PriceMomentum_V0591

REJECTEDhybrid

llm1) Added volatility gates to entries (require vol_20 < 0.06 or < 0.08) to avoid entering in extreme/high-volatility environments. 2) Tightened volume threshold to rel_volume >1.2 and slightly tightened sma_200_slope to > -0.0015 to prefer healthier uptrends. 3) Raised cumret_252d floor to -0.149 to avoid entering during large-year-to-date drawdowns. 4) Improved exits: added close < sma_50 cross and a drawdown cut (drawdown < -0.12) in addition to ret_20d < -0.03 to reduce deep drawdowns and provide clearer trend exits. 5) Restricted regime gates to UPTREND and low/medium volatility, and excluded EXTREME bubble, to improve robustness and generalization. 6) Reduced base_position to 0.85 to lower portfolio risk/exposure. | rejected: stage1: never enters a position

Fitness

—

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0451S0451 · gen 21ARCHIVEDllm

entry = PriceMomentum_V0264 OR LongTermTrend_V0208

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0591  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2 and vol_20 < 0.06) or (((close > sma_200 and sma_200_slope > -0.0015) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.149 and vol_20 < 0.08)):
    position = 0.85
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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Volatility	—	—	—	—
Max DD	—	—	—	—
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Avg Win	—	—	—	—
Avg Loss	—	—	—	—
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Expectancy	—	—	—	—
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Avg Holding Days	—	—	—	—
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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