PriceMomentum_V0721

ARCHIVEDmomentum

llmRequire underlying uptrend (sma_50_slope>0) and keep momentum+volume signal; tightened rel_volume slightly. Restrict trading to UPTREND and LOW/MEDIUM volatility and NORMAL bubble. Add explicit volatility and bubble scaling (cuts exposure in high vol or expensive regimes). Improve exits by adding short-term momentum (ret_5d) and trend slope flip for quicker exits while keeping the original 20d loss stop.

Fitness

0.1050

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

PriceMomentum_V0429S0429 · gen 20ARCHIVEDllm

entry = PriceMomentum_V0186 OR PriceMomentum_V0267

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0721  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and (rel_volume > 1.25 or ret_20d > 0.1146) and sma_50_slope > 0.0):
    position = 1.0
if long and (ret_20d < -0.1003 or ret_5d < -0.03 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25
if regime.bubble == "EXPENSIVE": position *= 0.5
if regime.bubble == "EXTREME": position *= 0.0

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.2%	1.6%	2.3%	-0.3%
Total Return	-16.1%	4.9%	8.6%	-4.4%
Sharpe	-0.13	0.19	0.23	0.04
Sortino	-0.06	0.09	0.08	0.02
Calmar	-0.09	0.05	0.09	-0.01
Volatility	11.5%	12.7%	14.5%	12.6%
Max DD	-25.1%	-31.6%	-24.8%	-31.6%
Win Rate	34.8%	22.2%	38.5%	33.3%
Avg Win	5.5%	24.2%	9.2%	9.2%
Avg Loss	-3.8%	-4.8%	-4.2%	-4.2%
Payoff	1.43	5.02	2.18	2.21
Expectancy	-0.6%	1.6%	0.9%	0.3%
Profit Factor	0.76	1.43	1.36	1.11
Trades	23	9	13	45
Avg Holding Days	10.0	7.7	5.2	8.1
Turnover	5.5	4.5	6.1	5.5
Exposure	9.8%	6.6%	5.3%	8.0%

Growth of $100

PriceMomentum_V0721 vs TSLA Buy & Hold

PriceMomentum_V0721 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	-8.3%	-1.00	-12.6%	3
2017	12.2%	2.04	-1.1%	2
2018	-1.4%	-0.26	-5.2%	1
2019	-6.3%	-1.02	-6.3%	1
2020	0.0%	0.00	0.0%	0
2021	41.3%	1.97	-8.1%	2
2022	-25.8%	-2.46	-25.7%	7

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	21.5%	1.70	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-21.4%	-1.69	1%
hidden test	LOW VOLATILITY	431	12.8%	0.91	8%
hidden test	MEDIUM VOLATILITY	250	12.0%	0.71	5%
hidden test	NORMAL	804	1.6%	0.11	6%
hidden test	SIDEWAYS	293	-9.9%	-1.08	1%
hidden test	UPTREND	371	16.1%	0.75	13%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	3.6%	1.41	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	3.5%	0.34	0%
train	LOW VOLATILITY	745	-1.7%	-0.12	23%
train	MEDIUM VOLATILITY	568	-7.5%	-0.80	4%
train	NORMAL	1,601	-2.6%	-0.20	12%
train	SIDEWAYS	592	-4.2%	-1.11	1%
train	UPTREND	902	-0.7%	-0.04	21%
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	-0.1%	-0.99	0%
validation	LOW VOLATILITY	183	22.6%	2.13	16%
validation	MEDIUM VOLATILITY	315	-7.3%	-0.41	7%
validation	NORMAL	474	3.8%	0.24	11%
validation	SIDEWAYS	206	-18.6%	-1.74	1%
validation	UPTREND	425	13.3%	0.87	11%

Trades (full period)

45 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2025-12-15	2025-12-30	$475.31	$454.43	-0.05%	11
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2025-06-05	2025-06-06	$284.70	$295.14	-9.83%	2
2025-06-02	2025-06-04	$342.69	$332.05	-0.56%	3
2025-05-22	2025-05-27	$341.04	$362.89	0.82%	3
2024-10-07	2024-10-08	$240.83	$244.50	-3.90%	2
2024-10-03	2024-10-04	$240.66	$250.08	-2.42%	2
2024-09-06	2024-09-09	$210.73	$216.27	-5.88%	2
2024-07-02	2024-07-12	$231.26	$248.23	13.30%	8
2023-07-18	2023-07-21	$293.34	$260.02	-9.64%	4
2023-06-28	2023-07-12	$256.24	$271.99	8.89%	10
2023-06-02	2023-06-27	$213.97	$250.21	15.93%	17
2022-08-16	2022-08-22	$306.56	$289.91	-3.63%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.64%	2
2022-04-20	2022-04-27	$325.73	$293.84	-10.21%	6
2022-04-14	2022-04-18	$328.33	$334.76	-2.62%	2
2022-04-12	2022-04-13	$328.98	$340.79	0.63%	2
2022-04-08	2022-04-11	$341.83	$325.31	-2.18%	2
2022-04-05	2022-04-07	$363.75	$352.42	-6.09%	3
2021-11-23	2021-12-03	$369.68	$338.32	-4.35%	8
2021-09-16	2021-11-09	$252.33	$341.17	47.70%	39
2019-11-22	2019-11-25	$22.20	$22.42	-6.33%	2
2018-12-06	2018-12-18	$24.20	$22.47	-1.44%	9
2017-01-31	2017-02-03	$16.80	$16.76	0.17%	4
2017-01-05	2017-01-25	$15.12	$16.96	11.94%	14
2016-07-26	2016-08-30	$15.30	$14.09	-6.63%	26
2016-04-15	2016-05-02	$16.97	$16.12	-3.65%	12
2016-04-05	2016-04-14	$17.03	$16.79	1.99%	8
2015-08-06	2015-08-07	$16.41	$16.17	-6.17%	2
2015-07-21	2015-07-27	$17.78	$16.87	-4.20%	5
2015-05-11	2015-07-09	$15.97	$17.19	7.54%	42
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-23	2014-07-03	$15.81	$15.28	-0.27%	9
2013-03-26	2013-04-02	$2.52	$2.96	16.82%	5
2013-02-20	2013-02-22	$2.57	$2.41	-10.67%	3
2013-02-15	2013-02-19	$2.47	$2.62	-3.41%	2
2013-02-12	2013-02-14	$2.53	$2.55	-0.12%	3
2012-12-19	2012-12-31	$2.31	$2.26	-4.15%	8
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-03-27	2012-04-05	$2.53	$2.30	-4.03%	8
2012-03-12	2012-03-21	$2.40	$2.34	0.44%	8
2012-02-29	2012-03-09	$2.23	$2.32	-2.39%	8
2012-02-23	2012-02-28	$2.30	$2.25	-1.95%	4