PriceMomentum_V1114

ARCHIVEDhybrid

llmLoosened entry ret_20d to 3% and added momentum/trend confirmations (macd_hist>0 and sma_50_slope>0) to increase trade count while keeping quality. Added multi-part exits: tighter daily stop, larger 20d stop, profit target, and trend-reversal exit to reduce large drawdowns. Introduced regime gate to avoid EXTREME bubble (only NORMAL) and disallow downtrends. Added volatility-based position sizing (reduce exposure in high vol, full in low vol, medium otherwise). Lowered base position to 0.75 to reduce risk.

Fitness

0.2142

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V0817S0817 · gen 37ARCHIVEDllm

added exit filter: ret_20d < -0.025

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1114  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.03 and breakout_50 == 1 and macd_hist > 0.0 and sma_50_slope > 0.0):
    position = 0.75
if long and (ret_20d < -0.05 or ret_1d < -0.03 or ret_20d > 0.25 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.9%	4.9%	2.3%	2.1%
Total Return	7.7%	15.5%	8.9%	35.5%
Sharpe	0.14	0.59	0.29	0.26
Sortino	0.06	0.34	0.09	0.11
Calmar	0.04	0.47	0.22	0.08
Volatility	10.2%	8.8%	9.3%	9.7%
Max DD	-24.7%	-10.6%	-10.5%	-24.7%
Win Rate	41.7%	60.0%	58.8%	51.0%
Avg Win	6.5%	5.3%	3.6%	5.1%
Avg Loss	-3.8%	-3.7%	-3.7%	-3.7%
Payoff	1.73	1.43	0.98	1.37
Expectancy	0.5%	1.7%	0.6%	0.8%
Profit Factor	1.23	2.15	1.40	1.43
Trades	24	10	17	51
Avg Holding Days	8.3	7.0	3.0	6.3
Turnover	4.5	5.0	6.8	5.2
Exposure	6.6%	6.0%	2.7%	5.5%

Growth of $100

PriceMomentum_V1114 vs TSLA Buy & Hold

PriceMomentum_V1114 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	3.2%	0.77	-2.1%	1
2017	12.7%	2.27	-0.7%	1
2018	-15.9%	-1.68	-16.5%	8
2019	8.4%	0.52	-11.5%	6
2020	0.0%	0.00	0.0%	0
2021	29.2%	1.88	-6.0%	6
2022	-10.6%	-1.98	-10.5%	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	277	0.0%	0.00	0%
hidden test	EXPENSIVE	83	16.3%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-8.7%	-1.14	1%
hidden test	LOW VOLATILITY	436	10.5%	1.19	4%
hidden test	MEDIUM VOLATILITY	251	0.7%	0.06	2%
hidden test	NORMAL	810	1.5%	0.16	3%
hidden test	SIDEWAYS	293	-8.4%	-1.47	2%
hidden test	UPTREND	371	13.5%	0.98	5%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	1.3%	0.86	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.0%	-0.16	2%
train	LOW VOLATILITY	745	12.0%	1.25	14%
train	MEDIUM VOLATILITY	568	-8.2%	-1.03	3%
train	NORMAL	1,601	1.6%	0.14	8%
train	SIDEWAYS	592	-8.2%	-0.90	4%
train	UPTREND	902	8.6%	0.65	12%
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	0.9%	0.09	21%
validation	MEDIUM VOLATILITY	315	11.9%	1.08	2%
validation	NORMAL	474	8.3%	0.75	9%
validation	SIDEWAYS	206	-7.3%	-1.59	4%
validation	UPTREND	425	12.8%	1.13	9%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-14	2026-05-18	$443.30	$409.99	-4.03%	3
2025-12-16	2025-12-18	$489.88	$483.37	-1.39%	3
2025-09-12	2025-09-15	$395.94	$410.04	5.36%	2
2025-08-27	2025-09-02	$349.60	$329.36	-3.95%	4
2024-07-11	2024-07-12	$241.03	$248.23	-6.48%	2
2024-07-09	2024-07-10	$262.33	$263.26	2.63%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.41%	2
2024-06-27	2024-07-03	$197.42	$246.39	13.02%	5
2023-07-06	2023-07-21	$276.54	$260.02	-5.27%	12
2023-06-20	2023-06-21	$274.45	$259.46	3.85%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.71%	2
2023-06-12	2023-06-13	$249.83	$258.71	1.52%	2
2023-06-08	2023-06-09	$234.86	$244.40	3.28%	2
2023-06-06	2023-06-07	$221.31	$224.57	1.12%	2
2023-06-02	2023-06-05	$213.97	$217.61	2.18%	2
2023-02-15	2023-02-16	$214.24	$202.04	1.64%	2
2023-02-10	2023-02-13	$196.89	$194.64	-3.92%	2
2022-08-16	2022-08-31	$306.56	$275.61	-7.88%	12
2022-08-04	2022-08-05	$308.63	$288.17	0.15%	2
2022-08-02	2022-08-03	$300.59	$307.40	0.68%	2
2022-04-05	2022-04-06	$363.75	$348.59	-3.70%	2
2021-11-04	2021-11-05	$409.97	$407.36	0.84%	2
2021-11-01	2021-11-02	$402.86	$390.67	6.21%	2
2021-10-28	2021-10-29	$359.01	$371.33	2.68%	2
2021-09-28	2021-10-26	$259.19	$339.48	21.43%	21
2021-09-01	2021-09-21	$244.70	$246.46	-0.69%	14
2021-08-03	2021-08-17	$236.58	$221.90	-2.61%	11
2019-11-20	2019-11-21	$23.48	$23.66	-1.67%	2
2019-11-18	2019-11-19	$23.33	$23.97	-0.61%	2
2019-11-12	2019-11-13	$23.33	$23.07	0.90%	2
2019-11-08	2019-11-11	$22.48	$23.01	0.21%	2
2019-10-16	2019-10-28	$17.32	$21.85	20.01%	9
2019-07-22	2019-07-26	$17.05	$15.20	-8.60%	5
2018-12-11	2018-12-18	$24.45	$22.47	-3.56%	6
2018-11-19	2018-11-20	$23.56	$23.17	-0.33%	2
2018-11-08	2018-11-09	$23.43	$23.37	0.55%	2
2018-08-08	2018-08-10	$24.69	$23.70	-5.52%	3
2018-06-19	2018-06-20	$23.50	$24.15	-3.84%	2
2018-06-12	2018-06-18	$22.85	$24.72	5.70%	5
2018-02-27	2018-03-02	$23.40	$22.34	-5.74%	4
2018-01-22	2018-02-06	$23.44	$22.26	-3.75%	12
2016-12-28	2017-01-25	$14.65	$16.96	11.65%	19
2016-04-05	2016-04-07	$17.03	$17.15	5.42%	3
2016-01-04	2016-01-05	$14.89	$14.90	-5.33%	2
2015-07-21	2015-07-22	$17.78	$17.86	-4.26%	2
2015-04-30	2015-07-08	$15.07	$17.00	11.18%	48
2014-08-07	2014-09-08	$16.83	$18.81	8.38%	22
2014-06-24	2014-07-03	$15.50	$15.28	-2.59%	8
2013-04-02	2013-04-04	$2.96	$2.80	-4.96%	3
2012-11-20	2012-12-14	$2.20	$2.25	1.47%	18
2012-03-14	2012-04-05	$2.35	$2.30	-2.25%	17