PriceMomentum_V0617

ARCHIVEDhybrid

llmPruned redundant ret_20d checks and replaced with a clearer momentum+trend gate: require 20d return > 8%, price above SMA50, positive SMA50 slope and positive MACD histogram; avoid buying very near 52-week highs (dist_52w_high < 0.3). Added a safer exit: exit on 20d loss <-6% or weakening MACD histogram. Restricted regime to UPTREND and non-high volatility, set base position down to 0.8 to reduce drawdown risk.

Fitness

0.1555

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0541S0541 · gen 25ARCHIVEDllm

logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0617  [hybrid]
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 close > sma_50 and sma_50_slope > 0.0 and macd_hist > 0.0 and dist_52w_high < 0.3):
    position = 0.8
if long and (ret_20d < -0.06 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.6%	-0.9%	5.8%	2.1%
Total Return	13.1%	-2.7%	23.1%	35.4%
Sharpe	0.23	-0.02	0.57	0.26
Sortino	0.10	-0.01	0.19	0.10
Calmar	0.14	-0.03	0.37	0.08
Volatility	7.9%	11.7%	10.9%	9.6%
Max DD	-11.2%	-26.7%	-15.7%	-26.7%
Win Rate	38.9%	14.3%	50.0%	37.1%
Avg Win	5.6%	21.4%	7.4%	7.5%
Avg Loss	-2.2%	-3.6%	-2.8%	-2.7%
Payoff	2.48	5.96	2.64	2.73
Expectancy	0.8%	-0.0%	2.3%	1.1%
Profit Factor	1.58	0.99	2.64	1.61
Trades	18	7	10	35
Avg Holding Days	7.7	7.7	5.2	7.0
Turnover	3.6	3.7	4.3	3.8
Exposure	4.8%	5.0%	3.6%	4.5%

Growth of $100

PriceMomentum_V0617 vs TSLA Buy & Hold

PriceMomentum_V0617 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	0.8%	0.15	-5.3%	2
2017	8.8%	1.90	-0.9%	2
2018	-6.6%	-1.27	-6.5%	2
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	14.6%	0.83	-13.6%	4
2022	-15.2%	-2.05	-15.2%	3

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	34.0%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-13.6%	-1.43	1%
hidden test	LOW VOLATILITY	429	9.8%	0.91	5%
hidden test	MEDIUM VOLATILITY	250	20.1%	1.65	4%
hidden test	NORMAL	802	3.7%	0.34	4%
hidden test	SIDEWAYS	293	-1.1%	-0.99	0%
hidden test	UPTREND	371	16.5%	0.95	9%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.3%	1.18	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.6%	0.60	0%
train	LOW VOLATILITY	745	2.8%	0.32	11%
train	MEDIUM VOLATILITY	568	-2.8%	-0.40	2%
train	NORMAL	1,601	1.9%	0.21	6%
train	SIDEWAYS	592	-2.6%	-0.93	0%
train	UPTREND	902	5.8%	0.51	10%
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	-9.4%	-1.00	0%
validation	LOW VOLATILITY	183	5.3%	0.60	12%
validation	MEDIUM VOLATILITY	315	4.1%	0.28	5%
validation	NORMAL	474	-0.4%	-0.03	8%
validation	SIDEWAYS	206	-6.8%	-1.14	0%
validation	UPTREND	425	2.9%	0.19	9%

Trades (full period)

35 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
2025-12-15	2025-12-30	$475.31	$454.43	0.02%	11
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-06-02	2025-06-03	$342.69	$344.27	-1.03%	2
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-10-03	2024-10-04	$240.66	$250.08	-2.84%	2
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-07-06	2023-07-07	$276.54	$274.43	-1.84%	2
2023-06-02	2023-06-27	$213.97	$250.21	12.72%	17
2022-08-16	2022-08-19	$306.56	$296.67	-1.83%	4
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-11	$363.75	$325.31	-8.58%	5
2021-10-13	2021-11-10	$270.36	$355.98	21.37%	21
2021-09-28	2021-10-07	$259.19	$264.54	-1.03%	8
2021-09-15	2021-09-21	$251.94	$246.46	-1.68%	5
2021-08-05	2021-08-17	$238.21	$221.90	-2.92%	9
2018-12-13	2018-12-18	$25.12	$22.47	-4.11%	4
2018-02-01	2018-02-05	$23.28	$22.21	-2.54%	3
2017-01-31	2017-02-02	$16.80	$16.77	-0.60%	3
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2015-06-24	2015-07-09	$17.68	$17.19	-3.92%	11
2015-05-11	2015-05-22	$15.97	$16.52	2.88%	10
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-08-06	2014-08-25	$16.60	$17.50	5.96%	14
2014-06-23	2014-07-07	$15.81	$14.84	-0.24%	10
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-03-28	2012-04-05	$2.52	$2.30	-6.33%	7
2012-03-14	2012-03-16	$2.35	$2.35	-2.58%	3
2012-02-23	2012-02-29	$2.30	$2.23	-1.11%	5