PriceMomentum_V0878

ARCHIVEDhybrid

llmAdded momentum and trend confirmation to entries (macd_hist>0 and sma_50_slope>0) and tightened entry threshold (ret_20d>3%). Improved exits to include a stronger short-term stop (ret_20d<-2%), MACD sign flip, and an absolute drawdown cut (drawdown>10%). Reduced base exposure to 0.8 and added volatility-based scaling rules to lower size in high-volatility periods (vol_pctile buckets). These changes aim to reduce large drawdowns and overfitting while keeping momentum core.

Fitness

0.4308

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0567S0567 · gen 26ARCHIVEDllm

logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0878  [hybrid]
if flat and (ret_20d > 0.03 and macd_hist > 0.0 and sma_50_slope > 0.0):
    position = 0.8
if long and (ret_20d < -0.02 or macd_hist < 0.0 or drawdown > 0.1):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	11.8%	36.6%	12.5%	16.8%
Total Return	142.8%	155.1%	55.0%	882.7%
Sharpe	0.62	1.20	0.69	0.79
Sortino	0.49	1.02	0.51	0.62
Calmar	0.24	0.99	0.63	0.35
Volatility	21.4%	29.8%	20.1%	23.0%
Max DD	-48.7%	-36.9%	-19.9%	-48.7%
Win Rate	42.9%	36.8%	35.0%	39.5%
Avg Win	12.9%	23.6%	13.8%	16.0%
Avg Loss	-4.4%	-3.9%	-3.4%	-4.0%
Payoff	2.93	6.08	4.05	3.98
Expectancy	3.0%	6.2%	2.6%	3.9%
Profit Factor	2.20	3.55	2.18	2.60
Trades	42	19	20	81
Avg Holding Days	11.6	11.4	9.4	11.2
Turnover	8.5	10.1	8.6	8.8
Exposure	18.1%	20.8%	14.4%	17.8%

Growth of $100

PriceMomentum_V0878 vs TSLA Buy & Hold

PriceMomentum_V0878 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	2.3%	0.32	-6.9%	3
2017	19.1%	1.22	-11.9%	8
2018	-21.1%	-1.22	-21.7%	7
2019	3.5%	0.26	-26.2%	4
2020	169.1%	2.47	-17.8%	7
2021	33.8%	1.40	-13.5%	6
2022	-29.5%	-2.59	-29.4%	6

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	63.5%	1.80	37%
hidden test	EXTREME	48	101.4%	2.89	28%
hidden test	HIGH VOLATILITY	254	8.2%	0.32	15%
hidden test	LOW VOLATILITY	433	27.5%	1.77	13%
hidden test	MEDIUM VOLATILITY	250	-4.3%	-0.21	16%
hidden test	NORMAL	806	3.5%	0.21	11%
hidden test	SIDEWAYS	293	-22.5%	-1.54	12%
hidden test	UPTREND	371	52.6%	1.81	27%
train	DOWNTREND	518	2.7%	0.88	1%
train	EXPENSIVE	311	14.2%	0.57	33%
train	EXTREME	100	230.5%	4.19	56%
train	HIGH VOLATILITY	699	23.1%	0.75	19%
train	LOW VOLATILITY	745	16.5%	1.26	24%
train	MEDIUM VOLATILITY	568	-2.8%	-0.19	10%
train	NORMAL	1,601	-0.4%	-0.03	13%
train	SIDEWAYS	592	-12.6%	-0.94	10%
train	UPTREND	902	36.5%	1.22	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	43.7%	1.52	27%
validation	EXTREME	144	171.0%	3.22	41%
validation	HIGH VOLATILITY	258	40.9%	1.04	17%
validation	LOW VOLATILITY	183	17.1%	1.15	24%
validation	MEDIUM VOLATILITY	315	42.0%	1.55	23%
validation	NORMAL	474	-7.9%	-0.46	13%
validation	SIDEWAYS	206	-8.0%	-0.93	3%
validation	UPTREND	425	67.2%	1.72	35%

Trades (full period)

81 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-13	2026-07-15	$394.76	$394.46	-2.43%	3
2026-07-08	2026-07-09	$394.06	$406.55	-1.91%	2
2026-05-28	2026-06-02	$442.10	$423.74	-4.61%	4
2026-05-14	2026-05-21	$443.30	$417.85	-5.18%	6
2025-12-12	2025-12-30	$458.96	$454.43	2.18%	12
2025-11-04	2025-11-05	$444.26	$462.07	-4.27%	2
2025-09-08	2025-10-06	$346.40	$453.25	17.65%	21
2025-08-25	2025-09-03	$346.60	$334.09	-2.65%	7
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-05-16	2025-06-03	$349.98	$344.27	-0.12%	12
2024-12-09	2024-12-24	$389.79	$462.28	8.42%	12
2024-10-28	2024-11-29	$262.51	$345.16	18.82%	24
2024-09-03	2024-10-04	$210.60	$250.08	9.86%	24
2024-08-22	2024-08-23	$210.66	$220.32	-4.67%	2
2024-06-25	2024-07-22	$187.35	$251.51	24.26%	19
2024-06-18	2024-06-21	$184.86	$183.01	-2.67%	3
2023-07-06	2023-07-07	$276.54	$274.43	-1.84%	2
2023-05-31	2023-06-27	$203.93	$250.21	15.56%	19
2023-04-03	2023-04-06	$194.77	$185.06	-8.66%	4
2023-02-10	2023-02-23	$196.89	$202.07	-2.53%	9
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-19	$306.56	$296.67	-1.83%	4
2022-08-02	2022-08-12	$300.59	$300.03	-2.97%	9
2022-04-05	2022-04-11	$363.75	$325.31	-8.58%	5
2022-01-13	2022-01-14	$343.85	$349.87	-5.55%	2
2022-01-04	2022-01-12	$383.20	$368.74	-9.23%	7
2021-10-13	2021-11-11	$270.36	$354.50	25.59%	22
2021-10-08	2021-10-11	$261.83	$263.98	-0.98%	2
2021-09-28	2021-10-07	$259.19	$264.54	-1.03%	8
2021-09-01	2021-09-21	$244.70	$246.46	-0.74%	14
2021-08-03	2021-08-17	$236.58	$221.90	-2.79%	11
2021-01-05	2021-01-25	$245.04	$293.60	12.64%	14
2020-12-18	2020-12-23	$231.67	$215.33	-1.99%	4
2020-11-19	2020-12-17	$166.42	$218.63	21.91%	20
2020-10-15	2020-10-20	$149.63	$140.65	-5.46%	4
2020-08-18	2020-09-08	$125.81	$110.07	11.19%	15
2020-07-02	2020-07-27	$80.58	$102.64	21.05%	17
2020-06-03	2020-06-25	$58.86	$65.73	7.16%	17
2019-12-17	2020-02-26	$25.27	$51.92	82.63%	48
2019-10-16	2019-11-21	$17.32	$23.66	28.53%	27
2019-09-12	2019-09-25	$16.39	$15.25	-7.91%	10
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2019-01-18	2019-01-22	$20.15	$19.93	-10.53%	2
2018-12-11	2018-12-18	$24.45	$22.47	-3.81%	6
2018-11-07	2018-11-21	$23.21	$22.55	1.39%	11
2018-08-03	2018-08-20	$23.21	$20.56	-10.18%	12
2018-06-12	2018-06-26	$22.85	$22.80	0.14%	11
2018-03-14	2018-03-15	$21.78	$21.71	-3.72%	2
2018-02-26	2018-03-02	$23.83	$22.34	-4.96%	5
2018-01-22	2018-02-05	$23.44	$22.21	-1.57%	11
2017-09-18	2017-09-25	$25.67	$23.00	-6.22%	6
2017-08-04	2017-08-22	$23.79	$22.76	-2.25%	13
2017-05-31	2017-06-27	$22.73	$24.16	9.88%	20
2017-05-15	2017-05-16	$21.06	$21.13	-2.36%	2
2017-05-02	2017-05-04	$21.26	$19.70	-3.09%	3
2017-03-28	2017-04-21	$18.50	$20.37	9.37%	18
2017-02-10	2017-02-22	$17.95	$18.23	2.29%	8
2016-12-28	2017-02-02	$14.65	$16.77	10.56%	25
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2016-04-04	2016-04-14	$16.47	$16.79	5.55%	9
2016-03-28	2016-04-01	$15.35	$15.84	0.55%	5
2015-12-30	2016-01-05	$15.87	$14.90	-4.79%	4
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.40%	13
2015-04-14	2015-05-22	$13.83	$16.52	13.35%	29
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-08-05	2014-08-25	$15.90	$17.50	5.95%	15
2014-06-23	2014-07-07	$15.81	$14.84	-0.24%	10
2014-02-11	2014-03-11	$13.11	$15.63	16.98%	20
2014-01-24	2014-02-06	$11.64	$11.89	-3.23%	10
2013-09-23	2013-10-04	$12.07	$12.07	-4.52%	10
2013-08-23	2013-09-10	$10.79	$11.09	1.70%	12
2013-07-30	2013-08-15	$8.78	$9.31	2.87%	13
2013-07-02	2013-07-17	$7.85	$8.02	-5.52%	11
2013-03-27	2013-06-04	$2.54	$6.32	107.06%	48
2013-01-24	2013-02-14	$2.47	$2.55	5.28%	16
2012-11-12	2012-12-14	$2.07	$2.25	8.50%	24
2012-08-23	2012-08-29	$2.05	$1.89	-3.50%	5
2012-03-28	2012-04-05	$2.52	$2.30	-6.33%	7
2012-03-14	2012-03-16	$2.35	$2.35	-2.58%	3
2012-02-23	2012-02-29	$2.30	$2.23	-1.11%	5