PriceMomentum_V0877

ARCHIVEDhybrid

llmSimplified and strengthened entry: require 20d momentum plus either 50-day breakout or close>50SMA, with volume and mild long-term trend filter and capped vol percentile — improves signal quality and reduces overfitting. Reworked exits to include a harsher 20d stop (-3%), a 50SMA exit and a 1-day fast stop (-5%) for risk control. Restricted regimes to UPTREND and non-high volatility, avoid bubble states. Reduced base position from 1.0 to 0.8 to lower drawdown risk.

Fitness

0.1902

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0816S0816 · gen 37ARCHIVEDllm

changed ret_1d threshold 0.0336 -> -0.005

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0877  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and (close > sma_50 or breakout_20 > 0.0) and rel_volume > 1.2 and sma_200_slope > -0.001 and vol_pctile < 0.85):
    position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or ret_1d < -0.05):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.2%	8.6%	-0.1%	1.6%
Total Return	-1.3%	28.2%	-0.4%	26.1%
Sharpe	0.04	0.82	0.02	0.21
Sortino	0.02	0.22	0.00	0.08
Calmar	-0.01	0.63	-0.01	0.08
Volatility	10.6%	10.7%	6.4%	9.7%
Max DD	-15.7%	-13.6%	-8.6%	-19.6%
Win Rate	43.8%	100.0%	50.0%	47.6%
Avg Win	5.0%	28.2%	5.5%	7.4%
Avg Loss	-3.8%	0.0%	-5.3%	-4.1%
Payoff	1.33	5.00	1.02	1.83
Expectancy	0.1%	28.2%	0.1%	1.4%
Profit Factor	1.04	5.00	1.02	1.66
Trades	16	1	4	21
Avg Holding Days	13.8	46.0	5.8	13.8
Turnover	3.2	0.5	1.7	2.3
Exposure	8.1%	4.8%	1.6%	5.8%

Growth of $100

PriceMomentum_V0877 vs TSLA Buy & Hold

PriceMomentum_V0877 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	-4.0%	-0.48	-10.1%	2
2017	9.5%	2.08	-0.7%	1
2018	-5.2%	-0.86	-8.6%	1
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	28.2%	1.43	-13.6%	1
2022	0.0%	0.00	0.0%	0

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	17.4%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-6.9%	-1.01	0%
hidden test	LOW VOLATILITY	433	1.3%	0.18	3%
hidden test	MEDIUM VOLATILITY	250	5.2%	1.21	1%
hidden test	NORMAL	806	-1.7%	-0.27	2%
hidden test	SIDEWAYS	293	-0.8%	-1.01	0%
hidden test	UPTREND	371	0.9%	0.09	4%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.4%	1.21	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.9%	0.22	0%
train	LOW VOLATILITY	745	5.6%	0.45	18%
train	MEDIUM VOLATILITY	568	-8.4%	-0.87	4%
train	NORMAL	1,601	0.0%	0.00	10%
train	SIDEWAYS	592	-2.7%	-0.90	1%
train	UPTREND	902	2.7%	0.17	18%
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	-9.4%	-1.00	0%
validation	LOW VOLATILITY	183	21.2%	2.44	14%
validation	MEDIUM VOLATILITY	315	16.7%	1.32	3%
validation	NORMAL	474	14.1%	1.04	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	15.7%	1.10	8%

Trades (full period)

21 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2026-01-05	$475.31	$451.67	-3.75%	14
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2024-09-23	2024-09-27	$250.00	$260.46	5.19%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2021-09-08	2021-11-10	$251.29	$355.98	28.18%	46
2018-12-06	2018-12-19	$24.20	$22.20	-5.18%	10
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-05-04	$17.03	$14.84	-4.86%	22
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-05-13	2015-07-22	$16.21	$17.86	7.11%	49
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-08-07	2014-09-16	$16.83	$17.38	1.56%	28
2014-06-24	2014-07-17	$15.50	$14.36	-6.92%	17
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-19	2013-02-22	$2.62	$2.41	-4.14%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-19	2013-01-11	$2.31	$2.19	-2.58%	16
2012-11-29	2012-12-14	$2.25	$2.25	0.79%	12
2012-02-23	2012-04-05	$2.30	$2.30	1.86%	31
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2