PriceMomentum_V0741

ARCHIVEDmomentum

llmAdded regime gates to avoid strong downtrends/high-volatility/extreme bubbles; strengthened entry with short-vs-mid SMA confirmation and a volatility percentile cap; relaxed rel_volume slightly for robustness; improved exits: softer stop-loss, SMA cross trailing exit, volatility-spike exit, and a profit-take; added volatility-based position sizing (scale down in high vol).

Fitness

0.2048

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_V0741  [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.05 and rel_volume > 1.2 and sma_20 > sma_50 and vol_pctile < 0.75):
    position = 1.0
if long and (ret_20d < -0.12 or sma_20 < sma_50 or vol_chg > 0.5 or ret_20d > 0.2):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.0%	8.5%	8.3%	2.6%
Total Return	-14.7%	27.8%	34.3%	46.2%
Sharpe	-0.07	0.72	0.77	0.26
Sortino	-0.03	0.32	0.32	0.11
Calmar	-0.04	0.36	0.67	0.06
Volatility	14.2%	12.3%	11.0%	13.1%
Max DD	-44.9%	-23.4%	-12.3%	-44.9%
Win Rate	59.3%	68.4%	86.7%	66.0%
Avg Win	3.0%	4.2%	3.4%	3.3%
Avg Loss	-4.7%	-4.4%	-6.3%	-4.8%
Payoff	0.63	0.95	0.53	0.69
Expectancy	-0.2%	1.5%	2.1%	0.5%
Profit Factor	0.92	2.06	3.47	1.33
Trades	59	19	15	94
Avg Holding Days	3.7	3.3	4.0	3.7
Turnover	14.9	12.7	8.1	12.8
Exposure	8.1%	5.8%	4.8%	6.8%

Growth of $100

PriceMomentum_V0741 vs TSLA Buy & Hold

PriceMomentum_V0741 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	-11.0%	-1.07	-16.5%	4
2017	-4.8%	-0.32	-15.0%	12
2018	0.7%	0.88	-0.1%	1
2019	11.6%	0.58	-13.8%	6
2020	15.1%	1.24	-6.8%	10
2021	9.3%	0.59	-17.9%	7
2022	1.5%	1.22	-0.1%	2

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	7.2%	0.61	5%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	431	13.0%	1.13	8%
hidden test	MEDIUM VOLATILITY	250	9.5%	0.63	4%
hidden test	NORMAL	804	9.2%	0.81	5%
hidden test	SIDEWAYS	293	-5.8%	-0.43	10%
hidden test	UPTREND	371	26.1%	2.04	4%
train	DOWNTREND	518	2.9%	0.69	0%
train	EXPENSIVE	311	-1.8%	-0.11	15%
train	EXTREME	100	11.4%	1.55	1%
train	HIGH VOLATILITY	699	-2.0%	-0.14	0%
train	LOW VOLATILITY	745	14.1%	1.00	16%
train	MEDIUM VOLATILITY	568	-19.5%	-1.40	7%
train	NORMAL	1,601	-1.6%	-0.11	7%
train	SIDEWAYS	592	-5.1%	-0.46	3%
train	UPTREND	902	-0.5%	-0.02	16%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	27.3%	1.69	7%
validation	EXTREME	144	-0.2%	-1.32	0%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	23.2%	1.95	14%
validation	MEDIUM VOLATILITY	315	7.9%	0.47	6%
validation	NORMAL	474	6.3%	0.49	7%
validation	SIDEWAYS	206	-15.1%	-1.69	4%
validation	UPTREND	425	23.1%	1.53	8%

Trades (full period)

94 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-06-10	$433.45	$381.59	-11.04%	21
2025-12-22	2025-12-23	$488.73	$485.56	1.36%	2
2025-12-18	2025-12-19	$483.37	$481.20	3.24%	2
2025-10-24	2025-10-28	$433.72	$460.55	0.56%	3
2025-10-03	2025-10-06	$429.83	$453.25	-1.61%	2
2025-09-15	2025-09-16	$410.04	$421.62	3.36%	2
2025-09-08	2025-09-12	$346.40	$395.94	4.91%	5
2024-07-09	2024-07-10	$262.33	$263.26	3.51%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.88%	2
2024-07-02	2024-07-03	$231.26	$246.39	9.99%	2
2024-06-18	2024-07-01	$184.86	$209.86	5.36%	9
2023-06-22	2023-06-23	$264.61	$256.60	1.78%	2
2023-06-12	2023-06-13	$249.83	$258.71	2.02%	2
2023-06-08	2023-06-09	$234.86	$244.40	4.38%	2
2023-06-05	2023-06-06	$217.61	$221.31	1.50%	2
2022-08-08	2022-08-09	$290.42	$283.33	0.58%	2
2022-08-02	2022-08-03	$300.59	$307.40	0.91%	2
2021-11-02	2021-11-03	$390.67	$404.62	-3.22%	2
2021-10-27	2021-10-28	$345.95	$359.01	1.71%	2
2021-10-22	2021-10-26	$303.23	$339.48	14.41%	3
2021-10-05	2021-10-19	$260.20	$288.09	11.11%	11
2021-09-20	2021-09-29	$243.39	$260.44	2.17%	8
2021-09-08	2021-09-14	$251.29	$248.16	-1.51%	5
2021-05-03	2021-05-12	$228.30	$196.63	-13.18%	8
2020-12-21	2020-12-22	$216.62	$213.45	-6.69%	2
2020-12-10	2020-12-11	$209.02	$203.33	3.53%	2
2020-12-01	2020-12-02	$194.92	$189.61	2.82%	2
2020-11-27	2020-11-30	$195.25	$189.20	1.85%	2
2020-11-24	2020-11-25	$185.13	$191.33	6.22%	2
2020-01-17	2020-01-21	$34.03	$36.48	-0.78%	2
2020-01-14	2020-01-15	$35.86	$34.57	2.29%	2
2020-01-10	2020-01-13	$31.88	$34.99	-0.86%	2
2020-01-08	2020-01-09	$32.81	$32.09	4.72%	2
2020-01-06	2020-01-07	$30.10	$31.27	1.72%	2
2019-12-31	2020-01-02	$27.89	$28.68	0.67%	2
2019-12-24	2019-12-26	$28.35	$28.73	1.24%	2
2019-12-20	2019-12-23	$27.04	$27.95	0.18%	2
2019-12-17	2019-12-19	$25.27	$26.94	2.85%	3
2019-10-15	2019-10-25	$17.19	$21.88	16.39%	9
2019-09-26	2019-09-27	$16.17	$16.14	5.85%	2
2019-07-25	2019-07-26	$15.25	$15.20	-13.80%	2
2018-12-06	2018-12-07	$24.20	$23.86	0.73%	2
2017-09-19	2017-09-25	$25.01	$23.00	-8.99%	5
2017-06-13	2017-06-14	$25.06	$25.38	4.51%	2
2017-06-07	2017-06-12	$23.98	$23.93	1.07%	4
2017-05-02	2017-05-04	$21.26	$19.70	-3.85%	3
2017-02-22	2017-02-24	$18.23	$17.13	-7.90%	3
2017-02-17	2017-02-21	$18.15	$18.49	1.02%	2
2017-02-14	2017-02-15	$18.73	$18.65	-0.06%	2
2017-02-10	2017-02-13	$17.95	$18.71	-0.19%	2
2017-01-24	2017-01-25	$16.97	$16.96	2.08%	2
2017-01-17	2017-01-20	$15.71	$16.32	2.32%	4
2017-01-06	2017-01-10	$15.27	$15.32	1.79%	3
2016-12-28	2017-01-05	$14.65	$15.12	3.19%	6
2016-04-12	2016-05-05	$16.52	$14.10	-11.13%	18
2016-04-07	2016-04-08	$17.15	$16.67	-3.29%	2
2016-04-05	2016-04-06	$17.03	$17.69	3.23%	2
2016-04-01	2016-04-04	$15.84	$16.47	3.20%	2
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-07-06	2015-07-08	$18.65	$17.00	-4.53%	3
2015-06-24	2015-06-29	$17.68	$17.47	-0.42%	4
2015-06-18	2015-06-22	$17.46	$17.32	0.61%	3
2015-06-09	2015-06-11	$17.07	$16.76	-2.38%	3
2015-05-13	2015-05-18	$16.21	$16.58	1.47%	4
2015-05-06	2015-05-08	$15.36	$15.77	1.45%	3
2015-04-28	2015-04-29	$15.37	$15.50	-0.66%	2
2014-09-08	2014-09-16	$18.81	$17.38	-8.66%	7
2014-09-04	2014-09-05	$19.07	$18.49	1.52%	2
2014-09-02	2014-09-03	$18.94	$18.75	5.14%	2
2014-08-07	2014-08-15	$16.83	$17.47	4.79%	7
2014-06-19	2014-07-09	$15.19	$14.87	-3.74%	14
2014-06-17	2014-06-18	$15.44	$15.14	2.94%	2
2014-02-21	2014-02-25	$13.97	$16.53	3.45%	3
2014-02-19	2014-02-20	$12.91	$14.00	-5.13%	2
2013-10-07	2013-10-09	$12.20	$11.25	-3.65%	3
2013-10-03	2013-10-04	$11.55	$12.07	-4.42%	2
2013-09-23	2013-09-26	$12.07	$12.58	0.81%	4
2013-09-10	2013-09-20	$11.09	$12.23	10.50%	9
2013-02-19	2013-02-22	$2.62	$2.41	-5.26%	4
2013-02-12	2013-02-13	$2.53	$2.56	-1.58%	2
2013-01-24	2013-02-07	$2.47	$2.63	8.59%	11
2012-12-19	2013-01-03	$2.31	$2.32	2.02%	10
2012-12-14	2012-12-17	$2.25	$2.29	0.39%	2
2012-12-12	2012-12-13	$2.35	$2.24	-0.26%	2
2012-12-03	2012-12-04	$2.31	$2.26	2.16%	2
2012-11-20	2012-11-29	$2.20	$2.25	0.74%	7
2012-07-17	2012-07-18	$2.22	$2.14	-7.45%	2
2012-04-05	2012-04-09	$2.30	$2.21	-1.68%	2
2012-03-27	2012-03-28	$2.53	$2.52	1.24%	2
2012-03-12	2012-03-13	$2.40	$2.41	3.45%	2
2012-02-23	2012-02-24	$2.30	$2.25	0.71%	2
2012-02-17	2012-02-21	$2.33	$2.30	2.11%	2
2012-02-15	2012-02-16	$2.24	$2.28	1.10%	2