PriceMomentum_V0720

REJECTEDhybrid

llmRelaxed ret_20d threshold and added momentum/price confirmation (sma_50 + slope or breakout) to increase robustness; added RSI and vol_pctile filters to avoid overbought / volatility spikes; expanded exit rules to include price crossing below sma_50, short-term deterioration (ret_5d), and high RSI to cut drawdowns; added regime gates to only trade in uptrends, non-bubble conditions, and low-to-medium volatility; reduced base position and scaled down exposure in high volatility. | rejected: fitness 0.025 below threshold

Fitness

0.0249

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

PriceMomentum_V0671S0671 · gen 31ARCHIVEDllm

logic of PriceMomentum_V0539 with risk overlay of LongTermTrend_V0472

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0720  [hybrid]
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 cumret_252d > -0.2 and ((close > sma_50 and sma_50_slope > 0.0) or breakout_20 > 0.0 or ret_20d > 0.0923) and rsi_14 < 78.0 and vol_pctile < 0.85):
    position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or ret_5d < -0.02 or rsi_14 > 82.0):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.9%	-8.4%	—	—
Total Return	-21.2%	-23.1%	—	—
Sharpe	-0.25	-0.83	—	—
Sortino	-0.12	-0.32	—	—
Calmar	-0.10	-0.25	—	—
Volatility	10.0%	9.9%	—	—
Max DD	-30.0%	-33.0%	—	—
Win Rate	34.0%	18.8%	—	—
Avg Win	3.6%	7.8%	—	—
Avg Loss	-2.5%	-3.6%	—	—
Payoff	1.44	2.17	—	—
Expectancy	-0.4%	-1.4%	—	—
Profit Factor	0.75	0.50	—	—
Trades	47	16	—	—
Avg Holding Days	5.6	6.0	—	—
Turnover	8.9	6.9	—	—
Exposure	8.1%	7.7%	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

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)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded