%	4.8%	6.1%
Total Return	26.7%	55.0%	18.9%	139.2%
Sharpe	0.33	1.03	0.42	0.54
Sortino	0.18	0.70	0.20	0.30
Calmar	0.16	0.57	0.31	0.22
Volatility	10.9%	15.3%	13.1%	12.5%
Max DD	-18.8%	-27.4%	-15.4%	-27.4%
Win Rate	50.0%	36.4%	37.5%	43.6%
Avg Win	5.3%	22.9%	11.8%	11.7%
Avg Loss	-3.8%	-5.3%	-3.2%	-4.2%
Payoff	1.38	4.30	3.73	2.81
Expectancy	0.7%	4.9%	2.5%	2.8%
Profit Factor	1.38	2.46	2.24	2.17
Trades	20	11	8	39
Avg Holding Days	14.3	11.5	12.8	13.5
Turnover	4.0	5.2	3.5	4.1
Exposure	10.6%	11.0%	7.3%	9.9%

Growth of $100

PriceMomentum_V0550 vs TSLA Buy & Hold

PriceMomentum_V0550 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	-7.1%	-0.98	-11.3%	2
2017	18.8%	1.30	-7.2%	6
2018	-7.9%	-1.42	-7.9%	2
2019	12.8%	1.61	-3.0%	0
2020	42.2%	2.27	-5.7%	3
2021	30.6%	1.47	-12.1%	4
2022	-18.5%	-2.68	-18.5%	4

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	34.6%	1.30	36%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.9%	-1.43	1%
hidden test	LOW VOLATILITY	429	22.5%	1.85	9%
hidden test	MEDIUM VOLATILITY	249	-6.9%	-0.39	12%
hidden test	NORMAL	801	2.9%	0.26	5%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	13.9%	0.67	18%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	34.2%	1.83	21%
train	EXTREME	100	7.4%	1.55	1%
train	HIGH VOLATILITY	699	6.5%	1.02	0%
train	LOW VOLATILITY	745	11.0%	0.81	23%
train	MEDIUM VOLATILITY	568	-9.9%	-0.90	7%
train	NORMAL	1,601	-2.6%	-0.30	9%
train	SIDEWAYS	592	-4.3%	-1.28	1%
train	UPTREND	902	10.7%	0.67	23%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	55.5%	2.51	21%
validation	EXTREME	144	24.6%	2.28	1%
validation	HIGH VOLATILITY	258	-7.6%	-1.00	0%
validation	LOW VOLATILITY	183	18.0%	1.29	25%
validation	MEDIUM VOLATILITY	315	33.6%	1.67	12%
validation	NORMAL	474	1.5%	0.11	11%
validation	SIDEWAYS	206	-11.5%	-1.86	1%
validation	UPTREND	425	33.6%	1.69	19%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2025-12-31	$475.31	$449.72	-0.89%	12
2025-09-12	2025-11-10	$395.94	$445.23	11.73%	42
2025-05-28	2025-06-04	$356.90	$332.05	-3.98%	6
2024-09-16	2024-09-17	$226.78	$227.87	-1.10%	2
2024-09-06	2024-09-09	$210.73	$216.27	-5.53%	2
2024-07-02	2024-07-12	$231.26	$248.23	11.06%	8
2023-07-05	2023-07-21	$282.48	$260.02	-4.36%	13
2023-06-02	2023-06-27	$213.97	$250.21	12.72%	17
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-22	$306.56	$289.91	-3.11%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.37%	2
2022-04-05	2022-04-11	$363.75	$325.31	-6.90%	5
2021-09-01	2021-11-10	$244.70	$355.98	30.75%	50
2021-08-05	2021-08-18	$238.21	$229.66	-5.24%	10
2021-01-26	2021-02-01	$294.36	$279.94	-6.53%	5
2020-12-18	2021-01-11	$231.67	$270.40	20.88%	15
2020-11-19	2020-12-08	$166.42	$216.63	19.49%	13
2020-10-15	2020-10-21	$149.63	$140.88	-5.65%	5
2019-12-13	2020-01-22	$23.89	$37.97	39.11%	26
2018-12-04	2018-12-19	$23.98	$22.20	-3.54%	11
2018-02-01	2018-02-06	$23.28	$22.26	-4.47%	4
2017-09-18	2017-09-25	$25.67	$23.00	-5.68%	6
2017-08-04	2017-08-07	$23.79	$23.68	1.68%	2
2017-06-06	2017-06-14	$23.52	$25.38	4.97%	7
2017-04-26	2017-05-10	$20.68	$21.68	0.21%	11
2017-03-28	2017-04-04	$18.50	$20.25	6.93%	6
2017-01-05	2017-02-24	$15.12	$17.13	10.04%	35
2016-07-26	2016-08-30	$15.30	$14.09	-5.31%	26
2016-04-05	2016-05-02	$17.03	$16.12	-1.93%	20
2015-07-21	2015-07-28	$17.78	$17.65	-6.82%	6
2015-05-12	2015-07-13	$16.32	$17.48	6.45%	43
2015-04-30	2015-05-01	$15.07	$15.07	-2.36%	2
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-24	2014-07-08	$15.50	$14.60	-5.07%	10
2014-02-14	2014-02-26	$13.22	$16.87	14.64%	8
2013-09-20	2013-10-04	$12.23	$12.07	-2.17%	11
2013-01-24	2013-02-19	$2.47	$2.62	2.18%	18
2012-11-29	2012-12-14	$2.25	$2.25	0.79%	12
2012-03-13	2012-04-05	$2.41	$2.30	-0.94%	18