PriceMomentum_V0860

ARCHIVEDhybrid

llm1) Simplified and consolidated entry into two robust branches: momentum breakout (ret_20d + rel_volume + breakout_20) and trend-follow (close>sma_200 + positive sma_200_slope + macd_hist + 5d momentum). 2) Tightened regime gating: only allow UPTREND and low/medium volatility, avoid bubble/extreme regimes. 3) Reworked exit to a safer OR of multi-timeframe stops (20d loss, 1d shock, or drawdown >8%) to reduce large drawdowns. 4) Added position scaling rules: reduce size in high vol (vol_pctile>0.8 -> 0.3), increase to full size on very strong volume (rel_volume>2.5). 5) Lowered base_position to 0.6 to reduce overfitting/overrisk.

Fitness

0.1711

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0824S0824 · gen 38ARCHIVEDllm

entry from PriceMomentum_V0794, exit from PriceMomentum_V0690

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0860  [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 breakout_20 > 0.0) or (close > sma_200 and sma_200_slope > 0.0 and macd_hist > 0.0 and ret_5d > 0.01)):
    position = 0.6
if long and (ret_20d < -0.02 or ret_1d < -0.03 or drawdown < -0.08):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.8%	3.5%	1.4%	0.6%
Total Return	-5.9%	10.9%	5.3%	9.9%
Sharpe	-0.07	0.51	0.25	0.13
Sortino	-0.03	0.24	0.10	0.05
Calmar	-0.04	0.27	0.15	0.03
Volatility	7.0%	7.2%	6.4%	6.9%
Max DD	-20.5%	-12.9%	-9.3%	-20.5%
Win Rate	41.3%	42.9%	43.5%	42.2%
Avg Win	2.0%	3.2%	2.3%	2.4%
Avg Loss	-1.6%	-1.3%	-1.3%	-1.5%
Payoff	1.28	2.43	1.74	1.63
Expectancy	-0.1%	0.6%	0.3%	0.2%
Profit Factor	0.90	1.83	1.34	1.19
Trades	46	21	23	90
Avg Holding Days	3.7	2.7	2.6	3.2
Turnover	6.9	8.4	7.4	7.3
Exposure	3.7%	2.8%	2.3%	3.2%

Growth of $100

PriceMomentum_V0860 vs TSLA Buy & Hold

PriceMomentum_V0860 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	0.6%	0.23	-2.0%	3
2017	0.3%	0.14	-1.5%	8
2018	-2.9%	-0.69	-4.6%	2
2019	3.7%	0.98	-0.1%	1
2020	0.0%	0.00	0.0%	0
2021	19.9%	1.64	-5.8%	18
2022	-7.6%	-1.55	-7.5%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	13.0%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-5.2%	-1.02	0%
hidden test	LOW VOLATILITY	433	0.4%	0.07	4%
hidden test	MEDIUM VOLATILITY	250	10.5%	1.48	2%
hidden test	NORMAL	806	0.5%	0.08	3%
hidden test	SIDEWAYS	293	-4.6%	-1.47	1%
hidden test	UPTREND	371	7.7%	0.79	5%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	4.8%	1.29	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	3.4%	0.59	0%
train	LOW VOLATILITY	745	0.4%	0.04	8%
train	MEDIUM VOLATILITY	568	-6.5%	-0.98	2%
train	NORMAL	1,601	-1.6%	-0.21	5%
train	SIDEWAYS	592	-2.5%	-0.93	0%
train	UPTREND	902	0.4%	0.04	8%
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	-0.1%	-0.99	0%
validation	LOW VOLATILITY	183	9.6%	1.67	7%
validation	MEDIUM VOLATILITY	315	3.4%	0.33	3%
validation	NORMAL	474	5.9%	0.65	4%
validation	SIDEWAYS	206	-5.0%	-1.12	0%
validation	UPTREND	425	9.0%	0.99	5%

Trades (full period)

90 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-01	2026-07-02	$425.30	$393.45	0.55%	2
2026-05-29	2026-06-01	$435.79	$415.88	-0.98%	2
2026-02-17	2026-02-18	$410.63	$411.32	-1.10%	2
2026-02-12	2026-02-13	$417.07	$417.44	-1.69%	2
2025-12-19	2025-12-30	$481.20	$454.43	-3.07%	7
2025-12-10	2025-12-18	$451.45	$483.37	2.89%	7
2025-12-03	2025-12-09	$446.74	$445.17	1.36%	5
2025-12-01	2025-12-02	$430.14	$429.24	-0.12%	2
2025-09-12	2025-09-15	$395.94	$410.04	4.29%	2
2025-07-23	2025-07-24	$332.56	$305.30	-0.04%	2
2025-07-21	2025-07-22	$328.49	$332.11	-0.33%	2
2025-07-17	2025-07-18	$319.41	$329.65	-0.54%	2
2025-06-02	2025-06-03	$342.69	$344.27	-0.77%	2
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-07-09	2024-07-10	$262.33	$263.26	2.11%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.13%	2
2024-07-02	2024-07-03	$231.26	$246.39	5.99%	2
2023-09-01	2023-09-05	$245.01	$256.49	-3.16%	2
2023-08-30	2023-08-31	$256.90	$258.08	-0.19%	2
2023-08-28	2023-08-29	$238.82	$257.18	-0.06%	2
2023-06-12	2023-06-13	$249.83	$258.71	1.21%	2
2023-06-08	2023-06-09	$234.86	$244.40	2.63%	2
2023-06-05	2023-06-06	$217.61	$221.31	0.90%	2
2022-08-16	2022-08-17	$306.56	$304.00	-0.65%	2
2022-08-05	2022-08-08	$288.17	$290.42	-4.10%	2
2022-04-05	2022-04-06	$363.75	$348.59	-2.96%	2
2021-12-30	2021-12-31	$356.78	$352.26	-0.99%	2
2021-12-28	2021-12-29	$362.82	$362.06	-0.42%	2
2021-11-04	2021-11-09	$409.97	$341.17	-2.62%	4
2021-10-15	2021-11-03	$281.01	$404.62	24.32%	14
2021-10-13	2021-10-14	$270.36	$272.77	0.28%	2
2021-10-08	2021-10-11	$261.83	$263.98	-0.73%	2
2021-10-01	2021-10-04	$258.41	$260.51	-0.14%	2
2021-09-29	2021-09-30	$260.44	$258.49	0.17%	2
2021-09-27	2021-09-28	$263.79	$259.19	1.19%	2
2021-09-20	2021-09-21	$243.39	$246.46	-2.43%	2
2021-09-14	2021-09-15	$248.16	$251.94	0.00%	2
2021-09-09	2021-09-10	$251.62	$245.42	-0.04%	2
2021-09-07	2021-09-08	$250.97	$251.29	1.46%	2
2021-09-02	2021-09-03	$244.13	$244.52	-0.26%	2
2021-08-31	2021-09-01	$245.24	$244.70	0.27%	2
2021-08-13	2021-08-16	$239.06	$228.72	-0.54%	2
2021-08-09	2021-08-10	$237.92	$236.66	1.14%	2
2021-08-05	2021-08-06	$238.21	$233.03	0.19%	2
2019-12-16	2019-12-17	$25.43	$25.27	3.75%	2
2018-12-06	2018-12-18	$24.20	$22.47	-1.96%	9
2018-02-01	2018-02-02	$23.28	$22.92	-0.98%	2
2017-10-19	2017-10-20	$23.45	$23.01	-1.43%	2
2017-10-17	2017-10-18	$23.72	$23.98	0.76%	2
2017-03-20	2017-03-21	$17.46	$16.71	-0.02%	2
2017-01-24	2017-01-25	$16.97	$16.96	1.25%	2
2017-01-20	2017-01-23	$16.32	$16.59	0.12%	2
2017-01-17	2017-01-18	$15.71	$15.89	-0.67%	2
2017-01-09	2017-01-10	$15.42	$15.32	0.47%	2
2017-01-05	2017-01-06	$15.12	$15.27	-0.18%	2
2016-06-08	2016-06-09	$15.70	$15.29	0.70%	2
2016-04-07	2016-04-08	$17.15	$16.67	-1.98%	2
2016-04-05	2016-04-06	$17.03	$17.69	1.94%	2
2015-07-21	2015-07-22	$17.78	$17.86	-3.41%	2
2015-07-06	2015-07-08	$18.65	$17.00	-2.72%	3
2015-06-24	2015-06-30	$17.68	$17.88	-1.38%	5
2015-06-18	2015-06-19	$17.46	$17.50	0.22%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.19%	2
2015-05-19	2015-05-20	$16.48	$16.29	-0.51%	2
2015-05-15	2015-05-18	$16.59	$16.58	1.04%	2
2015-05-13	2015-05-14	$16.21	$16.27	-0.50%	2
2014-10-10	2014-10-13	$15.79	$14.97	-4.81%	2
2014-10-08	2014-10-09	$17.29	$17.13	-0.19%	2
2014-09-09	2014-09-16	$18.57	$17.38	-6.14%	6
2014-08-04	2014-09-08	$15.90	$18.81	10.96%	25
2014-07-31	2014-08-01	$14.89	$15.55	-1.59%	2
2014-06-26	2014-07-03	$15.71	$15.28	-1.99%	6
2014-06-23	2014-06-25	$15.81	$15.79	0.66%	3
2014-05-05	2014-05-06	$14.44	$13.82	1.50%	2
2014-04-24	2014-04-25	$13.86	$13.32	-0.16%	2
2013-03-27	2013-04-02	$2.54	$2.96	9.49%	4
2013-03-12	2013-03-15	$2.61	$2.35	-3.57%	4
2013-03-08	2013-03-11	$2.56	$2.61	0.26%	2
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2012-12-12	2012-12-14	$2.35	$2.25	-2.96%	3
2012-12-10	2012-12-11	$2.30	$2.35	0.58%	2
2012-12-05	2012-12-06	$2.25	$2.26	-0.46%	2
2012-12-03	2012-12-04	$2.31	$2.26	1.30%	2
2012-11-29	2012-11-30	$2.25	$2.25	0.71%	2
2012-11-27	2012-11-28	$2.14	$2.22	-0.34%	2
2012-11-23	2012-11-26	$2.14	$2.15	-0.75%	2
2012-05-03	2012-05-04	$2.16	$2.12	-2.73%	2
2012-05-01	2012-05-02	$2.25	$2.26	1.06%	2
2012-02-23	2012-04-05	$2.30	$2.30	1.54%	31
2012-02-21	2012-02-22	$2.30	$2.28	-0.93%	2