PriceMomentum_V0925

ARCHIVEDhybrid

llmMade structural improvements: narrowed regime gates to only UPTREND and non-high volatility and normal bubble to avoid invalid/no-trade regimes; simplified and diversified entry signals into two robust arms (volume+momentum and SMA50 trend-follow + MACD confirmation); strengthened exits to include short-term deterioration (5d and 20d drops) and SMA50 crossover for faster exits; added volatility-based position sizing (increase in low vol, reduce in high vol and on rising vol); reduced base position to 0.6 to lower risk and overfitting.

Fitness

0.1499

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

PriceMomentum_V0826S0826 · gen 38ARCHIVEDllm

entry from PriceMomentum_V0563, exit from PriceMomentum_V0640

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0925  [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 rsi_14 > 45.0 and rsi_14 < 85.0) or (close > sma_50 and sma_50_slope > 0.0 and macd_hist > 0.0 and ret_20d > 0.03 and cumret_252d > -0.5)):
    position = 0.6
if long and (ret_5d < -0.03 or ret_20d < -0.02 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.2%	2.4%	5.4%	1.7%
Total Return	-1.5%	7.4%	21.6%	28.5%
Sharpe	0.01	0.33	0.66	0.26
Sortino	0.00	0.16	0.25	0.11
Calmar	-0.01	0.12	0.49	0.09
Volatility	7.3%	8.2%	8.4%	7.8%
Max DD	-13.9%	-19.6%	-10.9%	-19.6%
Win Rate	39.1%	14.3%	58.3%	40.5%
Avg Win	3.4%	32.1%	4.6%	5.6%
Avg Loss	-2.2%	-3.4%	-2.3%	-2.5%
Payoff	1.55	9.48	1.99	2.23
Expectancy	-0.0%	1.7%	1.7%	0.8%
Profit Factor	1.00	1.58	2.79	1.52
Trades	23	7	12	42
Avg Holding Days	9.1	10.6	5.5	8.3
Turnover	3.5	2.8	3.9	3.4
Exposure	5.6%	5.3%	3.5%	5.0%

Growth of $100

PriceMomentum_V0925 vs TSLA Buy & Hold

PriceMomentum_V0925 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%	0.13	-4.0%	3
2017	7.2%	2.04	-0.6%	2
2018	-5.6%	-1.22	-5.6%	2
2019	-0.9%	-1.07	-0.9%	1
2020	0.0%	0.00	0.0%	0
2021	29.2%	2.12	-3.5%	2
2022	-16.9%	-2.76	-16.9%	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	12.9%	1.69	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-5.9%	-0.69	1%
hidden test	LOW VOLATILITY	434	8.2%	1.01	4%
hidden test	MEDIUM VOLATILITY	250	12.7%	1.42	5%
hidden test	NORMAL	807	5.2%	0.59	4%
hidden test	SIDEWAYS	293	-1.5%	-1.39	0%
hidden test	UPTREND	371	15.3%	1.14	8%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.2%	1.41	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.5%	0.22	0%
train	LOW VOLATILITY	745	4.0%	0.48	13%
train	MEDIUM VOLATILITY	568	-6.8%	-0.98	3%
train	NORMAL	1,601	-0.3%	-0.04	7%
train	SIDEWAYS	592	-3.2%	-1.23	1%
train	UPTREND	902	2.3%	0.21	12%
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	7.1%	0.81	16%
validation	MEDIUM VOLATILITY	315	2.4%	0.22	3%
validation	NORMAL	474	4.3%	0.42	8%
validation	SIDEWAYS	206	-9.6%	-1.80	1%
validation	UPTREND	425	9.5%	0.92	9%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-0.98%	2
2025-12-12	2025-12-30	$458.96	$454.43	1.68%	12
2025-09-12	2025-09-15	$395.94	$410.04	4.29%	2
2025-06-02	2025-06-04	$342.69	$332.05	-0.50%	3
2025-05-22	2025-05-27	$341.04	$362.89	0.73%	3
2024-10-03	2024-10-04	$240.66	$250.08	-2.13%	2
2024-09-23	2024-09-27	$250.00	$260.46	3.88%	5
2024-09-16	2024-09-20	$226.78	$238.25	3.45%	5
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-07-02	2024-07-12	$231.26	$248.23	8.84%	8
2023-07-06	2023-07-12	$276.54	$271.99	-2.83%	5
2023-06-02	2023-06-27	$213.97	$250.21	9.52%	17
2022-09-20	2022-09-23	$308.73	$275.33	-4.12%	4
2022-08-16	2022-08-22	$306.56	$289.91	-2.59%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.10%	2
2022-04-08	2022-04-11	$341.83	$325.31	-1.92%	2
2022-04-05	2022-04-07	$363.75	$352.42	-5.38%	3
2021-09-01	2021-11-09	$244.70	$341.17	32.06%	49
2021-08-05	2021-08-17	$238.21	$221.90	-2.18%	9
2019-10-21	2019-10-22	$16.90	$17.04	-0.93%	2
2018-12-06	2018-12-18	$24.20	$22.47	-1.96%	9
2018-02-01	2018-02-06	$23.28	$22.26	-3.73%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.10%	4
2017-01-05	2017-01-25	$15.12	$16.96	7.04%	14
2016-07-26	2016-08-18	$15.30	$14.90	-1.87%	18
2016-06-08	2016-06-09	$15.70	$15.29	0.70%	2
2016-04-05	2016-04-14	$17.03	$16.79	1.76%	8
2015-08-06	2015-08-07	$16.41	$16.17	-5.45%	2
2015-07-21	2015-07-27	$17.78	$16.87	-3.71%	5
2015-05-11	2015-07-09	$15.97	$17.19	4.61%	42
2015-04-29	2015-05-01	$15.50	$15.07	-1.27%	3
2014-08-05	2014-09-16	$15.90	$17.38	3.93%	30
2014-06-23	2014-07-03	$15.81	$15.28	-0.11%	9
2013-03-26	2013-04-02	$2.52	$2.96	10.06%	5
2013-02-19	2013-02-22	$2.62	$2.41	-3.05%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2012-12-19	2012-12-31	$2.31	$2.26	-2.50%	8
2012-11-23	2012-12-14	$2.14	$2.25	2.04%	16
2012-03-27	2012-04-05	$2.53	$2.30	-3.91%	8
2012-03-12	2012-03-21	$2.40	$2.34	0.28%	8
2012-02-23	2012-02-28	$2.30	$2.25	-1.17%	4
2012-02-21	2012-02-22	$2.30	$2.28	-0.93%	2