PriceMomentum_V0852
REJECTEDhybridllm1) Simplified and consolidated entry into two robust branches: a momentum+volume+MACD branch and a trend-confirmation branch (close>200sma + positive 200sma slope). 2) Added MACD histogram and looser sma_200_slope floor to reduce overfitting to tiny slope values. 3) Replaced fragile tiny exit threshold with a multi-condition exit: larger 20d stop, a short-term 5d stop, and an RSI-based profit trigger to cut runaways. 4) Added regime gates to restrict to UPTREND and non-HIGH volatility and avoid extreme bubble regimes. 5) Reduced base position to 0.6 to improve robustness/validation performance. | rejected: fitness 0.026 below threshold
Lineage
entry from PriceMomentum_V0563, exit from PriceMomentum_V0640
Strategy Logic (pseudocode)
# PriceMomentum_V0852 [hybrid]
require regime.trend in ['UPTREND']
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 and sma_200_slope > -0.001 and cumret_252d > -0.25) or (close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.03 and rsi_14 < 80.0)):
position = 0.6
if long and (ret_20d < -0.02 or ret_5d < -0.05 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | -8.7% | — | — |
| Total Return | -10.2% | -23.8% | — | — |
| Sharpe | -0.12 | -0.92 | — | — |
| Sortino | -0.06 | -0.34 | — | — |
| Calmar | -0.05 | -0.29 | — | — |
| Volatility | 8.5% | 9.3% | — | — |
| Max DD | -26.4% | -29.7% | — | — |
| Win Rate | 47.1% | 27.8% | — | — |
| Avg Win | 2.8% | 3.6% | — | — |
| Avg Loss | -3.0% | -3.3% | — | — |
| Payoff | 0.96 | 1.08 | — | — |
| Expectancy | -0.2% | -1.4% | — | — |
| Profit Factor | 0.85 | 0.41 | — | — |
| Trades | 34 | 18 | — | — |
| Avg Holding Days | 7.5 | 5.3 | — | — |
| Turnover | 5.1 | 7.2 | — | — |
| Exposure | 6.6% | 6.2% | — | — |
Walk-Forward Years
| 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)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||