PriceMomentum_V0990

ARCHIVEDhybrid

llm1) Added regime gates: only trade in UPTREND, MEDIUM_VOLATILITY, bubble NORMAL to avoid bad regimes. 2) Broadened entry: ret_20d > 3% + breakout_50, and require positive sma_50_slope and RSI < 70 to avoid overbought/bad momentum. 3) Strengthened exits: added 20d and 1d stops, macd_hist reversal exit, and a trailing drawdown exit to limit large losses. 4) Introduced volatility-scaled position sizing via vol_pctile (full size in low vol, reduced in high vol, medium size otherwise). 5) Reduced base_position to 0.7 to lower risk and drawdown.

Fitness

0.5189

Generation

Complexity

Created

2026-10-01

Lineage

Parents (1)

PriceMomentum_V0817S0817 · gen 37ARCHIVEDllm

added exit filter: ret_20d < -0.025

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0990  [hybrid]
if flat and (ret_20d > 0.03 and breakout_50 == 1 and sma_50_slope > 0.0 and rsi_14 < 70.0):
    position = 0.7
if long and (ret_20d < -0.05 or ret_1d < -0.07 or macd_hist < 0.0 or drawdown > 0.06):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	8.0%	46.6%	8.5%	15.3%
Total Return	85.5%	215.0%	35.6%	708.5%
Sharpe	0.58	1.71	0.73	0.93
Sortino	0.43	1.21	0.38	0.62
Calmar	0.22	3.49	0.68	0.42
Volatility	15.2%	24.0%	12.2%	16.8%
Max DD	-36.2%	-13.4%	-12.6%	-36.2%
Win Rate	40.0%	57.1%	55.6%	47.2%
Avg Win	11.1%	17.3%	9.1%	13.5%
Avg Loss	-3.3%	-1.4%	-3.0%	-2.8%
Payoff	3.36	10.00	3.04	4.73
Expectancy	2.5%	9.3%	3.7%	4.9%
Profit Factor	2.24	10.00	3.80	4.23
Trades	30	14	9	53
Avg Holding Days	9.3	10.9	8.3	9.8
Turnover	5.3	6.5	3.4	5.0
Exposure	9.1%	12.9%	4.9%	8.8%

Growth of $100

PriceMomentum_V0990 vs TSLA Buy & Hold

PriceMomentum_V0990 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	-0.1%	-1.42	-0.1%	1
2017	0.3%	0.08	-6.6%	5
2018	-23.4%	-1.94	-23.9%	8
2019	38.7%	2.07	-3.2%	1
2020	151.9%	2.71	-13.1%	7
2021	23.7%	1.20	-12.0%	6
2022	-1.6%	-1.71	-1.6%	1

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	275	0.0%	0.00	0%
hidden test	EXPENSIVE	83	42.7%	1.45	28%
hidden test	EXTREME	48	53.2%	2.46	12%
hidden test	HIGH VOLATILITY	254	11.4%	0.64	7%
hidden test	LOW VOLATILITY	434	8.0%	0.99	5%
hidden test	MEDIUM VOLATILITY	251	7.8%	0.70	3%
hidden test	NORMAL	808	2.8%	0.37	2%
hidden test	SIDEWAYS	293	-3.6%	-1.38	1%
hidden test	UPTREND	371	25.3%	1.32	11%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	15.6%	0.96	16%
train	EXTREME	100	187.0%	3.92	43%
train	HIGH VOLATILITY	699	23.5%	1.05	12%
train	LOW VOLATILITY	745	3.2%	0.40	9%
train	MEDIUM VOLATILITY	568	-1.7%	-0.16	6%
train	NORMAL	1,601	-3.6%	-0.38	6%
train	SIDEWAYS	592	-6.4%	-0.90	4%
train	UPTREND	902	24.0%	1.09	18%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	51.3%	2.14	18%
validation	EXTREME	144	142.9%	3.23	23%
validation	HIGH VOLATILITY	258	44.4%	1.36	9%
validation	LOW VOLATILITY	183	17.2%	1.63	18%
validation	MEDIUM VOLATILITY	315	52.3%	2.47	13%
validation	NORMAL	474	7.2%	0.59	8%
validation	SIDEWAYS	206	-0.2%	-1.57	0%
validation	UPTREND	425	73.2%	2.29	23%

Trades (full period)

53 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-16	2025-12-30	$489.88	$454.43	-2.39%	10
2025-11-04	2025-11-05	$444.26	$462.07	-3.74%	2
2025-10-29	2025-10-30	$461.51	$440.10	0.01%	2
2025-09-12	2025-10-06	$395.94	$453.25	11.37%	17
2025-08-27	2025-09-03	$349.60	$334.09	-4.60%	5
2024-12-05	2024-12-06	$369.49	$389.22	2.12%	2
2024-12-03	2024-12-04	$351.42	$357.93	-1.25%	2
2024-10-28	2024-11-29	$262.51	$345.16	16.50%	24
2024-06-27	2024-07-12	$197.42	$248.23	15.58%	11
2022-08-16	2022-08-19	$306.56	$296.67	-1.60%	4
2021-10-13	2021-11-10	$270.36	$355.98	18.67%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.86%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.62%	9
2021-09-01	2021-09-21	$244.70	$246.46	-0.63%	14
2021-08-03	2021-08-17	$236.58	$221.90	-2.43%	11
2021-01-04	2021-01-12	$243.26	$283.15	10.33%	7
2020-12-18	2020-12-23	$231.67	$215.33	-1.72%	4
2020-11-19	2020-12-17	$166.42	$218.63	19.05%	20
2020-08-17	2020-09-04	$122.38	$139.44	16.24%	15
2020-07-01	2020-07-27	$74.64	$102.64	21.47%	18
2020-06-01	2020-06-02	$59.87	$58.77	5.15%	2
2020-05-22	2020-05-26	$54.46	$54.59	-1.05%	2
2019-12-13	2020-02-06	$23.89	$49.93	66.86%	37
2019-10-16	2019-11-21	$17.32	$23.66	24.73%	27
2018-12-11	2018-12-18	$24.45	$22.47	-3.32%	6
2018-12-07	2018-12-10	$23.86	$24.34	-1.12%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.10%	2
2018-11-08	2018-11-21	$23.43	$22.55	-0.22%	10
2018-08-08	2018-08-20	$24.69	$20.56	-14.10%	9
2018-06-12	2018-06-26	$22.85	$22.80	0.16%	11
2018-02-27	2018-03-02	$23.40	$22.34	-5.36%	4
2018-01-22	2018-02-05	$23.44	$22.21	-1.37%	11
2017-09-18	2017-09-25	$25.67	$23.00	-5.46%	6
2017-05-31	2017-06-27	$22.73	$24.16	8.62%	20
2017-05-11	2017-05-12	$21.54	$21.65	-0.60%	2
2017-05-01	2017-05-04	$21.52	$19.70	-0.80%	4
2017-04-26	2017-04-27	$20.68	$20.58	-0.95%	2
2016-01-04	2016-01-06	$14.89	$14.60	-4.97%	3
2015-07-21	2015-07-22	$17.78	$17.86	-3.98%	2
2015-07-02	2015-07-09	$18.67	$17.19	-3.79%	5
2015-05-06	2015-05-22	$15.36	$16.52	3.65%	13
2014-08-28	2014-08-29	$17.59	$17.98	0.02%	2
2014-08-26	2014-08-27	$17.45	$17.55	-0.36%	2
2014-06-30	2014-07-07	$16.00	$14.84	-3.01%	5
2014-02-10	2014-03-11	$13.10	$15.63	19.17%	21
2014-01-31	2014-02-06	$12.09	$11.89	-3.37%	5
2013-08-23	2013-09-10	$10.79	$11.09	1.50%	12
2013-07-30	2013-08-15	$8.78	$9.31	2.61%	13
2013-04-17	2013-06-04	$3.03	$6.32	66.43%	34
2013-01-24	2013-02-14	$2.47	$2.55	4.62%	16
2012-11-20	2012-12-14	$2.20	$2.25	1.38%	18
2012-03-27	2012-04-05	$2.53	$2.30	-4.58%	8
2012-03-13	2012-03-16	$2.41	$2.35	-2.10%	4