PriceMomentum_V0698

ARCHIVEDhybrid

llmAdded regime gates to restrict trading to uptrends, low volatility, normal valuation. Replaced single momentum filter with an AND of moderate 20d momentum (>3%), positive 50-day slope, and not-overbought (RSI<75) to reduce false entries. Improved exits to a multi-condition OR: larger 20d drawdown, meaningful drop below 50-SMA, or RSI extreme fade — to cut losses earlier. Reduced base position to 0.7 to lower portfolio drawdown risk.

Fitness

0.4858

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

PriceMomentum_V0567S0567 · gen 26ARCHIVEDllm

logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0698  [hybrid]
if flat and (ret_20d > 0.03 and sma_50_slope > 0.0 and rsi_14 < 75.0):
    position = 0.7
if long and (ret_20d < -0.02 or dist_sma_50 < -0.1 or rsi_14 < 35.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.5%	44.9%	10.8%	19.9%
Total Return	217.0%	204.3%	46.4%	1341.5%
Sharpe	0.76	1.28	0.55	0.85
Sortino	0.73	1.23	0.48	0.78
Calmar	0.29	1.01	0.47	0.37
Volatility	22.1%	33.2%	23.6%	25.1%
Max DD	-54.3%	-44.3%	-22.9%	-54.3%
Win Rate	33.3%	42.9%	41.2%	37.7%
Avg Win	21.0%	33.7%	12.7%	24.9%
Avg Loss	-4.3%	-6.7%	-4.1%	-4.7%
Payoff	4.86	5.06	3.11	5.25
Expectancy	4.1%	10.6%	2.8%	6.4%
Profit Factor	2.43	3.79	2.18	3.18
Trades	30	14	17	61
Avg Holding Days	24.1	25.0	19.1	24.2
Turnover	5.3	6.5	6.4	5.8
Exposure	26.8%	31.1%	23.1%	26.8%

Growth of $100

PriceMomentum_V0698 vs TSLA Buy & Hold

PriceMomentum_V0698 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	1.6%	0.23	-8.7%	2
2017	6.9%	0.45	-19.9%	6
2018	-27.8%	-1.53	-30.0%	7
2019	23.3%	0.99	-21.1%	2
2020	235.3%	2.75	-24.4%	5
2021	44.4%	1.66	-12.5%	3
2022	-39.1%	-2.61	-38.9%	6

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	70.1%	1.86	56%
hidden test	EXTREME	48	136.7%	3.47	48%
hidden test	HIGH VOLATILITY	254	10.8%	0.36	23%
hidden test	LOW VOLATILITY	431	32.8%	1.97	20%
hidden test	MEDIUM VOLATILITY	250	-18.6%	-0.72	28%
hidden test	NORMAL	804	-0.2%	-0.01	18%
hidden test	SIDEWAYS	293	-17.6%	-0.91	20%
hidden test	UPTREND	371	46.8%	1.41	43%
train	DOWNTREND	518	4.3%	0.86	3%
train	EXPENSIVE	311	31.7%	1.18	49%
train	EXTREME	100	279.3%	5.40	69%
train	HIGH VOLATILITY	699	26.7%	0.90	24%
train	LOW VOLATILITY	745	27.0%	1.73	33%
train	MEDIUM VOLATILITY	568	-8.6%	-0.47	22%
train	NORMAL	1,601	-2.4%	-0.14	20%
train	SIDEWAYS	592	-14.9%	-1.05	13%
train	UPTREND	902	44.9%	1.46	50%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	39.5%	1.02	44%
validation	EXTREME	144	213.9%	3.94	54%
validation	HIGH VOLATILITY	258	51.3%	1.16	28%
validation	LOW VOLATILITY	183	14.1%	0.84	34%
validation	MEDIUM VOLATILITY	315	52.1%	1.75	32%
validation	NORMAL	474	-8.5%	-0.43	20%
validation	SIDEWAYS	206	-33.7%	-2.21	8%
validation	UPTREND	425	92.1%	2.15	52%

Trades (full period)

61 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-13	2026-07-15	$394.76	$394.46	-2.12%	3
2026-07-08	2026-07-09	$394.06	$406.55	-1.67%	2
2026-05-14	2026-06-08	$443.30	$408.95	-8.70%	17
2025-12-12	2026-01-07	$458.96	$431.41	-2.21%	17
2025-08-22	2025-11-14	$340.01	$404.35	17.90%	60
2025-07-31	2025-08-01	$308.27	$302.63	-2.50%	2
2025-07-08	2025-07-10	$297.81	$309.87	0.32%	3
2025-05-16	2025-06-12	$349.98	$319.11	-3.10%	19
2024-10-28	2025-01-14	$262.51	$396.36	33.94%	53
2024-09-03	2024-10-14	$210.60	$219.16	1.47%	30
2024-08-22	2024-08-23	$210.66	$220.32	-4.09%	2
2024-06-25	2024-08-02	$187.35	$207.67	13.42%	28
2024-06-10	2024-06-21	$173.79	$183.01	1.54%	9
2024-01-03	2024-01-10	$238.45	$233.94	-3.94%	6
2023-05-31	2023-08-02	$203.93	$254.11	20.41%	44
2023-04-03	2023-04-20	$194.77	$162.99	-9.30%	13
2023-02-13	2023-03-08	$194.64	$182.00	-3.18%	17
2022-09-29	2022-09-30	$268.21	$265.25	-4.90%	2
2022-09-20	2022-09-23	$308.73	$275.33	-4.80%	4
2022-09-12	2022-09-14	$304.42	$302.61	-1.89%	3
2022-08-02	2022-08-29	$300.59	$284.82	-2.17%	20
2022-04-05	2022-04-27	$363.75	$293.84	-16.93%	16
2022-01-04	2022-01-24	$383.20	$310.00	-15.41%	14
2021-12-09	2021-12-10	$334.60	$339.01	-4.40%	2
2021-08-03	2021-12-01	$236.58	$365.00	40.67%	85
2020-11-19	2021-02-11	$166.42	$270.55	43.23%	57
2020-10-22	2020-10-29	$141.93	$136.94	-2.88%	6
2020-10-07	2020-10-20	$141.77	$140.65	2.73%	10
2020-08-14	2020-09-24	$110.05	$129.26	13.55%	29
2020-05-15	2020-08-10	$53.28	$94.57	52.87%	60
2019-09-12	2020-03-04	$16.39	$49.97	121.91%	120
2019-07-22	2019-08-08	$17.05	$15.89	-6.69%	14
2019-01-18	2019-01-22	$20.15	$19.93	-9.21%	2
2018-11-07	2018-12-19	$23.21	$22.20	-0.77%	29
2018-08-22	2018-08-31	$21.44	$20.11	-4.24%	8
2018-08-03	2018-08-20	$23.21	$20.56	-8.89%	12
2018-06-12	2018-07-06	$22.85	$20.59	-4.84%	18
2018-03-12	2018-03-19	$23.03	$20.90	-1.33%	6
2018-02-26	2018-03-02	$23.83	$22.34	-4.35%	5
2018-01-22	2018-02-09	$23.44	$20.69	-7.07%	15
2017-10-05	2017-10-10	$23.69	$23.71	-2.51%	4
2017-09-18	2017-09-29	$25.67	$22.74	-7.63%	10
2017-08-04	2017-09-07	$23.79	$23.37	-0.59%	24
2017-05-30	2017-07-06	$22.34	$20.59	0.46%	27
2017-03-28	2017-05-24	$18.50	$20.68	8.67%	41
2016-12-30	2017-02-28	$14.25	$16.67	10.12%	40
2016-07-26	2016-08-18	$15.30	$14.90	-2.18%	18
2016-03-28	2016-05-03	$15.35	$15.49	4.25%	27
2015-12-30	2016-01-05	$15.87	$14.90	-4.18%	4
2015-08-06	2015-08-07	$16.41	$16.17	-6.35%	2
2015-04-14	2015-07-28	$13.83	$17.65	14.20%	74
2014-09-19	2014-09-23	$17.29	$16.69	-3.81%	3
2014-08-05	2014-09-16	$15.90	$17.38	4.53%	30
2014-06-23	2014-07-16	$15.81	$14.48	-3.12%	17
2014-01-24	2014-03-26	$11.64	$14.20	15.03%	43
2013-06-28	2013-10-22	$7.16	$11.44	39.19%	81
2013-03-26	2013-06-26	$2.52	$7.05	105.63%	65
2013-01-24	2013-02-22	$2.47	$2.41	-1.59%	21
2012-11-12	2013-01-10	$2.07	$2.24	7.55%	41
2012-08-23	2012-09-06	$2.05	$1.90	-4.83%	10
2012-02-23	2012-04-10	$2.30	$2.16	-2.06%	33