PriceMomentum_V1138
REJECTEDmomentumllmAdded regime gating to trade only in UPTREND and non-high-volatility, non-bubble regimes; strengthened entry to require trend momentum (sma_50_slope>0) and avoid buying near 52‑week highs; relaxed ret_20d threshold slightly and kept volume filter; improved exits with a tighter stop (-12%), a trend-following SMA cross exit (sma_20 < sma_50), and an emergency exit on extreme volatility (vol_pctile>0.95); introduced volatility-based position sizing (full size in low vol, reduced in high vol, cash in extreme spikes) and reduced base position to 0.8 to lower drawdown risk. | rejected: stage1: never enters a position
Lineage
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Strategy Logic (pseudocode)
# PriceMomentum_V1138 [momentum]
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 rel_volume > 1.2 and sma_50_slope > 0.0 and dist_52w_high > 0.05):
position = 0.8
if long and (ret_20d < -0.12 or sma_20 < sma_50 or vol_pctile > 0.95):
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 | 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)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||