PriceMomentum_V1143

ARCHIVEDmomentum

llmBroadened and regularized entry (lower ret_20d threshold + require price above sma50 and positive sma_50_slope) to avoid the overfit high-ret_20d cutoff; strengthened exits to include a milder stop (ret_20d < -6%), a price-based exit (drop below sma50), and high-volatility bail-out; restricted to UPTREND and non-bubble regimes; added volatility-based scaling (full in low vol, reduced in medium, minimal in high) and reduced base_position to limit drawdown and improve walk-forward robustness.

Fitness

0.1249

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V0267S0267 · gen 12ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.1146

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1143  [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.045 and dist_sma_50 > 0.0 and sma_50_slope > 0.0):
    position = 0.9
if long and (ret_20d < -0.06 or dist_sma_50 < -0.03 or vol_pctile > 0.9):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.2%	-2.3%	3.7%	0.5%
Total Return	1.5%	-6.8%	14.6%	8.4%
Sharpe	0.08	-0.10	0.32	0.11
Sortino	0.05	-0.05	0.13	0.06
Calmar	0.01	-0.06	0.17	0.01
Volatility	12.5%	14.0%	15.3%	13.6%
Max DD	-24.6%	-38.1%	-22.3%	-38.1%
Win Rate	36.8%	12.5%	54.5%	36.8%
Avg Win	7.4%	40.1%	9.1%	10.4%
Avg Loss	-3.8%	-5.6%	-7.1%	-5.0%
Payoff	1.91	7.22	1.28	2.08
Expectancy	0.3%	0.1%	1.7%	0.7%
Profit Factor	1.11	1.03	1.54	1.21
Trades	19	8	11	38
Avg Holding Days	16.3	13.1	8.8	13.5
Turnover	4.2	4.3	5.2	4.5
Exposure	12.2%	10.3%	7.4%	10.6%

Growth of $100

PriceMomentum_V1143 vs TSLA Buy & Hold

PriceMomentum_V1143 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	-9.2%	-1.14	-13.2%	2
2017	10.9%	2.04	-1.0%	2
2018	-9.6%	-1.36	-10.6%	2
2019	5.6%	0.62	-7.6%	2
2020	0.0%	0.00	0.0%	0
2021	29.8%	1.39	-14.5%	3
2022	-28.3%	-2.47	-28.2%	5

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	38.2%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-15.1%	-1.20	1%
hidden test	LOW VOLATILITY	436	12.6%	0.89	11%
hidden test	MEDIUM VOLATILITY	251	11.5%	0.60	7%
hidden test	NORMAL	810	1.7%	0.11	8%
hidden test	SIDEWAYS	293	-8.2%	-0.96	1%
hidden test	UPTREND	371	18.6%	0.81	18%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.9%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.9%	0.20	0%
train	LOW VOLATILITY	745	9.7%	0.61	27%
train	MEDIUM VOLATILITY	568	-11.6%	-1.12	7%
train	NORMAL	1,601	-0.3%	-0.02	15%
train	SIDEWAYS	592	-4.2%	-1.22	1%
train	UPTREND	902	4.9%	0.27	27%
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	-7.4%	-1.00	0%
validation	LOW VOLATILITY	183	11.8%	0.76	30%
validation	MEDIUM VOLATILITY	315	-4.0%	-0.24	7%
validation	NORMAL	474	-2.2%	-0.12	16%
validation	SIDEWAYS	206	-25.0%	-2.20	2%
validation	UPTREND	425	9.7%	0.58	17%

Trades (full period)

38 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.46%	2
2025-12-15	2026-01-08	$475.31	$435.80	-5.54%	17
2025-09-12	2025-09-15	$395.94	$410.04	6.43%	2
2025-09-04	2025-09-05	$338.53	$350.84	1.02%	2
2025-06-02	2025-06-06	$342.69	$295.14	-11.48%	5
2025-05-22	2025-05-28	$341.04	$356.90	7.00%	4
2024-10-03	2024-10-14	$240.66	$219.16	-11.55%	8
2024-09-16	2024-09-20	$226.78	$238.25	3.62%	5
2024-09-06	2024-09-09	$210.73	$216.27	-5.44%	2
2024-07-02	2024-07-12	$231.26	$248.23	12.05%	8
2023-06-02	2023-08-02	$213.97	$254.11	24.46%	42
2022-09-21	2022-09-23	$300.80	$275.33	-6.05%	3
2022-09-12	2022-09-14	$304.42	$302.61	-2.44%	3
2022-08-16	2022-08-22	$306.56	$289.91	-3.31%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.30%	2
2022-04-05	2022-04-27	$363.75	$293.84	-15.31%	16
2021-11-23	2021-12-02	$369.68	$361.53	-3.44%	7
2021-08-24	2021-11-10	$236.16	$355.98	40.09%	56
2021-08-05	2021-08-23	$238.21	$235.43	-4.04%	13
2019-11-22	2019-12-17	$22.20	$25.27	6.59%	17
2019-10-21	2019-10-22	$16.90	$17.04	-0.97%	2
2018-11-27	2018-12-21	$22.93	$21.32	-5.03%	18
2018-02-01	2018-02-06	$23.28	$22.26	-4.75%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.15%	4
2017-01-05	2017-01-25	$15.12	$16.96	10.70%	14
2016-07-26	2016-08-29	$15.30	$14.35	-4.09%	25
2016-04-05	2016-05-04	$17.03	$14.84	-5.33%	22
2015-08-06	2015-08-07	$16.41	$16.17	-5.72%	2
2015-05-11	2015-08-04	$15.97	$17.75	11.27%	60
2015-04-29	2015-05-01	$15.50	$15.07	-1.90%	3
2014-08-05	2014-09-26	$15.90	$16.44	4.63%	38
2014-06-23	2014-07-17	$15.81	$14.36	-5.02%	18
2013-03-26	2013-04-02	$2.52	$2.96	15.13%	5
2013-02-15	2013-02-26	$2.47	$2.30	-8.72%	7
2013-02-12	2013-02-14	$2.53	$2.55	-0.11%	3
2012-12-18	2013-01-14	$2.31	$2.22	-4.06%	18
2012-11-23	2012-12-14	$2.14	$2.25	2.99%	16
2012-02-23	2012-04-11	$2.30	$2.21	-0.48%	34