PriceMomentum_V0837

ARCHIVEDhybrid

llmSimplified and diversified entry rules into two clear legs: a short-term momentum breakout (ret_20d + above sma_50) and a trend-confirmed entry (above sma_200 with positive sma_200_slope). Added a volatility filter on entries (vol_pctile < 0.85) and tightened cumulative-return requirement. Replaced the single small fixed exit with a composite exit: larger momentum stop (ret_20d < -3%), a technical stop (close < sma_50), and a max-drawdown safeguard. Restricted regime gate to UPTREND and excluded HIGH_VOLATILITY / EXTREME bubble states to avoid bad environments. Added volatility-based position sizing rules to reduce size in high-volatility regimes. These structural changes aim to improve robustness, reduce large drawdowns, and generalize better in walk-forward.

Fitness

0.2897

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0624S0624 · gen 29ARCHIVEDllm

entry = PriceMomentum_V0602 OR LongTermTrend_V0519

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0837  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((close > sma_50 and ret_20d > 0.07 and vol_pctile < 0.85) or (close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.03 and cumret_252d > -0.15)):
    position = 1.0
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.0%	28.5%	2.5%	6.7%
Total Return	8.5%	112.0%	9.6%	159.6%
Sharpe	0.15	1.08	0.22	0.41
Sortino	0.10	0.77	0.12	0.26
Calmar	0.02	0.62	0.08	0.15
Volatility	19.1%	26.4%	22.4%	21.6%
Max DD	-41.7%	-45.7%	-30.3%	-45.7%
Win Rate	37.5%	40.0%	50.0%	40.7%
Avg Win	8.4%	26.2%	10.4%	14.5%
Avg Loss	-5.0%	-6.1%	-7.6%	-5.7%
Payoff	1.69	4.31	1.36	2.53
Expectancy	0.0%	6.8%	1.4%	2.5%
Profit Factor	1.01	2.87	1.36	1.74
Trades	32	15	12	59
Avg Holding Days	12.8	12.5	12.7	13.2
Turnover	8.1	10.0	6.5	8.0
Exposure	20.1%	22.8%	14.9%	19.4%

Growth of $100

PriceMomentum_V0837 vs TSLA Buy & Hold

PriceMomentum_V0837 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	-8.1%	-0.72	-14.4%	3
2017	3.5%	0.27	-21.8%	11
2018	-16.9%	-1.37	-16.8%	3
2019	17.8%	1.36	-7.4%	0
2020	89.9%	2.58	-10.5%	5
2021	52.3%	1.48	-23.1%	6
2022	-29.5%	-1.74	-32.0%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	77.5%	1.95	55%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-24.0%	-1.20	2%
hidden test	LOW VOLATILITY	433	24.1%	1.39	17%
hidden test	MEDIUM VOLATILITY	250	1.4%	0.04	26%
hidden test	NORMAL	806	-2.1%	-0.10	12%
hidden test	SIDEWAYS	293	-13.8%	-1.03	1%
hidden test	UPTREND	371	23.6%	0.70	37%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	40.4%	1.33	41%
train	EXTREME	100	11.6%	1.55	1%
train	HIGH VOLATILITY	699	4.5%	0.27	2%
train	LOW VOLATILITY	745	20.7%	1.00	39%
train	MEDIUM VOLATILITY	568	-22.6%	-1.14	18%
train	NORMAL	1,601	-5.0%	-0.30	17%
train	SIDEWAYS	592	-8.5%	-1.19	1%
train	UPTREND	902	11.9%	0.42	44%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	115.7%	3.00	54%
validation	EXTREME	144	47.3%	2.61	3%
validation	HIGH VOLATILITY	258	-8.2%	-0.66	1%
validation	LOW VOLATILITY	183	24.7%	1.26	38%
validation	MEDIUM VOLATILITY	315	60.8%	1.67	32%
validation	NORMAL	474	-2.5%	-0.11	20%
validation	SIDEWAYS	206	-24.8%	-1.59	2%
validation	UPTREND	425	62.8%	1.88	40%

Trades (full period)

59 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2025-12-12	2026-01-05	$458.96	$451.67	-2.17%	15
2025-09-12	2025-11-14	$395.94	$404.35	8.79%	46
2025-09-04	2025-09-05	$338.53	$350.84	1.13%	2
2025-05-22	2025-06-06	$341.04	$295.14	-15.09%	11
2024-10-03	2024-10-14	$240.66	$219.16	-12.71%	8
2024-09-23	2024-09-27	$250.00	$260.46	6.49%	5
2024-09-16	2024-09-20	$226.78	$238.25	5.71%	5
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-07-02	2024-07-12	$231.26	$248.23	14.63%	8
2024-01-03	2024-01-10	$238.45	$233.94	-5.61%	6
2023-06-02	2023-08-02	$213.97	$254.11	25.56%	42
2022-08-16	2022-08-22	$306.56	$289.91	-4.28%	5
2022-08-05	2022-08-08	$288.17	$290.42	-6.82%	2
2022-04-05	2022-04-27	$363.75	$293.84	-23.64%	16
2022-01-12	2022-01-13	$368.74	$343.85	3.73%	2
2021-12-09	2021-12-10	$334.60	$339.01	-6.29%	2
2021-11-23	2021-12-01	$369.68	$365.00	-1.25%	6
2021-08-24	2021-11-10	$236.16	$355.98	44.62%	56
2021-08-05	2021-08-23	$238.21	$235.43	-4.50%	13
2021-01-12	2021-02-11	$283.15	$270.55	-0.98%	22
2020-12-10	2021-01-11	$209.02	$270.40	45.30%	21
2020-11-19	2020-12-08	$166.42	$216.63	31.62%	13
2020-10-22	2020-10-29	$141.93	$136.94	-4.12%	6
2020-10-13	2020-10-20	$148.88	$140.65	-2.79%	6
2020-06-25	2020-06-30	$65.73	$71.99	4.84%	4
2019-11-22	2020-01-22	$22.20	$37.97	53.90%	40
2018-11-27	2018-12-19	$22.93	$22.20	-2.79%	16
2018-02-08	2018-02-09	$21.02	$20.69	-8.82%	2
2018-02-01	2018-02-06	$23.28	$22.26	-6.17%	4
2017-10-05	2017-10-10	$23.69	$23.71	-3.59%	4
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-15	2017-08-18	$24.16	$23.16	-3.46%	4
2017-08-04	2017-08-07	$23.79	$23.68	2.63%	2
2017-06-30	2017-07-06	$24.11	$20.59	-9.51%	4
2017-06-05	2017-06-14	$23.15	$25.38	10.40%	8
2017-05-12	2017-05-19	$21.65	$20.72	-3.30%	6
2017-04-24	2017-05-10	$20.54	$21.68	4.92%	13
2017-04-20	2017-04-21	$20.17	$20.37	-1.18%	2
2017-03-28	2017-04-04	$18.50	$20.25	10.26%	6
2017-01-05	2017-02-28	$15.12	$16.67	8.26%	37
2016-07-26	2016-08-23	$15.30	$14.99	-3.27%	21
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-05	2016-05-04	$17.03	$14.84	-6.12%	22
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-05-11	2015-07-28	$15.97	$17.65	6.72%	55
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2014-09-19	2014-09-23	$17.29	$16.69	-5.42%	3
2014-08-05	2014-09-16	$15.90	$17.38	6.22%	30
2014-06-23	2014-07-17	$15.81	$14.36	-5.60%	18
2014-03-20	2014-03-26	$15.66	$14.20	-6.72%	5
2014-02-13	2014-02-26	$13.31	$16.87	26.72%	9
2013-09-09	2013-10-22	$10.71	$11.44	3.16%	32
2013-03-26	2013-04-02	$2.52	$2.96	16.82%	5
2013-01-25	2013-02-22	$2.47	$2.41	-5.14%	20
2012-12-18	2013-01-11	$2.31	$2.19	-2.72%	17
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-04-10	$2.30	$2.16	-3.32%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2