PriceMomentum_V1091

ARCHIVEDhybrid

llmReplaced redundant ret_20d checks with a multi-factor momentum entry (ret_20d, sma_50_slope, macd_hist, price above SMA50) to reduce overfitting and require trend alignment. Broadened entry threshold to 0.08. Improved exits to include trailing momentum and price deterioration (ret_20d < -7%, macd_hist < 0, price dropping below SMA50) for clearer stop conditions. Added sensible regime gates: allow only UPTREND/SIDEWAYS and restrict to NORMAL bubble to avoid bubble regimes. Introduced volatility scaling: full size in LOW, reduced in MEDIUM, and small size in HIGH volatility; lowered base position to 0.8 to reduce overall leverage/exposure.

Fitness

0.1885

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V0978S0978 · gen 44ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.0091; reduce exposure to 62% during MEDIUM_VOLATILITY

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1091  [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 macd_hist > 0.0 and dist_sma_50 > 0.0):
    position = 0.8
if long and (ret_20d < -0.07 or macd_hist < 0.0 or dist_sma_50 < -0.02):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.0%	1.9%	6.1%	3.6%
Total Return	26.9%	5.8%	24.7%	67.4%
Sharpe	0.34	0.25	0.59	0.39
Sortino	0.16	0.11	0.27	0.18
Calmar	0.14	0.12	0.43	0.17
Volatility	10.5%	9.3%	11.0%	10.4%
Max DD	-21.5%	-15.5%	-14.1%	-21.5%
Win Rate	43.5%	14.3%	41.7%	38.1%
Avg Win	6.4%	21.6%	9.6%	8.4%
Avg Loss	-2.8%	-2.3%	-3.2%	-2.8%
Payoff	2.29	9.48	2.98	3.00
Expectancy	1.2%	1.1%	2.1%	1.5%
Profit Factor	1.76	1.58	2.13	1.84
Trades	23	7	12	42
Avg Holding Days	8.2	8.7	6.2	7.7
Turnover	4.4	3.1	4.5	4.2
Exposure	6.3%	4.6%	4.9%	5.6%

Growth of $100

PriceMomentum_V1091 vs TSLA Buy & Hold

PriceMomentum_V1091 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	1.0%	0.20	-5.6%	3
2017	12.9%	2.13	-0.9%	2
2018	-3.8%	-0.73	-6.2%	3
2019	-4.6%	-0.15	-18.0%	3
2020	0.0%	0.00	0.0%	0
2021	14.8%	0.99	-8.3%	4
2022	-7.9%	-1.47	-7.9%	3

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	277	0.0%	0.00	0%
hidden test	EXPENSIVE	83	34.1%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-8.2%	-1.43	0%
hidden test	LOW VOLATILITY	436	8.7%	0.66	9%
hidden test	MEDIUM VOLATILITY	251	17.5%	1.63	2%
hidden test	NORMAL	810	4.1%	0.37	5%
hidden test	SIDEWAYS	293	-12.5%	-1.82	5%
hidden test	UPTREND	371	26.4%	1.61	9%
train	DOWNTREND	518	-0.3%	-0.79	0%
train	EXPENSIVE	311	2.3%	1.18	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.9%	0.37	0%
train	LOW VOLATILITY	745	6.6%	0.66	15%
train	MEDIUM VOLATILITY	568	-2.1%	-0.33	2%
train	NORMAL	1,601	4.0%	0.34	8%
train	SIDEWAYS	592	-7.6%	-0.78	5%
train	UPTREND	902	13.0%	0.97	11%
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	-5.7%	-1.00	0%
validation	LOW VOLATILITY	183	5.5%	0.62	12%
validation	MEDIUM VOLATILITY	315	7.0%	0.60	4%
validation	NORMAL	474	3.7%	0.31	7%
validation	SIDEWAYS	206	-2.3%	-0.49	2%
validation	UPTREND	425	5.2%	0.44	7%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-28	2026-06-02	$442.10	$423.74	-4.61%	4
2026-05-14	2026-05-21	$443.30	$417.85	-5.18%	6
2025-12-15	2025-12-30	$475.31	$454.43	0.02%	11
2025-09-08	2025-09-15	$346.40	$410.04	10.06%	6
2025-08-27	2025-09-03	$349.60	$334.09	-5.25%	5
2025-06-02	2025-06-03	$342.69	$344.27	-0.62%	2
2025-05-22	2025-05-28	$341.04	$356.90	6.10%	4
2024-10-03	2024-10-04	$240.66	$250.08	-1.71%	2
2024-09-06	2024-09-09	$210.73	$216.27	-4.15%	2
2024-06-27	2024-07-12	$197.42	$248.23	16.39%	11
2023-07-06	2023-07-07	$276.54	$274.43	-1.10%	2
2023-05-31	2023-06-27	$203.93	$250.21	15.56%	19
2022-08-16	2022-08-19	$306.56	$296.67	-1.10%	4
2022-08-02	2022-08-12	$300.59	$300.03	-1.73%	9
2022-04-05	2022-04-11	$363.75	$325.31	-5.20%	5
2021-10-13	2021-11-10	$270.36	$355.98	21.58%	21
2021-09-28	2021-10-07	$259.19	$264.54	-1.03%	8
2021-09-15	2021-09-21	$251.94	$246.46	-1.68%	5
2021-08-05	2021-08-17	$238.21	$221.90	-2.92%	9
2019-10-23	2019-10-25	$16.98	$21.88	13.63%	3
2019-09-13	2019-09-25	$16.35	$15.25	-7.54%	9
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2018-12-13	2018-12-18	$25.12	$22.47	-1.66%	4
2018-03-14	2018-03-15	$21.78	$21.71	-2.23%	2
2018-01-29	2018-02-05	$23.30	$22.21	0.06%	6
2017-01-31	2017-02-02	$16.80	$16.77	-0.60%	3
2016-12-28	2017-01-25	$14.65	$16.96	12.43%	19
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2016-04-04	2016-04-14	$16.47	$16.79	4.57%	9
2016-03-28	2016-04-01	$15.35	$15.84	0.33%	5
2015-06-24	2015-07-09	$17.68	$17.19	-3.92%	11
2015-04-29	2015-05-22	$15.50	$16.52	5.08%	18
2015-04-14	2015-04-21	$13.83	$13.96	-1.88%	6
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-08-06	2014-08-25	$16.60	$17.50	5.96%	14
2014-06-23	2014-07-07	$15.81	$14.84	-0.24%	10
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-13	2012-12-14	$2.11	$2.25	6.39%	23
2012-03-28	2012-04-05	$2.52	$2.30	-3.80%	7
2012-03-14	2012-03-16	$2.35	$2.35	-2.58%	3
2012-02-23	2012-02-29	$2.30	$2.23	-1.11%	5