PriceMomentum_V0790

ARCHIVEDhybrid

llmAdded momentum & slope confirmation to entry and tightened threshold (ret_20d>0.04, sma_50_slope>0, rsi>50) to reduce false breakouts; added multi-condition exit (20d loss < -2%, 1d plunge < -5%, or RSI>78) to improve risk control and profit taking; introduced regime gates to avoid downtrend/high-volatility/bubble regimes; lowered base position to 0.6 and added position scaling rules: reduce size in high vol (vol_pctile>0.8 -> 0.5), reduce near 52w highs (dist_52w_high<0.05 -> 0.7), and modestly increase in very low vol (vol_20<0.01 -> 0.8) to manage drawdowns and turnover.

Fitness

0.1592

Generation

Complexity

Created

2026-09-26

Lineage

Parents (1)

PriceMomentum_V0677S0677 · gen 31ARCHIVEDllm

added entry filter: breakout_50 == 1

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0790  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and breakout_50 == 1 and sma_50_slope > 0.0 and rsi_14 > 50.0):
    position = 0.6
if long and (ret_20d < -0.02 or ret_1d < -0.05 or rsi_14 > 78.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.9%	-0.6%	2.1%	0.9%
Total Return	7.4%	-1.7%	8.1%	14.2%
Sharpe	0.15	-0.02	0.29	0.15
Sortino	0.06	-0.01	0.11	0.06
Calmar	0.05	-0.03	0.15	0.05
Volatility	8.2%	8.7%	8.6%	8.4%
Max DD	-17.4%	-19.9%	-14.0%	-19.9%
Win Rate	57.1%	55.6%	61.5%	58.3%
Avg Win	4.9%	4.4%	4.0%	4.4%
Avg Loss	-5.0%	-5.3%	-4.5%	-4.9%
Payoff	0.99	0.82	0.89	0.90
Expectancy	0.7%	0.1%	0.7%	0.5%
Profit Factor	1.31	1.03	1.42	1.26
Trades	14	9	13	36
Avg Holding Days	15.1	10.7	6.2	10.8
Turnover	2.1	3.6	4.2	2.9
Exposure	5.9%	6.9%	4.4%	5.7%

Growth of $100

PriceMomentum_V0790 vs TSLA Buy & Hold

PriceMomentum_V0790 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	2.6%	0.77	-1.7%	1
2017	7.9%	1.96	-0.4%	3
2018	-9.7%	-1.23	-10.3%	2
2019	2.1%	0.22	-9.2%	2
2020	0.0%	0.00	0.0%	0
2021	22.6%	2.19	-4.7%	6
2022	-19.9%	-1.87	-19.8%	3

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	272	0.0%	0.00	0%
hidden test	EXPENSIVE	83	13.2%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-5.1%	-1.01	0%
hidden test	LOW VOLATILITY	432	10.1%	1.07	8%
hidden test	MEDIUM VOLATILITY	250	-2.9%	-0.29	2%
hidden test	NORMAL	805	1.5%	0.17	5%
hidden test	SIDEWAYS	293	-7.6%	-1.09	5%
hidden test	UPTREND	371	12.3%	1.01	7%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-0.0%	-0.90	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-1.1%	-0.12	0%
train	LOW VOLATILITY	745	7.6%	0.83	14%
train	MEDIUM VOLATILITY	568	-4.4%	-0.72	3%
train	NORMAL	1,601	1.6%	0.17	7%
train	SIDEWAYS	592	-6.8%	-0.93	3%
train	UPTREND	902	7.2%	0.67	11%
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	0.0%	0.00	0%
validation	LOW VOLATILITY	183	14.3%	1.47	20%
validation	MEDIUM VOLATILITY	315	-8.8%	-0.78	5%
validation	NORMAL	474	-0.3%	-0.03	11%
validation	SIDEWAYS	206	-14.5%	-1.47	3%
validation	UPTREND	425	6.7%	0.72	11%

Trades (full period)

36 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-14	2026-06-08	$443.30	$408.95	-7.47%	17
2025-12-16	2026-01-07	$489.88	$431.41	-5.45%	15
2025-08-27	2025-09-15	$349.60	$410.04	7.40%	13
2024-07-11	2024-07-12	$241.03	$248.23	-5.18%	2
2024-07-09	2024-07-10	$262.33	$263.26	2.11%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.13%	2
2024-06-27	2024-07-03	$197.42	$246.39	10.35%	5
2023-07-05	2023-07-21	$282.48	$260.02	-3.63%	13
2023-06-20	2023-06-21	$274.45	$259.46	3.08%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.56%	2
2023-06-12	2023-06-13	$249.83	$258.71	1.21%	2
2023-06-08	2023-06-09	$234.86	$244.40	2.63%	2
2023-06-02	2023-06-07	$213.97	$224.57	3.83%	4
2022-08-16	2022-08-29	$306.56	$284.82	-4.26%	10
2022-08-02	2022-08-08	$300.59	$290.42	-1.90%	5
2022-04-05	2022-04-27	$363.75	$293.84	-14.61%	16
2021-11-04	2021-11-05	$409.97	$407.36	0.67%	2
2021-11-01	2021-11-02	$402.86	$390.67	4.97%	2
2021-10-28	2021-10-29	$359.01	$371.33	2.14%	2
2021-10-26	2021-10-27	$339.48	$345.95	-0.50%	2
2021-10-22	2021-10-25	$303.23	$341.62	0.93%	2
2021-08-03	2021-10-19	$236.58	$288.09	13.10%	55
2019-10-16	2019-10-25	$17.32	$21.88	9.65%	8
2019-07-22	2019-07-26	$17.05	$15.20	-6.85%	5
2018-12-06	2018-12-19	$24.20	$22.20	-3.88%	10
2018-01-22	2018-02-09	$23.44	$20.69	-6.05%	15
2017-01-23	2017-01-24	$16.59	$16.97	0.91%	2
2017-01-19	2017-01-20	$16.25	$16.32	1.24%	2
2016-12-28	2017-01-17	$14.65	$15.71	4.83%	13
2016-04-05	2016-04-07	$17.03	$17.15	4.32%	3
2015-04-30	2015-07-22	$15.07	$17.86	8.74%	58
2014-09-05	2014-09-16	$18.49	$17.38	-6.90%	8
2014-08-07	2014-09-03	$16.83	$18.75	8.21%	19
2014-06-24	2014-07-16	$15.50	$14.48	-4.56%	16
2012-11-20	2013-01-10	$2.20	$2.24	1.31%	35
2012-03-13	2012-04-05	$2.41	$2.30	-1.59%	18