PriceMomentum_V0900
REJECTEDmomentumllmAdded trend filter (sma_50_slope>0) and loosened ret_20d/rel_volume thresholds for more entries in true uptrends; tightened stop-loss (ret_20d<-8%) and added momentum/profit exits (macd_hist<0 and profit take ret_20d>18%); added regime gates to avoid DOWNTREND and HIGH_VOLATILITY and to require NORMAL bubble; introduced position scaling: go to cash if bubble=EXPENSIVE, reduce size in MEDIUM_VOLATILITY, and trim exposure near 52w highs. Reduced base_position to 0.8 to lower max drawdown risk. | rejected: stage1: sharpe -0.73 below screen
Lineage
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Strategy Logic (pseudocode)
# PriceMomentum_V0900 [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 > 0.04 and rel_volume > 1.2 and sma_50_slope > 0.0):
position = 0.8
if long and (ret_20d < -0.08 or macd_hist < 0.0 or ret_20d > 0.18 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest 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 | 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 | ||||||