PriceMomentum_V1013

ARCHIVEDhybrid

llm1) Tightened entry into a multi-factor momentum gate: require ret_20d > 4%, breakout_20, positive sma_50_slope and rsi < 80 to reduce false starts. 2) Replaced single harsh exit with a safer composite: exit on 20d loss < -12%, or negative MACD plus a sharp 1d drop, or extreme RSI/drawdown to cap big losses. 3) Fixed regime gates to only allow UPTREND and non-bubble states, and exclude HIGH_VOLATILITY (allow LOW/MEDIUM only). 4) Added volatility-aware position sizing rules: full size in low vol & rising long-term trend, reduce sharply in high vol, and moderate size when very close to 52w highs. 5) Reduced base_position to 0.8 to make position sizing more conservative overall.

Fitness

0.0754

Generation

Complexity

Created

2026-10-01

Lineage

Parents (1)

PriceMomentum_V0971S0971 · gen 44ARCHIVEDllm

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1013  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and breakout_20 > 0.0 and sma_50_slope > 0.0 and rsi_14 < 80.0):
    position = 0.8
if long and (ret_20d < -0.12 or (macd_hist < 0.0 and ret_1d < -0.03) or (rsi_14 > 85.0 or drawdown > 0.15)):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.7%	-2.3%	7.0%	0.3%
Total Return	-13.1%	-6.6%	28.8%	4.5%
Sharpe	-0.17	-0.20	0.73	0.08
Sortino	-0.07	-0.08	0.21	0.03
Calmar	-0.09	-0.11	0.84	0.01
Volatility	8.4%	9.2%	10.0%	9.0%
Max DD	-20.4%	-21.2%	-8.4%	-24.6%
Win Rate	33.3%	14.3%	71.4%	38.5%
Avg Win	5.1%	25.1%	7.9%	8.5%
Avg Loss	-4.1%	-4.7%	-5.9%	-4.6%
Payoff	1.24	5.30	1.34	1.86
Expectancy	-1.0%	-0.5%	4.0%	0.5%
Profit Factor	0.62	0.88	3.36	1.16
Trades	12	7	7	26
Avg Holding Days	16.3	8.1	6.3	11.4
Turnover	2.4	3.7	3.0	2.8
Exposure	7.3%	5.3%	3.2%	5.8%

Growth of $100

PriceMomentum_V1013 vs TSLA Buy & Hold

PriceMomentum_V1013 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	-9.9%	-1.12	-14.9%	2
2017	9.5%	2.08	-0.7%	1
2018	-7.5%	-1.22	-7.5%	2
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	18.4%	1.35	-6.5%	3
2022	-21.2%	-2.64	-21.1%	4

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	17.4%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-1.0%	-0.11	1%
hidden test	LOW VOLATILITY	434	14.7%	1.72	4%
hidden test	MEDIUM VOLATILITY	251	2.8%	0.22	4%
hidden test	NORMAL	808	6.7%	0.65	4%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	18.4%	1.16	8%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	1.4%	0.86	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.0%	0.00	0%
train	LOW VOLATILITY	745	1.3%	0.12	17%
train	MEDIUM VOLATILITY	568	-6.8%	-0.81	4%
train	NORMAL	1,601	-2.0%	-0.22	9%
train	SIDEWAYS	592	-4.5%	-1.30	1%
train	UPTREND	902	-0.2%	-0.02	16%
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	0.0%	0.00	0%
validation	LOW VOLATILITY	183	0.1%	0.01	18%
validation	MEDIUM VOLATILITY	315	-4.5%	-0.39	2%
validation	NORMAL	474	-3.0%	-0.26	8%
validation	SIDEWAYS	206	-12.9%	-1.80	1%
validation	UPTREND	425	2.9%	0.26	9%

Trades (full period)

26 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2025-12-30	$475.31	$454.43	0.02%	11
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-02	2024-07-08	$231.26	$252.94	15.54%	4
2023-07-05	2023-07-21	$282.48	$260.02	-4.92%	13
2023-06-02	2023-06-12	$213.97	$249.83	13.85%	7
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
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	2022-04-11	$363.75	$325.31	-8.58%	5
2021-09-27	2021-10-26	$263.79	$339.48	25.12%	22
2021-09-08	2021-09-21	$251.29	$246.46	-2.56%	10
2021-08-05	2021-08-17	$238.21	$221.90	-2.92%	9
2018-12-06	2018-12-18	$24.20	$22.47	-2.64%	9
2018-02-01	2018-02-06	$23.28	$22.26	-4.95%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-30	$15.30	$14.09	-5.31%	26
2016-04-05	2016-05-04	$17.03	$14.84	-4.86%	22
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2015-05-12	2015-07-09	$16.32	$17.19	5.07%	41
2015-04-30	2015-05-01	$15.07	$15.07	-2.36%	2
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-24	2014-07-16	$15.50	$14.48	-6.09%	16
2012-11-29	2012-12-14	$2.25	$2.25	0.79%	12
2012-03-13	2012-04-05	$2.41	$2.30	-2.26%	18