PriceMomentum_V0833

ARCHIVEDmomentum

llmAdded momentum confirmation (macd_hist or momentum_60) to reduce false entries; required elevated rel_volume but relaxed slightly to 1.2; tightened regime gates to avoid entering in DOWNTREND and in HIGH_VOLATILITY or non-NORMAL bubble regimes; added volatility-based position scaling (vol_pctile>0.8 -> 0.5) and short-term loss cutoff (ret_5d<-5% -> no position); improved exits with an additional SMA crossover (sma_20 < sma_50) and a short-term stop (ret_5d < -5%) to cut drawdowns faster.

Fitness

0.1961

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDllm

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0833  [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.05 and rel_volume > 1.2 and (macd_hist > 0.0 or momentum_60 > 0.0)):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20 or sma_20 < sma_50 or ret_5d < -0.05):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.1%	7.1%	6.8%	3.2%
Total Return	0.6%	23.0%	27.6%	57.8%
Sharpe	0.08	0.52	0.51	0.28
Sortino	0.04	0.19	0.21	0.13
Calmar	0.00	0.28	0.37	0.11
Volatility	15.9%	15.5%	15.0%	15.6%
Max DD	-29.4%	-25.6%	-18.4%	-29.4%
Win Rate	46.9%	57.1%	54.5%	50.0%
Avg Win	5.8%	10.4%	9.9%	7.5%
Avg Loss	-4.6%	-5.1%	-5.8%	-4.9%
Payoff	1.25	2.04	1.71	1.53
Expectancy	0.3%	3.8%	2.8%	1.3%
Profit Factor	1.11	2.72	2.06	1.53
Trades	32	7	11	50
Avg Holding Days	9.2	10.1	6.8	8.8
Turnover	8.0	4.7	5.9	6.8
Exposure	13.1%	8.5%	6.8%	10.6%

Growth of $100

PriceMomentum_V0833 vs TSLA Buy & Hold

PriceMomentum_V0833 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	0.9%	0.14	-12.5%	4
2017	21.3%	2.47	-0.9%	2
2018	-11.8%	-1.38	-11.8%	2
2019	7.0%	0.40	-14.5%	5
2020	0.0%	0.00	0.0%	0
2021	37.5%	1.45	-16.9%	4
2022	-10.6%	-0.88	-14.9%	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	273	-2.1%	-1.01	0%
hidden test	EXPENSIVE	83	22.0%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-17.1%	-1.43	1%
hidden test	LOW VOLATILITY	433	15.0%	0.92	10%
hidden test	MEDIUM VOLATILITY	250	20.2%	1.31	7%
hidden test	NORMAL	806	6.6%	0.43	8%
hidden test	SIDEWAYS	293	-4.8%	-0.52	7%
hidden test	UPTREND	371	24.7%	1.11	11%
train	DOWNTREND	518	2.8%	0.66	0%
train	EXPENSIVE	311	4.8%	1.48	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-3.6%	-0.24	1%
train	LOW VOLATILITY	745	21.9%	1.26	28%
train	MEDIUM VOLATILITY	568	-19.5%	-1.28	10%
train	NORMAL	1,601	0.8%	0.04	16%
train	SIDEWAYS	592	-11.2%	-0.77	8%
train	UPTREND	902	8.8%	0.43	24%
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	-11.8%	-1.00	0%
validation	LOW VOLATILITY	183	34.3%	2.89	19%
validation	MEDIUM VOLATILITY	315	9.2%	0.47	9%
validation	NORMAL	474	12.9%	0.66	14%
validation	SIDEWAYS	206	-4.9%	-0.46	6%
validation	UPTREND	425	16.8%	0.87	12%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-05-19	$433.45	$404.11	-8.05%	6
2026-04-20	2026-04-21	$392.50	$386.42	-2.22%	2
2025-12-17	2025-12-31	$467.26	$449.72	-7.43%	10
2025-12-15	2025-12-16	$475.31	$489.88	3.36%	2
2025-09-08	2025-09-15	$346.40	$410.04	12.63%	6
2024-09-23	2024-10-04	$250.00	$250.08	0.81%	10
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-06-18	2024-07-12	$184.86	$248.23	28.33%	17
2023-09-12	2023-09-13	$267.48	$271.30	-2.43%	2
2023-06-05	2023-06-27	$217.61	$250.21	12.43%	16
2023-06-01	2023-06-02	$207.52	$213.97	1.56%	2
2022-08-02	2022-08-10	$300.59	$294.36	-4.88%	7
2022-03-29	2022-04-11	$366.52	$325.31	-6.26%	10
2022-03-23	2022-03-24	$333.04	$337.97	0.32%	2
2021-09-08	2021-11-10	$251.29	$355.98	35.67%	46
2021-06-28	2021-06-29	$229.57	$226.92	2.31%	2
2021-06-24	2021-06-25	$226.61	$223.96	3.34%	2
2021-04-14	2021-04-15	$244.08	$246.28	-4.14%	2
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
2019-09-12	2019-09-13	$16.39	$16.35	-0.70%	2
2019-07-25	2019-07-26	$15.25	$15.20	-13.80%	2
2019-02-28	2019-03-01	$21.33	$19.65	1.43%	2
2018-12-06	2018-12-19	$24.20	$22.20	-6.49%	10
2018-03-13	2018-03-15	$22.79	$21.71	-5.65%	3
2017-12-12	2017-12-13	$22.74	$22.60	3.48%	2
2016-12-28	2017-01-25	$14.65	$16.96	15.75%	19
2016-10-04	2016-10-05	$14.09	$13.90	-1.27%	2
2016-06-13	2016-06-14	$14.52	$14.33	-0.62%	2
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-01	2016-05-02	$15.84	$16.12	4.58%	22
2015-09-22	2015-09-23	$17.40	$17.40	-1.43%	2
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-07-21	2015-07-28	$17.78	$17.65	-10.55%	6
2015-04-28	2015-07-13	$15.37	$17.48	11.70%	53
2014-11-20	2014-11-21	$16.58	$16.19	0.19%	2
2014-11-12	2014-11-13	$16.61	$16.78	-0.99%	2
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-13	2014-07-08	$13.76	$14.60	9.19%	17
2013-03-26	2013-03-27	$2.52	$2.54	0.68%	2
2013-02-19	2013-02-22	$2.62	$2.41	-5.26%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.12%	3
2012-11-20	2013-01-24	$2.20	$2.47	9.14%	44
2012-11-08	2012-11-09	$2.09	$2.02	-0.93%	2
2012-11-06	2012-11-07	$2.08	$2.10	-1.31%	2
2012-09-18	2012-09-19	$2.09	$2.07	-3.88%	2
2012-07-17	2012-07-23	$2.22	$2.04	-11.78%	5
2012-06-21	2012-06-22	$2.15	$2.25	-4.90%	2
2012-06-19	2012-06-20	$2.14	$2.25	0.58%	2
2012-02-15	2012-04-05	$2.24	$2.30	5.31%	36