PriceMomentum_V0633

ARCHIVEDmomentum

llmRestricted trading to UPTREND and NORMAL bubble regimes; tightened entries by adding a short-term trend filter (sma_50_slope>0) and a cleaner volume threshold (rel_volume>1.2); added a breakout+short-term momentum alternate entry (breakout_20 & ret_5d) to capture momentum bursts; improved exits to include a stop-loss (ret_20d<-3%), a trend-based exit (sma_50_slope<0), and a deterioration guard (dist_sma_20<-6%); introduced volatility scaling (1.0/0.68/0.35 for LOW/MED/HIGH) and reduced base position to 0.85 to lower drawdown risk.

Fitness

0.1580

Generation

Complexity

Created

2026-09-24

Lineage

Parents (1)

PriceMomentum_V0604S0604 · gen 27ARCHIVEDllm

changed ret_20d threshold -0.1003 -> -0.0278

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0633  [momentum]
require regime.trend in ['UPTREND']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2 and sma_50_slope > 0.0) or (breakout_20 > 0.5 and ret_5d > 0.02)):
    position = 0.85
if long and (ret_20d < -0.03 or sma_50_slope < 0.0 or dist_sma_20 < -0.06):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.2%	2.9%	6.8%	2.4%
Total Return	1.4%	8.9%	27.4%	40.7%
Sharpe	0.07	0.30	0.57	0.25
Sortino	0.04	0.17	0.25	0.14
Calmar	0.01	0.12	0.48	0.10
Volatility	11.7%	12.0%	12.9%	12.1%
Max DD	-24.4%	-23.7%	-14.0%	-24.4%
Win Rate	39.1%	16.7%	62.5%	40.5%
Avg Win	5.9%	37.9%	7.2%	8.5%
Avg Loss	-3.5%	-4.6%	-3.1%	-3.7%
Payoff	1.71	8.27	2.31	2.31
Expectancy	0.2%	2.5%	3.3%	1.3%
Profit Factor	1.10	1.65	3.84	1.58
Trades	23	6	8	37
Avg Holding Days	14.3	18.0	12.0	14.4
Turnover	4.3	3.0	3.5	3.9
Exposure	10.9%	9.0%	6.5%	9.4%

Growth of $100

PriceMomentum_V0633 vs TSLA Buy & Hold

PriceMomentum_V0633 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	-6.9%	-0.92	-10.7%	3
2017	10.5%	2.14	-0.8%	2
2018	-16.3%	-2.16	-16.2%	5
2019	11.9%	1.23	-6.6%	1
2020	0.0%	0.00	0.0%	0
2021	32.6%	1.61	-10.1%	2
2022	-17.9%	-2.17	-17.9%	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	270	0.0%	0.00	0%
hidden test	EXPENSIVE	83	18.5%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.3%	-1.00	2%
hidden test	LOW VOLATILITY	430	14.9%	1.12	10%
hidden test	MEDIUM VOLATILITY	250	12.3%	0.86	5%
hidden test	NORMAL	803	6.7%	0.49	8%
hidden test	SIDEWAYS	293	-4.4%	-1.07	0%
hidden test	UPTREND	371	22.1%	1.09	16%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.9%	1.46	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.8%	0.08	3%
train	LOW VOLATILITY	745	9.4%	0.63	24%
train	MEDIUM VOLATILITY	568	-10.3%	-1.18	4%
train	NORMAL	1,601	-0.5%	-0.04	14%
train	SIDEWAYS	592	-6.2%	-1.50	1%
train	UPTREND	902	5.9%	0.35	24%
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	-7.1%	-0.85	2%
validation	LOW VOLATILITY	183	18.2%	1.44	24%
validation	MEDIUM VOLATILITY	315	3.8%	0.27	6%
validation	NORMAL	474	5.7%	0.37	14%
validation	SIDEWAYS	206	-6.1%	-1.26	1%
validation	UPTREND	425	9.3%	0.59	15%

Trades (full period)

37 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-4.44%	2
2025-12-08	2026-01-07	$439.58	$431.41	-4.22%	21
2025-09-12	2025-09-15	$395.94	$410.04	6.08%	2
2024-09-26	2024-09-27	$254.22	$260.46	-0.74%	2
2024-09-24	2024-09-25	$254.27	$257.02	0.87%	2
2024-09-06	2024-09-20	$210.73	$238.25	0.88%	11
2024-07-02	2024-07-25	$231.26	$220.25	8.00%	17
2023-06-02	2023-07-28	$213.97	$266.44	20.32%	39
2022-08-16	2022-08-22	$306.56	$289.91	-3.09%	5
2022-08-05	2022-08-08	$288.17	$290.42	-3.95%	2
2022-04-05	2022-04-21	$363.75	$336.26	-8.72%	12
2022-01-04	2022-01-19	$383.20	$331.88	-3.35%	11
2021-08-31	2021-12-01	$245.24	$365.00	37.89%	65
2021-08-05	2021-08-23	$238.21	$235.43	-3.80%	13
2019-10-25	2019-12-17	$21.88	$25.27	11.88%	37
2018-12-04	2018-12-19	$23.98	$22.20	-2.88%	11
2018-08-03	2018-08-20	$23.21	$20.56	-3.74%	12
2018-06-15	2018-07-05	$23.88	$20.61	-3.99%	14
2018-02-27	2018-03-02	$23.40	$22.34	-2.30%	4
2018-02-01	2018-02-06	$23.28	$22.26	-4.44%	4
2017-04-06	2017-04-07	$19.91	$20.17	0.31%	2
2017-01-05	2017-01-25	$15.12	$16.96	10.09%	14
2016-07-29	2016-08-23	$15.65	$14.99	-2.99%	18
2016-06-08	2016-06-09	$15.70	$15.29	0.99%	2
2016-04-05	2016-05-04	$17.03	$14.84	-5.03%	22
2015-08-06	2015-08-07	$16.41	$16.17	-5.25%	2
2015-05-12	2015-07-28	$16.32	$17.65	7.93%	54
2015-04-29	2015-05-01	$15.50	$15.07	-1.80%	3
2014-08-04	2014-09-16	$15.90	$17.38	7.41%	31
2014-06-24	2014-07-17	$15.50	$14.36	-7.35%	17
2013-03-26	2013-04-11	$2.52	$2.91	12.76%	12
2013-02-19	2013-02-22	$2.62	$2.41	-4.41%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-19	2013-01-11	$2.31	$2.19	-2.75%	16
2012-11-29	2012-12-14	$2.25	$2.25	0.83%	12
2012-02-23	2012-04-10	$2.30	$2.16	1.07%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.31%	2