PriceMomentum_V0652

ARCHIVEDhybrid

llm1) Broadened and clarified entry: require short-term momentum (ret_5d>2%), mid-term momentum (ret_20d>4%), positive MACD histogram, and a bullish price regime (price above SMA50/SMA200 or 20d breakout). 2) Added volatility filter to entry (vol_pctile<0.75) and tightened yearly draw requirement (cumret_252d>-0.15) to reduce whale/bubble exposures. 3) Strengthened exits: added SMA50 crossover and a short-term momentum stop (macd_hist<0 AND ret_5d<-2%) in addition to existing ret_20d stop. 4) Introduced position scaling by vol_pctile (reduce size in high volatility: 0.6/0.3) to lower drawdowns. 5) Adjusted regime gates to allow UPTREND and SIDEWAYS only, and disallow HIGH_VOLATILITY and bubble states other than NORMAL to improve robustness in validation.

Fitness

0.1302

Generation

Complexity

Created

2026-09-24

Lineage

Parents (1)

PriceMomentum_V0602S0602 · gen 27ARCHIVEDllm

removed entry condition: ret_20d > 0.05

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0652  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or close > sma_50 or breakout_20 > 0.0) and ret_5d > 0.02 and ret_20d > 0.04 and macd_hist > 0.0 and vol_pctile < 0.75 and cumret_252d > -0.15):
    position = 1.0
if long and (ret_20d < -0.03 or close < sma_50 or (macd_hist < 0.0 and ret_5d < -0.02)):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.7%	3.1%	1.3%	0.5%
Total Return	-5.7%	9.5%	4.8%	8.3%
Sharpe	0.03	0.26	0.16	0.11
Sortino	0.02	0.14	0.09	0.06
Calmar	-0.02	0.12	0.05	0.01
Volatility	15.6%	18.6%	16.0%	16.3%
Max DD	-41.1%	-24.9%	-26.5%	-41.6%
Win Rate	33.3%	20.0%	44.4%	34.5%
Avg Win	9.4%	25.2%	5.8%	9.6%
Avg Loss	-4.6%	-4.2%	-3.8%	-4.3%
Payoff	2.06	6.02	1.54	2.23
Expectancy	0.1%	1.7%	0.5%	0.5%
Profit Factor	1.03	1.51	1.23	1.18
Trades	30	10	18	58
Avg Holding Days	9.7	11.9	7.3	9.3
Turnover	7.5	6.7	9.7	7.9
Exposure	12.9%	14.4%	12.1%	13.0%

Growth of $100

PriceMomentum_V0652 vs TSLA Buy & Hold

PriceMomentum_V0652 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	-6.0%	-0.48	-11.8%	5
2017	15.6%	1.68	-5.4%	2
2018	-14.2%	-1.51	-15.1%	3
2019	-9.6%	-0.30	-23.4%	3
2020	0.0%	0.00	0.0%	0
2021	17.4%	0.74	-16.9%	6
2022	-6.7%	-0.29	-24.9%	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	-3.6%	-1.39	1%
hidden test	EXPENSIVE	83	22.0%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.6%	-0.77	1%
hidden test	LOW VOLATILITY	430	11.4%	0.61	20%
hidden test	MEDIUM VOLATILITY	250	0.6%	0.05	10%
hidden test	NORMAL	803	0.7%	0.04	14%
hidden test	SIDEWAYS	293	-5.4%	-0.32	23%
hidden test	UPTREND	371	13.3%	0.66	12%
train	DOWNTREND	518	-4.2%	-1.10	1%
train	EXPENSIVE	311	1.8%	0.86	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	7.1%	0.42	1%
train	LOW VOLATILITY	745	8.3%	0.59	26%
train	MEDIUM VOLATILITY	568	-18.0%	-1.14	10%
train	NORMAL	1,601	0.2%	0.01	16%
train	SIDEWAYS	592	-17.7%	-1.01	17%
train	UPTREND	902	15.1%	0.83	17%
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	-11.8%	-1.00	0%
validation	LOW VOLATILITY	183	4.3%	0.26	34%
validation	MEDIUM VOLATILITY	315	18.6%	0.79	15%
validation	NORMAL	474	7.6%	0.32	23%
validation	SIDEWAYS	206	-10.4%	-0.50	21%
validation	UPTREND	425	13.5%	0.68	15%

Trades (full period)

58 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-28	2026-06-02	$442.10	$423.74	-5.75%	4
2026-05-08	2026-05-21	$428.35	$417.85	1.13%	10
2026-04-20	2026-04-21	$392.50	$386.42	-2.22%	2
2025-12-16	2025-12-30	$489.88	$454.43	-3.49%	10
2025-09-09	2025-09-15	$346.97	$410.04	14.07%	5
2025-08-25	2025-09-03	$346.60	$334.09	-3.32%	7
2025-08-11	2025-08-21	$339.03	$320.11	-1.94%	9
2025-05-12	2025-05-13	$318.38	$334.07	6.54%	2
2024-09-23	2024-10-04	$250.00	$250.08	0.81%	10
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-07-03	2024-07-12	$246.39	$248.23	4.02%	7
2023-11-29	2024-01-02	$244.14	$248.42	0.51%	23
2023-11-21	2023-11-24	$241.20	$235.45	-0.79%	3
2023-11-17	2023-11-20	$234.30	$235.60	0.10%	2
2023-10-09	2023-10-10	$259.67	$263.62	-0.53%	2
2023-09-12	2023-09-22	$267.48	$244.88	-6.72%	9
2023-07-06	2023-07-12	$276.54	$271.99	-4.69%	5
2023-05-31	2023-06-27	$203.93	$250.21	19.59%	19
2022-09-21	2022-09-23	$300.80	$275.33	-6.71%	3
2022-08-16	2022-08-23	$306.56	$296.45	-6.46%	6
2022-08-02	2022-08-12	$300.59	$300.03	-3.77%	9
2022-03-22	2022-04-11	$331.33	$325.31	11.11%	15
2021-09-07	2021-11-10	$250.97	$355.98	39.25%	47
2021-08-03	2021-08-17	$236.58	$221.90	-3.50%	11
2021-06-24	2021-07-12	$226.61	$228.57	-0.14%	12
2021-06-21	2021-06-22	$206.94	$207.90	-0.60%	2
2021-06-15	2021-06-16	$199.79	$201.62	-3.16%	2
2021-04-14	2021-04-29	$244.08	$225.67	-9.10%	12
2019-10-15	2019-10-25	$17.19	$21.88	16.39%	9
2019-09-12	2019-09-25	$16.39	$15.25	-9.85%	10
2019-07-25	2019-07-26	$15.25	$15.20	-13.80%	2
2018-12-12	2018-12-18	$24.44	$22.47	-5.19%	5
2018-03-14	2018-03-15	$21.78	$21.71	-4.64%	2
2018-01-22	2018-02-06	$23.44	$22.26	-5.02%	12
2017-12-12	2017-12-26	$22.74	$21.15	-1.32%	10
2016-12-28	2017-01-25	$14.65	$16.96	15.75%	19
2016-10-04	2016-10-05	$14.09	$13.90	-1.27%	2
2016-07-29	2016-08-12	$15.65	$15.04	-2.66%	11
2016-06-08	2016-06-10	$15.70	$14.59	-1.48%	3
2016-04-04	2016-04-14	$16.47	$16.79	6.92%	9
2016-03-21	2016-03-24	$15.89	$15.18	-4.55%	4
2015-09-21	2015-09-29	$17.61	$16.44	-4.87%	7
2015-07-21	2015-07-27	$17.78	$16.87	-6.16%	5
2015-06-22	2015-07-09	$17.32	$17.19	-3.07%	13
2015-04-28	2015-06-05	$15.37	$16.61	5.99%	28
2015-04-14	2015-04-21	$13.83	$13.96	-2.35%	6
2014-11-12	2014-11-24	$16.61	$16.45	-3.50%	9
2014-08-05	2014-09-12	$15.90	$18.61	17.29%	28
2014-06-17	2014-07-07	$15.44	$14.84	1.86%	14
2014-05-28	2014-06-03	$14.02	$13.66	-3.44%	5
2013-03-27	2013-04-02	$2.54	$2.96	15.80%	4
2012-11-06	2012-12-27	$2.08	$2.25	6.42%	36
2012-09-18	2012-09-21	$2.09	$2.00	-5.23%	4
2012-07-13	2012-07-20	$2.28	$2.12	-1.51%	6
2012-06-19	2012-06-25	$2.14	$2.21	5.91%	5
2012-03-28	2012-04-05	$2.52	$2.30	-7.93%	7
2012-03-14	2012-03-20	$2.35	$2.33	-3.27%	5
2012-02-15	2012-02-29	$2.24	$2.23	1.73%	10