PriceMomentum_V0945

REJECTEDhybrid

llm1) Replaced single ret_20d entry with an AND momentum+trend+volatility filter (ret_20d>4%, sma_50_slope>0, vol_pctile<0.7) to reduce false signals. 2) Expanded exit to OR of stronger stops (ret_20d<-2%, rsi>75, drawdown>8%, macd_hist<0) to cut losses and trim overbought/weak momentum. 3) Tightened regime gates: allow only UPTREND or SIDEWAYS, restrict bubble to NORMAL and exclude HIGH volatility regime at entry. 4) Added position scaling by volatility (LOW=1.0, MED=0.6, HIGH=0.25) and lowered base_position to 0.9 to reduce risk and drawdown. | rejected: fitness 0.024 below threshold

Fitness

0.0235

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

PriceMomentum_V0828S0828 · gen 38ARCHIVEDllm

logic of PriceMomentum_V0567 with risk overlay of PriceMomentum_V0730

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0945  [hybrid]
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 sma_50_slope > 0.0 and vol_pctile < 0.7):
    position = 0.9
if long and (ret_20d < -0.02 or rsi_14 > 75.0 or drawdown > 0.08 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.6%	-10.6%	—	—
Total Return	-11.8%	-28.6%	—	—
Sharpe	-0.05	-0.71	—	—
Sortino	-0.02	-0.33	—	—
Calmar	-0.04	-0.25	—	—
Volatility	13.8%	14.4%	—	—
Max DD	-37.4%	-42.2%	—	—
Win Rate	44.7%	45.5%	—	—
Avg Win	3.0%	2.6%	—	—
Avg Loss	-2.6%	-3.8%	—	—
Payoff	1.17	0.68	—	—
Expectancy	-0.1%	-0.9%	—	—
Profit Factor	0.94	0.56	—	—
Trades	76	33	—	—
Avg Holding Days	3.9	3.3	—	—
Turnover	17.1	19.8	—	—
Exposure	9.8%	9.2%	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

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)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded