PriceMomentum_V1098

ARCHIVEDhybrid

llmAdded trend and low-volatility regime gating; broadened breakout signal to include breakout_20 and added volume surge + positive 50-day slope to avoid false breakouts; tightened entry momentum threshold slightly; replaced weak single-point exit with multi-condition exit (hard stop, MACD+overbought filter, and 20-day SMA reversion) to reduce large drawdowns; introduced volatility-based position sizing (reduce size in high vol, full size in low vol); lowered base position to 0.6 to reduce risk.

Fitness

0.4450

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V0677S0677 · gen 31ARCHIVEDllm

added entry filter: breakout_50 == 1

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1098  [hybrid]
if flat and (ret_20d > 0.04 and (breakout_50 == 1 or breakout_20 == 1) and sma_50_slope > 0.0 and rel_volume > 1.2):
    position = 0.6
if long and (ret_20d < -0.03 or (macd_hist < 0.0 and rsi_14 > 65.0) or dist_sma_20 < -0.06):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	12.2%	29.6%	11.3%	15.4%
Total Return	150.0%	117.9%	49.3%	727.7%
Sharpe	0.78	1.19	0.84	0.90
Sortino	0.66	0.92	0.47	0.66
Calmar	0.36	1.40	0.73	0.45
Volatility	16.4%	24.4%	14.0%	17.8%
Max DD	-34.1%	-21.2%	-15.5%	-34.1%
Win Rate	53.6%	60.0%	62.5%	56.5%
Avg Win	11.2%	18.3%	11.7%	13.3%
Avg Loss	-4.3%	-5.0%	-4.8%	-4.5%
Payoff	2.59	3.69	2.43	2.95
Expectancy	4.0%	9.0%	5.5%	5.6%
Profit Factor	2.99	5.54	4.05	3.83
Trades	28	10	8	46
Avg Holding Days	19.5	25.4	18.8	20.9
Turnover	4.3	4.0	2.6	3.8
Exposure	15.7%	19.4%	9.1%	14.8%

Growth of $100

PriceMomentum_V1098 vs TSLA Buy & Hold

PriceMomentum_V1098 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%	0.04	-4.1%	1
2017	14.3%	1.08	-10.5%	7
2018	-14.6%	-1.14	-20.0%	3
2019	20.5%	1.13	-13.8%	2
2020	91.3%	1.95	-21.2%	5
2021	29.3%	1.56	-10.7%	3
2022	-12.2%	-1.23	-13.1%	2

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	50.3%	2.55	20%
hidden test	EXTREME	48	81.6%	3.01	20%
hidden test	HIGH VOLATILITY	254	10.8%	0.62	9%
hidden test	LOW VOLATILITY	436	22.5%	1.96	10%
hidden test	MEDIUM VOLATILITY	251	-6.2%	-0.44	8%
hidden test	NORMAL	810	3.6%	0.30	7%
hidden test	SIDEWAYS	293	-4.0%	-0.63	5%
hidden test	UPTREND	371	32.8%	1.53	19%
train	DOWNTREND	518	2.5%	0.70	1%
train	EXPENSIVE	311	18.2%	0.87	35%
train	EXTREME	100	232.2%	5.46	50%
train	HIGH VOLATILITY	699	29.5%	1.31	15%
train	LOW VOLATILITY	745	9.4%	0.89	19%
train	MEDIUM VOLATILITY	568	-3.4%	-0.25	12%
train	NORMAL	1,601	-1.9%	-0.17	10%
train	SIDEWAYS	592	-8.1%	-0.91	5%
train	UPTREND	902	32.5%	1.40	31%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	19.8%	0.72	22%
validation	EXTREME	144	103.3%	2.48	34%
validation	HIGH VOLATILITY	258	12.2%	0.36	18%
validation	LOW VOLATILITY	183	22.8%	2.03	23%
validation	MEDIUM VOLATILITY	315	46.2%	2.25	18%
validation	NORMAL	474	9.0%	0.64	14%
validation	SIDEWAYS	206	-4.9%	-0.63	5%
validation	UPTREND	425	53.8%	1.68	32%

Trades (full period)

46 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2026-01-07	$475.31	$431.41	-3.43%	16
2025-09-12	2025-10-07	$395.94	$433.09	13.32%	18
2024-12-12	2024-12-26	$418.10	$454.13	5.35%	10
2024-11-07	2024-12-03	$296.91	$351.42	13.95%	18
2024-09-06	2024-10-14	$210.73	$219.16	-2.98%	27
2024-06-18	2024-07-25	$184.86	$220.25	9.46%	26
2023-06-01	2023-07-03	$207.52	$279.82	16.32%	22
2023-04-03	2023-04-20	$194.77	$162.99	-8.00%	13
2022-08-02	2022-08-29	$300.59	$284.82	-1.82%	20
2022-01-04	2022-01-20	$383.20	$332.09	-10.53%	12
2021-09-28	2021-12-01	$259.19	$365.00	25.58%	46
2021-08-03	2021-09-27	$236.58	$263.79	5.42%	39
2021-01-11	2021-01-25	$270.40	$293.60	-2.30%	10
2020-11-19	2020-12-31	$166.42	$235.22	24.31%	29
2020-08-18	2020-09-09	$125.81	$122.09	-5.17%	16
2020-07-06	2020-08-10	$91.44	$94.57	12.34%	26
2020-06-09	2020-07-01	$62.71	$74.64	8.20%	17
2019-12-17	2020-02-28	$25.27	$44.53	43.98%	50
2019-09-12	2019-11-21	$16.39	$23.66	24.39%	51
2019-07-25	2019-08-06	$15.25	$15.38	-8.36%	9
2018-12-06	2018-12-19	$24.20	$22.20	-3.88%	10
2018-08-03	2018-08-20	$23.21	$20.56	-7.60%	12
2018-06-12	2018-07-05	$22.85	$20.61	-3.80%	17
2017-09-19	2017-09-29	$25.01	$22.74	-7.33%	9
2017-08-04	2017-09-07	$23.79	$23.37	-0.48%	24
2017-06-01	2017-06-27	$22.69	$24.16	6.24%	19
2017-05-02	2017-05-24	$21.26	$20.68	-3.56%	17
2017-03-28	2017-04-26	$18.50	$20.68	9.40%	21
2017-02-10	2017-02-22	$17.95	$18.23	1.74%	8
2016-12-28	2017-02-02	$14.65	$16.77	7.86%	25
2016-04-05	2016-04-14	$17.03	$16.79	1.76%	8
2015-06-24	2015-07-28	$17.68	$17.65	-3.26%	24
2015-06-18	2015-06-19	$17.46	$17.50	0.22%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.19%	2
2015-05-06	2015-05-22	$15.36	$16.52	3.13%	13
2014-09-02	2014-09-12	$18.94	$18.61	2.28%	9
2014-08-07	2014-08-25	$16.83	$17.50	1.79%	13
2014-06-24	2014-07-17	$15.50	$14.36	-5.19%	17
2014-02-11	2014-03-25	$13.11	$14.70	7.41%	30
2013-09-23	2013-10-22	$12.07	$11.44	-3.48%	22
2013-07-02	2013-09-20	$7.85	$12.23	29.66%	57
2013-04-02	2013-06-10	$2.96	$6.67	68.80%	49
2013-01-24	2013-02-22	$2.47	$2.41	-1.32%	21
2012-11-20	2013-01-11	$2.20	$2.19	1.11%	36
2012-03-28	2012-04-10	$2.52	$2.16	-7.77%	9
2012-03-13	2012-03-27	$2.41	$2.53	2.30%	11