PriceMomentum_V1046
REJECTEDhybridllmSimplified and regularized entry: require solid 20d momentum, positive 50-day slope, and either a 50-day cross or 20-day breakout; avoid overbought (RSI<75) and extreme volatility (vol_pctile<0.85). Tightened multi-factor exit (20d loss, drawdown, or extreme RSI). Added regime gates to avoid high-volatility and bubble regimes (allow only UPTREND/SIDEWAYS and LOW/MEDIUM volatility, bubble NORMAL). Reduced base position and added volatility-based scaling rules to cut size in elevated volatility. Aim: reduce overfitting, improve robustness and risk control while keeping momentum bias. | rejected: stage1: sharpe -0.55 below screen
Lineage
Parents (1)
swapped indicator ret_20d -> ret_60d
Strategy Logic (pseudocode)
# PriceMomentum_V1046 [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 > 0.08 and sma_50_slope > 0.0 and (close > sma_50 or breakout_20 > 0.0) and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 0.8
if long and (ret_20d < -0.08 or drawdown < -0.08 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
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 |