PriceMomentum_V1205

REJECTEDhybrid

llmAdded trend gate (only UPTREND) and bubble gate (NORMAL) to reduce overfitting in bad regimes; simplified and regularized entry to momentum + trend confirmation (ret_20d > 4% AND one of close>sma_50, breakout_20, sma_50_slope>0) and require moderate long-term health (cumret_252d > -25%); replaced fragile extreme ret_20d branch; strengthened exits with clearer stop rules (20d loss < -3%), short-term damage + negative MACD, hard drawdown stop, and RSI-based profit-taking; reduced base position to 0.8 and added volatility-scaled sizing (LOW=1.0, MED=0.7, HIGH=0.4) to lower drawdown and improve walk-forward robustness. | rejected: stage1: sharpe -0.94 below screen

Fitness

—

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

PriceMomentum_V1133S1133 · gen 52ELITEllm

entry from PriceMomentum_V0690, exit from PriceMomentum_V0624

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1205  [hybrid]
if flat and (ret_20d > 0.04 and (close > sma_50 or breakout_20 > 0.0 or sma_50_slope > 0.0) and cumret_252d > -0.25):
    position = 0.8
if long and (ret_20d < -0.03 or (ret_5d < -0.06 and macd_hist < 0.0) or drawdown < -0.12 or rsi_14 > 72.0):
    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 *= 0.4

Backtest 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-by-year stability matters more than any single year

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)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded