PriceMomentum_V0858

REJECTEDmomentum

llmAdded composite entry combining 20d momentum (lowered to 3%) with MACD histogram or 20-day breakout to reduce false positives; tightened exits to include a 5% drawdown stop and MACD deterioration as early exits; restricted regimes to avoid trading in downtrends and bubble/expensive regimes and to prefer low/medium volatility; added volatility-based position sizing (scale down in highest volatility) and reduced base position to 0.7 to improve generalization and reduce risk. | rejected: stage1: sharpe -0.75 below screen

Fitness

—

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0570S0570 · gen 26ARCHIVEDllm

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0858  [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 > 0.03 and (macd_hist > 0.0 or breakout_20 > 0.0)):
    position = 0.7
if long and (ret_20d < -0.03 or drawdown < -0.05 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	—	—	—	—
Total Return	—	—	—	—
Sharpe	—	—	—	—
Sortino	—	—	—	—
Calmar	—	—	—	—
Volatility	—	—	—	—
Max DD	—	—	—	—
Win Rate	—	—	—	—
Avg Win	—	—	—	—
Avg Loss	—	—	—	—
Payoff	—	—	—	—
Expectancy	—	—	—	—
Profit Factor	—	—	—	—
Trades	—	—	—	—
Avg Holding Days	—	—	—	—
Turnover	—	—	—	—
Exposure	—	—	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

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)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded