PriceMomentum_V0746

REJECTEDmomentum

llmAdded diversified, confirmatory entry legs: breakout+volume, strong 20d momentum with positive 50-day slope, and pullback-in-uptrend with RSI filter. Tightened exits into an OR of 20d drawdown, falling 50-day slope, or negative MACD histogram to cut losses early. Restricted buying to UPTREND/SIDEWAYS and non-bubble regimes, disallowed extreme volatility regimes in gates, and introduced volatility-scaled position sizing (smaller size in higher volatility). Reduced base position to 0.8 to lower risk. | rejected: fitness 0.040 below threshold

Fitness

0.0397

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_V0746  [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_20 > 0.0 and rel_volume > 1.1) or (ret_20d > 0.08 and sma_50_slope > 0.0) or (ret_5d < -0.03 and sma_50_slope > 0.0 and rsi_14 < 60.0)):
    position = 0.8
if long and (ret_20d < -0.08 or sma_50_slope < 0.0 or macd_hist < 0.0):
    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 *= 0.4

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.3%	-6.7%	—	—
Total Return	-17.1%	-18.7%	—	—
Sharpe	-0.12	-0.44	—	—
Sortino	-0.09	-0.25	—	—
Calmar	-0.07	-0.19	—	—
Volatility	12.6%	13.6%	—	—
Max DD	-33.5%	-35.2%	—	—
Win Rate	40.3%	46.7%	—	—
Avg Win	2.2%	2.1%	—	—
Avg Loss	-1.6%	-2.5%	—	—
Payoff	1.34	0.82	—	—
Expectancy	-0.1%	-0.4%	—	—
Profit Factor	0.90	0.72	—	—
Trades	134	45	—	—
Avg Holding Days	3.2	3.4	—	—
Turnover	23.3	19.5	—	—
Exposure	10.9%	9.7%	—	—

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