PriceMomentum_V0716
REJECTEDhybridllmSimplified and strengthened entry: require trend/momentum/breakout (sma200+positive slope OR strong 20d return OR 20/50-day breakout), add RSI cap and keep cumulative-year sanity check; improved exits: add larger 20d stop, SMA50 breakdown and drawdown stop to reduce large losses; regime gates tightened to only UPTREND/SIDEWAYS, avoid HIGH_VOLATILITY and non-NORMAL bubble states; added volatility-based position sizing (reduce size when vol_pctile>0.7, full size when vol_pctile<0.3) and lowered base_position to 0.7 to reduce turnover and drawdown risk. | rejected: stage1: sharpe -0.59 below screen
Lineage
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
Strategy Logic (pseudocode)
# PriceMomentum_V0716 [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 ret_20d > 0.08 or (breakout_20 > 0.0 or breakout_50 > 0.0)) and cumret_252d > -0.1997 and rsi_14 < 80.0):
position = 0.7
if long and (ret_20d < -0.06 or close < sma_50 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
Walk-Forward Years
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| No walk-forward results | ||||
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 |
|---|---|---|---|---|---|
| No regime results | |||||
Trades (full period)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||