PriceMomentum_V0902

ARCHIVEDhybrid

llmSimplified redundant momentum checks; require 20d momentum > 6% and moderate trailing-year cumulative return to avoid deeply broken names. Added multiple entry pathways: 200SMA crossover + positive 200 slope, 20-day breakout, or positive MACD histogram to capture robust momentum. Replaced harsh single deep-loss exit with a graded exit: small 20d stop (-5%), or close below sma_50, or portfolio drawdown breach (15%). Added regime gating to only trade in UPTREND and non-HIGH volatility, and only in NORMAL bubble regime to reduce false signals. Introduced volatility-based position sizing (reduce size in very high vol, full size in low vol, medium size otherwise) and lowered base_position to 0.8 for conservatism.

Fitness

0.1171

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

PriceMomentum_V0541S0541 · gen 25ARCHIVEDllm

logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0902  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.06 and cumret_252d > -0.15 and ((close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.5 or macd_hist > 0.0)):
    position = 0.8
if long and (ret_20d < -0.05 or close < sma_50 or drawdown > 0.15):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.3%	-2.5%	-0.1%	-0.7%
Total Return	-2.4%	-7.4%	-0.5%	-10.0%
Sharpe	0.03	-0.09	0.06	0.01
Sortino	0.02	-0.04	0.02	0.00
Calmar	-0.01	-0.07	-0.01	-0.02
Volatility	11.3%	15.0%	14.5%	13.0%
Max DD	-23.5%	-38.5%	-24.6%	-39.6%
Win Rate	40.0%	25.0%	50.0%	40.0%
Avg Win	5.2%	19.0%	6.5%	7.4%
Avg Loss	-3.5%	-6.3%	-6.0%	-4.8%
Payoff	1.51	2.99	1.09	1.55
Expectancy	0.0%	-0.0%	0.3%	0.1%
Profit Factor	1.01	1.00	1.09	1.03
Trades	20	8	12	40
Avg Holding Days	14.7	12.9	7.9	12.3
Turnover	4.0	4.3	5.2	4.4
Exposure	10.9%	10.1%	7.1%	9.7%

Growth of $100

PriceMomentum_V0902 vs TSLA Buy & Hold

PriceMomentum_V0902 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	-7.5%	-0.83	-12.6%	3
2017	9.7%	2.04	-0.9%	2
2018	-11.5%	-1.76	-11.4%	2
2019	4.6%	0.58	-7.1%	2
2020	0.0%	0.00	0.0%	0
2021	28.9%	1.33	-18.2%	3
2022	-28.2%	-2.04	-30.3%	5

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	274	0.0%	0.00	0%
hidden test	EXPENSIVE	83	34.0%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-25.0%	-1.69	1%
hidden test	LOW VOLATILITY	434	10.4%	0.85	10%
hidden test	MEDIUM VOLATILITY	250	10.7%	0.62	9%
hidden test	NORMAL	807	-2.4%	-0.16	8%
hidden test	SIDEWAYS	293	-13.5%	-1.23	1%
hidden test	UPTREND	371	13.0%	0.63	17%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.5%	0.59	0%
train	LOW VOLATILITY	745	8.5%	0.59	24%
train	MEDIUM VOLATILITY	568	-15.5%	-1.45	6%
train	NORMAL	1,601	-0.9%	-0.08	13%
train	SIDEWAYS	592	-4.3%	-1.24	1%
train	UPTREND	902	3.6%	0.22	24%
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	-6.5%	-0.66	1%
validation	LOW VOLATILITY	183	13.3%	1.02	26%
validation	MEDIUM VOLATILITY	315	-5.8%	-0.30	9%
validation	NORMAL	474	-2.3%	-0.12	16%
validation	SIDEWAYS	206	-23.9%	-1.85	2%
validation	UPTREND	425	9.1%	0.51	17%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
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
2025-09-04	2025-09-05	$338.53	$350.84	0.90%	2
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-10-03	2024-10-14	$240.66	$219.16	-10.21%	8
2024-09-23	2024-09-27	$250.00	$260.46	5.19%	5
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-07-03	2024-07-12	$246.39	$248.23	3.32%	7
2023-06-05	2023-08-02	$217.61	$254.11	17.47%	41
2022-09-21	2022-09-23	$300.80	$275.33	-5.39%	3
2022-08-16	2022-08-22	$306.56	$289.91	-3.44%	5
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2022-01-12	2022-01-13	$368.74	$343.85	2.98%	2
2021-11-23	2021-12-01	$369.68	$365.00	-0.96%	6
2021-08-24	2021-11-10	$236.16	$355.98	34.93%	56
2021-08-05	2021-08-23	$238.21	$235.43	-3.57%	13
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2019-10-21	2019-10-22	$16.90	$17.04	-1.23%	2
2018-12-07	2018-12-20	$23.86	$21.03	-6.79%	10
2018-02-01	2018-02-06	$23.28	$22.26	-4.95%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-29	$15.30	$14.35	-3.63%	25
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
2015-05-11	2015-07-28	$15.97	$17.65	5.51%	55
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-08-05	2014-09-23	$15.90	$16.69	3.86%	35
2014-06-23	2014-07-17	$15.81	$14.36	-4.44%	18
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-15	2013-02-22	$2.47	$2.41	-6.61%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-18	2013-01-14	$2.31	$2.22	-3.60%	18
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-02-23	2012-04-10	$2.30	$2.16	-2.46%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2