PriceMomentum_V0595

ARCHIVEDmomentum

llm1) Added trend and volatility regime gating: only allow UPTREND and LOW/MED volatility, avoid expensive bubble regimes. 2) Strengthened entry with trend confirmation (sma_50_slope>0) and looser ret_20d threshold + slightly lower rel_volume to increase trade opportunities while avoiding extreme volatility (vol_pctile<0.8). 3) Replaced brittle exit with a multi-trigger exit: tighter stop-loss (ret_20d<-8%), SMA20< SMA50 cross, negative MACD histogram, or excessive drawdown (>12%). 4) Introduced position sizing rules: full size on strong momentum + slope + volume, medium size for moderate momentum, and reduced size in high volatility. 5) Lowered base_position to 0.7 to reduce overall risk/exposure.

Fitness

0.1706

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDllm

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0595  [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 rel_volume > 1.15 and sma_50_slope > 0.0 and vol_pctile < 0.8):
    position = 0.7
if long and (ret_20d < -0.08 or sma_20 < sma_50 or macd_hist < 0.0 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.1%	2.1%	4.6%	1.7%
Total Return	1.1%	6.5%	18.1%	27.2%
Sharpe	0.05	0.27	0.54	0.25
Sortino	0.02	0.08	0.16	0.08
Calmar	0.01	0.16	0.37	0.12
Volatility	6.5%	9.2%	9.0%	7.8%
Max DD	-14.2%	-13.3%	-12.5%	-14.2%
Win Rate	52.0%	40.0%	62.5%	52.6%
Avg Win	2.3%	6.5%	5.9%	3.6%
Avg Loss	-2.3%	-2.0%	-3.8%	-2.5%
Payoff	1.00	3.29	1.56	1.45
Expectancy	0.1%	1.4%	2.3%	0.7%
Profit Factor	1.08	2.19	2.59	1.62
Trades	25	5	8	38
Avg Holding Days	5.4	8.2	5.5	5.8
Turnover	4.4	2.3	3.0	3.6
Exposure	3.8%	3.3%	2.7%	3.4%

Growth of $100

PriceMomentum_V0595 vs TSLA Buy & Hold

PriceMomentum_V0595 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	0.5%	0.13	-4.7%	2
2017	8.3%	2.08	-0.6%	1
2018	0.5%	0.88	-0.1%	1
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	8.1%	0.57	-12.0%	4
2022	-1.5%	-0.67	-2.2%	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	269	0.0%	0.00	0%
hidden test	EXPENSIVE	83	15.2%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-11.9%	-1.43	1%
hidden test	LOW VOLATILITY	429	8.7%	0.93	4%
hidden test	MEDIUM VOLATILITY	250	15.6%	1.73	2%
hidden test	NORMAL	802	4.1%	0.44	3%
hidden test	SIDEWAYS	293	0.7%	0.85	0%
hidden test	UPTREND	371	11.8%	0.83	7%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.1%	1.21	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.3%	-0.61	0%
train	LOW VOLATILITY	745	6.0%	0.77	9%
train	MEDIUM VOLATILITY	568	-3.8%	-0.52	2%
train	NORMAL	1,601	0.0%	0.00	5%
train	SIDEWAYS	592	-2.3%	-0.92	0%
train	UPTREND	902	2.3%	0.24	8%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-8.3%	-1.00	0%
validation	LOW VOLATILITY	183	-1.0%	-0.15	8%
validation	MEDIUM VOLATILITY	315	13.4%	1.20	3%
validation	NORMAL	474	4.0%	0.35	5%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	4.5%	0.37	6%

Trades (full period)

38 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2025-12-30	$467.26	$454.43	-4.45%	9
2025-12-15	2025-12-16	$475.31	$489.88	2.35%	2
2025-09-12	2025-09-15	$395.94	$410.04	5.01%	2
2025-09-04	2025-09-05	$338.53	$350.84	0.79%	2
2025-06-02	2025-06-03	$342.69	$344.27	-0.90%	2
2024-09-06	2024-09-09	$210.73	$216.27	-6.05%	2
2024-07-02	2024-07-12	$231.26	$248.23	10.30%	8
2023-06-02	2023-06-27	$213.97	$250.21	11.12%	17
2022-04-07	2022-04-11	$352.42	$325.31	-1.49%	3
2021-10-19	2021-11-10	$288.09	$355.98	12.42%	17
2021-09-27	2021-10-07	$263.79	$264.54	0.62%	9
2021-09-08	2021-09-21	$251.29	$246.46	-2.24%	10
2021-08-17	2021-08-18	$221.90	$229.66	-2.23%	2
2018-12-06	2018-12-07	$24.20	$23.86	0.51%	2
2017-01-05	2017-01-25	$15.12	$16.96	8.25%	14
2016-08-05	2016-08-09	$15.34	$15.27	-1.49%	3
2016-04-05	2016-04-14	$17.03	$16.79	2.04%	8
2015-08-06	2015-08-07	$16.41	$16.17	-6.35%	2
2015-07-20	2015-07-22	$18.82	$17.86	-2.11%	3
2015-06-23	2015-07-09	$17.84	$17.19	-1.36%	12
2015-06-18	2015-06-19	$17.46	$17.50	0.26%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.22%	2
2015-05-12	2015-05-22	$16.32	$16.52	1.66%	9
2015-04-29	2015-05-01	$15.50	$15.07	-1.48%	3
2014-09-02	2014-09-12	$18.94	$18.61	2.65%	9
2014-08-05	2014-08-25	$15.90	$17.50	5.20%	15
2014-07-09	2014-07-10	$14.87	$14.63	1.13%	2
2014-06-24	2014-07-07	$15.50	$14.84	-2.47%	9
2013-03-26	2013-03-27	$2.52	$2.54	0.48%	2
2013-02-21	2013-02-22	$2.34	$2.41	-6.27%	2
2013-02-19	2013-02-20	$2.62	$2.57	4.09%	2
2013-02-12	2013-02-14	$2.53	$2.55	-0.08%	3
2012-12-24	2012-12-26	$2.29	$2.24	0.44%	2
2012-12-19	2012-12-20	$2.31	$2.30	-0.10%	2
2012-11-29	2012-12-14	$2.25	$2.25	0.70%	12
2012-03-27	2012-04-05	$2.53	$2.30	-4.58%	8
2012-03-12	2012-03-13	$2.40	$2.41	2.42%	2
2012-02-23	2012-02-29	$2.30	$2.23	-0.97%	5