PriceMomentum_V0696

ARCHIVEDmomentum

llmRestricted to UPTREND & non-high volatility/bubble regimes; softened entry threshold (ret_20d > 3%) with volume filter and added trend/momentum confirmation (sma_20>sma_50 OR macd>signal) to reduce false signals; improved exits by reducing stop-loss severity (to -8%), adding a momentum deterioration exit (sma_50_slope<0), and keeping the rolling-high cross exit; reduced base_position to 0.8 to lower risk and overfitting.

Fitness

0.1400

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDllm

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0696  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and rel_volume > 1.1 and (sma_20 > sma_50 or macd > macd_signal)):
    position = 0.8
if long and (ret_20d < -0.08 or roll_high_50 < sma_20 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.9%	4.0%	2.4%	0.9%
Total Return	-7.2%	12.5%	9.2%	14.0%
Sharpe	-0.02	0.36	0.23	0.13
Sortino	-0.01	0.12	0.09	0.06
Calmar	-0.04	0.16	0.09	0.03
Volatility	11.9%	13.3%	15.0%	13.0%
Max DD	-23.6%	-24.9%	-26.9%	-26.9%
Win Rate	43.8%	33.3%	63.6%	50.0%
Avg Win	4.6%	30.6%	5.9%	7.0%
Avg Loss	-4.1%	-7.0%	-7.2%	-5.3%
Payoff	1.11	4.38	0.83	1.30
Expectancy	-0.3%	5.5%	1.2%	0.8%
Profit Factor	0.86	2.19	1.45	1.30
Trades	16	3	11	30
Avg Holding Days	18.7	23.0	9.2	15.6
Turnover	3.2	1.6	4.7	3.3
Exposure	11.3%	7.0%	7.7%	9.5%

Growth of $100

PriceMomentum_V0696 vs TSLA Buy & Hold

PriceMomentum_V0696 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	-9.1%	-1.05	-14.1%	3
2017	9.5%	2.08	-0.7%	1
2018	-13.8%	-1.33	-13.8%	2
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	29.5%	1.44	-13.6%	2
2022	-13.2%	-1.04	-13.8%	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	271	0.0%	0.00	0%
hidden test	EXPENSIVE	83	17.4%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-25.0%	-1.69	1%
hidden test	LOW VOLATILITY	431	12.8%	0.98	11%
hidden test	MEDIUM VOLATILITY	250	16.5%	0.92	9%
hidden test	NORMAL	804	2.3%	0.15	9%
hidden test	SIDEWAYS	293	-7.8%	-0.73	1%
hidden test	UPTREND	371	15.0%	0.69	19%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	3.8%	1.48	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.1%	-0.21	0%
train	LOW VOLATILITY	745	9.9%	0.74	23%
train	MEDIUM VOLATILITY	568	-11.2%	-0.96	9%
train	NORMAL	1,601	-1.0%	-0.08	14%
train	SIDEWAYS	592	-6.5%	-1.16	1%
train	UPTREND	902	3.7%	0.22	25%
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	22.8%	2.21	18%
validation	MEDIUM VOLATILITY	315	6.1%	0.36	6%
validation	NORMAL	474	7.7%	0.46	11%
validation	SIDEWAYS	206	-11.0%	-1.02	1%
validation	UPTREND	425	13.9%	0.87	12%

Trades (full period)

30 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2026-01-13	$475.31	$447.20	-1.81%	20
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-09-04	2025-09-05	$338.53	$350.84	0.90%	2
2025-07-08	2025-07-09	$297.81	$295.88	0.89%	2
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2024-10-03	2024-10-18	$240.66	$220.70	-9.19%	12
2024-09-25	2024-09-26	$257.02	$254.22	0.70%	2
2024-09-23	2024-09-24	$250.00	$254.27	3.78%	2
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-06-02	2023-08-03	$213.97	$259.32	17.82%	43
2022-04-07	2022-04-27	$352.42	$293.84	-13.12%	14
2021-09-01	2021-11-10	$244.70	$355.98	30.58%	50
2021-08-17	2021-08-23	$221.90	$235.43	-0.83%	5
2018-11-27	2018-12-21	$22.93	$21.32	-7.21%	18
2018-02-08	2018-02-09	$21.02	$20.69	-7.06%	2
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-08-02	2016-08-30	$15.15	$14.09	-5.32%	21
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-05-04	$17.03	$14.84	-4.86%	22
2015-05-12	2015-08-07	$16.32	$16.17	2.32%	62
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-06-24	2014-09-30	$15.50	$16.18	2.81%	69
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-19	2013-02-27	$2.62	$2.34	-5.71%	7
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-19	2013-01-24	$2.31	$2.47	3.13%	24
2012-11-29	2012-12-14	$2.25	$2.25	0.79%	12
2012-02-23	2012-04-11	$2.30	$2.21	-4.08%	34
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2