PriceMomentum_V0611

ARCHIVEDmomentum

llmRestricted trading to UPTREND & non-bubble regimes; added dual-entry legs combining 20d momentum+volume+sma_50_slope and 20d breakout+volume to capture clearer momentum signals; strengthened exits with quick 1d stop, larger 20d stop, and a trend-based exit (distance below SMA50) to cut drawdowns; introduced volatility-scaled sizing (larger in low vol, reduced in medium/high) and lowered base position to reduce max drawdown.

Fitness

0.3061

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0604S0604 · gen 27ARCHIVEDllm

changed ret_20d threshold -0.1003 -> -0.0278

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0611  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.08 and rel_volume > 1.25 and sma_50_slope > 0.0) or (breakout_20 > 0.5 and rel_volume > 1.1)):
    position = 0.9
if long and (ret_1d < -0.03 or ret_20d < -0.06 or dist_sma_50 < -0.04):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.2%	10.8%	8.5%	6.0%
Total Return	28.9%	35.9%	35.1%	136.6%
Sharpe	0.37	1.16	0.87	0.65
Sortino	0.19	0.61	0.27	0.30
Calmar	0.17	2.30	0.80	0.31
Volatility	10.0%	9.1%	9.9%	9.8%
Max DD	-19.2%	-4.7%	-10.5%	-19.2%
Win Rate	50.0%	33.3%	71.4%	53.6%
Avg Win	7.0%	40.1%	8.6%	9.8%
Avg Loss	-3.7%	-1.5%	-4.8%	-3.5%
Payoff	1.90	10.00	1.78	2.75
Expectancy	1.7%	12.4%	4.8%	3.6%
Profit Factor	1.90	10.00	4.46	3.18
Trades	18	3	7	28
Avg Holding Days	10.6	15.7	5.7	9.9
Turnover	3.9	1.6	3.1	3.2
Exposure	7.4%	4.9%	2.9%	5.7%

Growth of $100

PriceMomentum_V0611 vs TSLA Buy & Hold

PriceMomentum_V0611 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	-2.7%	-0.39	-8.0%	3
2017	12.5%	2.28	-0.8%	2
2018	-1.2%	-0.23	-4.9%	1
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	35.9%	2.02	-4.7%	3
2022	0.0%	0.00	0.0%	0

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	19.6%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.7%	-1.43	0%
hidden test	LOW VOLATILITY	429	14.3%	1.32	5%
hidden test	MEDIUM VOLATILITY	250	18.5%	1.78	2%
hidden test	NORMAL	802	8.0%	0.79	3%
hidden test	SIDEWAYS	293	-0.6%	-1.01	0%
hidden test	UPTREND	371	22.2%	1.41	7%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	3.9%	1.49	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	5.1%	0.60	0%
train	LOW VOLATILITY	745	9.8%	0.81	17%
train	MEDIUM VOLATILITY	568	-6.2%	-0.73	3%
train	NORMAL	1,601	3.8%	0.34	9%
train	SIDEWAYS	592	-3.0%	-0.90	1%
train	UPTREND	902	10.2%	0.69	16%
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	-0.1%	-0.99	0%
validation	LOW VOLATILITY	183	20.0%	2.10	17%
validation	MEDIUM VOLATILITY	315	13.9%	1.15	2%
validation	NORMAL	474	16.9%	1.47	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	18.9%	1.55	9%

Trades (full period)

28 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-22	2025-12-30	$488.73	$454.43	-4.21%	6
2025-12-15	2025-12-18	$475.31	$483.37	1.47%	4
2025-09-12	2025-09-15	$395.94	$410.04	6.43%	2
2024-09-24	2024-09-27	$254.27	$260.46	0.94%	4
2024-09-06	2024-09-09	$210.73	$216.27	-5.44%	2
2024-07-02	2024-07-12	$231.26	$248.23	12.05%	8
2023-06-02	2023-06-22	$213.97	$264.61	22.12%	14
2021-11-04	2021-11-09	$409.97	$341.17	-2.76%	4
2021-09-27	2021-11-03	$263.79	$404.62	40.07%	28
2021-08-31	2021-09-21	$245.24	$246.46	-0.26%	15
2018-12-04	2018-12-18	$23.98	$22.47	-1.18%	10
2017-03-27	2017-03-28	$18.01	$18.50	1.56%	2
2017-01-05	2017-01-25	$15.12	$16.96	10.70%	14
2016-06-08	2016-06-09	$15.70	$15.29	1.05%	2
2016-04-12	2016-05-04	$16.52	$14.84	-6.08%	17
2016-04-05	2016-04-08	$17.03	$16.67	2.50%	4
2015-07-21	2015-07-22	$17.78	$17.86	-3.58%	2
2015-05-12	2015-07-08	$16.32	$17.00	10.46%	40
2015-04-29	2015-05-01	$15.50	$15.07	-1.90%	3
2014-08-04	2014-09-08	$15.90	$18.81	16.72%	25
2014-06-24	2014-07-03	$15.50	$15.28	-3.12%	8
2013-03-26	2013-04-02	$2.52	$2.96	15.13%	5
2013-02-20	2013-02-22	$2.57	$2.41	-9.62%	3
2013-02-12	2013-02-14	$2.53	$2.55	-0.11%	3
2013-01-03	2013-01-14	$2.32	$2.22	-6.42%	8
2012-11-29	2012-12-14	$2.25	$2.25	0.87%	12
2012-02-23	2012-04-05	$2.30	$2.30	4.33%	31
2012-02-21	2012-02-22	$2.30	$2.28	-1.39%	2