PriceMomentum_V0834

ARCHIVEDhybrid

llmSimplified and regularized entry: replaced redundant ret_20d checks with a compact momentum regime (ret_20d > 5%) plus trend/momentum confirmations (sma_50_slope>0 and macd_hist>0) and avoid overbought (rsi_14<75). Improved exits: added multi-condition exit (stop on 8% adverse 20d return OR high RSI OR 12% drawdown) to cut losses/extended risk. Regime gate tightened to allow UPTREND and SIDEWAYS only (avoid entering in clear downtrends). Added volatility and bubble position scaling to reduce size in high volatility or expensive-bubble states and keep full size in low-volatility, and lowered base position to 0.90 to reduce max drawdown risk.

Fitness

0.2641

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0802S0802 · gen 37ARCHIVEDllm

entry = PriceMomentum_V0267 AND PriceMomentum_V0567

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0834  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (ret_20d > 0.05 and sma_50_slope > 0.0 and macd_hist > 0.0 and rsi_14 < 75.0):
    position = 0.9
if long and (ret_20d < -0.08 or rsi_14 > 82.0 or drawdown > 0.12):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4
if regime.bubble == "EXPENSIVE": position *= 0.5

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	9.7%	4.8%	6.0%	7.8%
Total Return	108.9%	15.1%	24.2%	202.6%
Sharpe	0.59	0.32	0.40	0.48
Sortino	0.51	0.27	0.30	0.40
Calmar	0.24	0.10	0.25	0.15
Volatility	18.5%	21.8%	19.6%	19.5%
Max DD	-41.0%	-46.0%	-24.1%	-51.2%
Win Rate	53.8%	43.8%	28.6%	44.6%
Avg Win	10.5%	16.1%	19.5%	13.6%
Avg Loss	-4.9%	-9.2%	-4.8%	-6.1%
Payoff	2.14	1.76	4.10	2.23
Expectancy	3.4%	1.9%	2.2%	2.7%
Profit Factor	2.50	1.37	1.64	1.80
Trades	26	16	14	56
Avg Holding Days	31.1	19.9	21.6	25.6
Turnover	6.6	8.2	7.7	7.2
Exposure	23.2%	22.6%	18.6%	22.0%

Growth of $100

PriceMomentum_V0834 vs TSLA Buy & Hold

PriceMomentum_V0834 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	-11.4%	-1.04	-20.7%	2
2017	14.5%	1.12	-10.3%	4
2018	-21.9%	-1.51	-23.0%	5
2019	11.7%	0.60	-19.9%	5
2020	78.0%	2.32	-11.8%	8
2021	8.4%	0.53	-17.5%	4
2022	-41.3%	-2.76	-41.2%	4

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	-0.7%	-1.46	0%
hidden test	EXPENSIVE	83	43.8%	2.03	26%
hidden test	EXTREME	48	96.2%	3.93	30%
hidden test	HIGH VOLATILITY	254	-5.6%	-0.33	11%
hidden test	LOW VOLATILITY	433	28.0%	1.58	21%
hidden test	MEDIUM VOLATILITY	250	-13.7%	-0.55	22%
hidden test	NORMAL	806	-1.2%	-0.06	17%
hidden test	SIDEWAYS	293	-25.9%	-1.46	19%
hidden test	UPTREND	371	40.6%	1.51	32%
train	DOWNTREND	518	2.0%	0.66	0%
train	EXPENSIVE	311	10.2%	0.65	22%
train	EXTREME	100	153.1%	5.19	43%
train	HIGH VOLATILITY	699	8.8%	0.43	11%
train	LOW VOLATILITY	745	23.5%	1.33	38%
train	MEDIUM VOLATILITY	568	-3.0%	-0.18	19%
train	NORMAL	1,601	2.2%	0.12	22%
train	SIDEWAYS	592	-17.5%	-1.26	12%
train	UPTREND	902	34.8%	1.38	43%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-3.3%	-0.18	21%
validation	EXTREME	144	122.3%	4.03	28%
validation	HIGH VOLATILITY	258	18.0%	0.80	12%
validation	LOW VOLATILITY	183	14.2%	0.72	42%
validation	MEDIUM VOLATILITY	315	-6.0%	-0.27	21%
validation	NORMAL	474	-24.9%	-1.32	21%
validation	SIDEWAYS	206	-44.0%	-2.52	11%
validation	UPTREND	425	33.9%	1.29	35%

Trades (full period)

56 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-13	2026-07-23	$394.76	$319.69	-5.15%	9
2026-05-14	2026-06-10	$443.30	$381.59	-10.25%	19
2025-12-15	2026-01-16	$475.31	$437.50	-4.13%	23
2025-08-25	2025-11-18	$346.60	$401.25	14.26%	61
2025-07-31	2025-08-06	$308.27	$319.91	-2.39%	5
2025-05-16	2025-06-13	$349.98	$325.31	-4.95%	20
2024-12-19	2025-01-17	$436.17	$426.50	-4.75%	19
2024-11-07	2024-12-18	$296.91	$440.13	22.96%	29
2024-09-04	2024-10-18	$219.41	$220.70	-1.87%	33
2024-07-12	2024-08-02	$248.23	$207.67	-3.41%	16
2024-06-18	2024-07-05	$184.86	$251.52	26.01%	12
2023-06-22	2023-08-03	$264.61	$259.32	-0.95%	30
2023-05-31	2023-06-09	$203.93	$244.40	14.77%	8
2023-02-13	2023-03-10	$194.64	$173.44	-9.75%	19
2022-09-21	2022-10-04	$300.80	$249.44	-17.75%	10
2022-08-02	2022-09-01	$300.59	$277.16	-7.01%	23
2022-04-05	2022-04-27	$363.75	$293.84	-16.35%	16
2022-01-04	2022-01-25	$383.20	$306.13	-8.06%	15
2021-11-09	2021-12-03	$341.17	$338.32	-8.08%	18
2021-08-04	2021-10-22	$236.97	$303.23	22.96%	57
2021-01-12	2021-02-23	$283.15	$232.95	-10.00%	29
2020-11-19	2021-01-11	$166.42	$270.40	20.30%	35
2020-10-16	2020-10-30	$146.56	$129.35	-3.25%	11
2020-09-03	2020-09-25	$135.67	$135.78	-8.34%	16
2020-08-18	2020-09-01	$125.81	$158.35	18.26%	11
2020-07-17	2020-08-12	$100.06	$103.65	-3.55%	19
2020-06-03	2020-07-07	$58.86	$92.66	32.13%	24
2020-02-06	2020-03-05	$49.93	$48.30	1.26%	20
2020-01-17	2020-01-31	$34.03	$43.37	13.72%	10
2019-12-31	2020-01-08	$27.89	$32.81	5.65%	6
2019-12-18	2019-12-24	$26.21	$28.35	4.59%	5
2019-10-30	2019-11-13	$21.00	$23.07	3.67%	11
2019-10-16	2019-10-28	$17.32	$21.85	18.56%	9
2019-09-12	2019-09-27	$16.39	$16.14	-3.47%	12
2019-07-22	2019-08-13	$17.05	$15.67	-10.29%	17
2018-11-07	2018-12-21	$23.21	$21.32	-3.12%	31
2018-08-03	2018-08-31	$23.21	$20.11	-4.76%	21
2018-06-12	2018-07-13	$22.85	$21.26	-1.55%	23
2018-03-14	2018-03-23	$21.78	$20.10	-5.81%	8
2018-01-22	2018-02-12	$23.44	$21.05	-8.61%	16
2017-08-04	2017-10-17	$23.79	$23.72	2.44%	52
2017-03-28	2017-07-07	$18.50	$20.88	0.95%	71
2017-02-17	2017-03-13	$18.15	$16.41	-4.05%	16
2016-12-30	2017-01-25	$14.25	$16.96	16.41%	17
2016-07-26	2016-09-02	$15.30	$13.19	-11.65%	29
2016-03-28	2016-05-04	$15.35	$14.84	0.83%	28
2015-04-29	2015-08-11	$15.50	$15.82	8.71%	73
2015-04-14	2015-04-21	$13.83	$13.96	-2.11%	6
2014-06-23	2014-09-30	$15.81	$16.18	7.59%	70
2014-01-24	2014-03-26	$11.64	$14.20	6.53%	43
2013-06-03	2013-10-24	$6.17	$11.54	17.12%	102
2013-05-22	2013-05-29	$5.82	$6.98	8.87%	5
2013-03-27	2013-05-13	$2.54	$5.85	41.16%	33
2012-11-12	2013-02-27	$2.07	$2.34	9.47%	73
2012-08-24	2012-08-29	$1.97	$1.89	-2.14%	4
2012-02-23	2012-04-11	$2.30	$2.21	-1.19%	34