PriceMomentum_V1218

ARCHIVEDhybrid

llmAdded regime gates to require UPTREND and avoid HIGH_VOL/BUBBLE EXTREME; tightened entry to require positive long-term trend (sma_200_slope>0), moderate volatility (vol_pctile<0.75) and MACD confirmation, with either 20d momentum OR a 20d breakout to trigger entry; strengthened exits to include a clearer stop-loss (ret_20d<-2%), cap on drawdown (<-10%), and exit when volatility becomes extreme (vol_pctile>0.9); added position scaling to reduce risk in higher volatility and fully avoid positions if long-term trend flips negative.

Fitness

0.3179

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V1003S1003 · gen 46ARCHIVEDllm

entry from PriceMomentum_V0640, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1218  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (sma_200_slope > 0.0 and vol_pctile < 0.75 and macd_hist > 0.0 and (ret_20d > 0.12 or breakout_20 > 0.0)):
    position = 1.0
if long and (ret_20d < -0.02 or drawdown < -0.1 or vol_pctile > 0.9):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.0%	31.6%	-4.1%	4.8%
Total Return	-0.1%	128.0%	-14.6%	100.3%
Sharpe	0.07	1.36	-0.34	0.38
Sortino	0.03	0.84	-0.12	0.19
Calmar	-0.00	1.19	-0.15	0.13
Volatility	14.0%	21.9%	10.6%	15.3%
Max DD	-28.1%	-26.5%	-27.7%	-37.2%
Win Rate	32.1%	36.8%	35.7%	34.4%
Avg Win	7.3%	18.9%	3.7%	11.1%
Avg Loss	-3.5%	-2.6%	-3.6%	-3.3%
Payoff	2.05	7.32	1.01	3.37
Expectancy	-0.1%	5.3%	-1.0%	1.7%
Profit Factor	0.97	4.27	0.56	1.77
Trades	28	19	14	61
Avg Holding Days	7.0	5.8	3.8	6.1
Turnover	7.1	12.7	7.5	8.3
Exposure	8.8%	12.2%	4.1%	8.3%

Growth of $100

PriceMomentum_V1218 vs TSLA Buy & Hold

PriceMomentum_V1218 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	0.0%	0.00	0.0%	0
2017	5.1%	0.36	-12.6%	10
2018	-10.9%	-1.52	-10.8%	2
2019	9.5%	1.31	-3.8%	0
2020	84.9%	2.61	-7.9%	3
2021	34.4%	1.22	-19.0%	12
2022	-11.6%	-1.43	-11.6%	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	278	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-3.7%	-0.13	20%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-7.6%	-1.01	0%
hidden test	LOW VOLATILITY	439	3.8%	0.36	6%
hidden test	MEDIUM VOLATILITY	250	-12.6%	-0.97	4%
hidden test	NORMAL	812	-3.9%	-0.53	3%
hidden test	SIDEWAYS	294	-7.9%	-1.10	1%
hidden test	UPTREND	371	-3.0%	-0.19	10%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	29.3%	1.19	23%
train	EXTREME	100	11.6%	1.55	1%
train	HIGH VOLATILITY	699	8.6%	0.85	1%
train	LOW VOLATILITY	745	8.5%	0.55	17%
train	MEDIUM VOLATILITY	568	-18.3%	-1.15	7%
train	NORMAL	1,601	-5.2%	-0.47	7%
train	SIDEWAYS	592	-2.7%	-0.84	0%
train	UPTREND	902	3.9%	0.19	19%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	116.0%	3.30	41%
validation	EXTREME	144	38.4%	2.28	2%
validation	HIGH VOLATILITY	258	-11.8%	-1.00	0%
validation	LOW VOLATILITY	183	17.6%	1.38	13%
validation	MEDIUM VOLATILITY	315	71.1%	2.33	22%
validation	NORMAL	474	2.2%	0.12	7%
validation	SIDEWAYS	206	-8.4%	-1.12	0%
validation	UPTREND	425	57.1%	1.99	21%

Trades (full period)

61 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-7.68%	2
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2025-12-08	2026-01-05	$439.58	$451.67	-3.92%	19
2025-11-04	2025-11-10	$444.26	$445.23	-8.48%	5
2025-09-29	2025-10-06	$443.21	$453.25	-2.59%	6
2025-09-25	2025-09-26	$423.39	$440.40	-4.58%	2
2025-09-22	2025-09-24	$434.21	$442.79	-0.25%	3
2025-09-18	2025-09-19	$416.85	$426.07	-2.31%	2
2025-09-16	2025-09-17	$421.62	$425.86	2.62%	2
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2025-06-02	2025-06-03	$342.69	$344.27	-1.29%	2
2025-05-29	2025-05-30	$358.43	$346.46	0.23%	2
2025-05-27	2025-05-28	$362.89	$356.90	6.73%	2
2025-05-22	2025-05-23	$341.04	$339.34	1.72%	2
2022-08-16	2022-08-17	$306.56	$304.00	-1.09%	2
2022-08-05	2022-08-08	$288.17	$290.42	-6.82%	2
2022-04-07	2022-04-08	$352.42	$341.83	0.90%	2
2022-04-05	2022-04-06	$363.75	$348.59	-4.93%	2
2021-10-13	2021-11-10	$270.36	$355.98	26.78%	21
2021-10-08	2021-10-11	$261.83	$263.98	-1.22%	2
2021-09-28	2021-09-29	$259.19	$260.44	-1.94%	2
2021-09-20	2021-09-21	$243.39	$246.46	-4.06%	2
2021-09-16	2021-09-17	$252.33	$253.16	-0.05%	2
2021-09-10	2021-09-13	$245.42	$247.67	-2.66%	2
2021-09-08	2021-09-09	$251.29	$251.62	-0.07%	2
2021-08-31	2021-09-01	$245.24	$244.70	0.46%	2
2021-08-13	2021-08-16	$239.06	$228.72	-0.90%	2
2021-08-05	2021-08-06	$238.21	$233.03	0.32%	2
2021-01-12	2021-02-01	$283.15	$279.94	-2.37%	14
2020-12-10	2021-01-11	$209.02	$270.40	45.30%	21
2020-11-19	2020-12-08	$166.42	$216.63	31.62%	13
2020-10-15	2020-10-19	$149.63	$143.61	-4.88%	3
2019-12-17	2020-01-22	$25.27	$37.97	43.15%	24
2018-12-11	2018-12-19	$24.45	$22.20	-7.88%	7
2018-02-01	2018-02-05	$23.28	$22.21	-3.18%	3
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-15	2017-08-18	$24.16	$23.16	-3.46%	4
2017-08-04	2017-08-07	$23.79	$23.68	2.63%	2
2017-06-05	2017-06-14	$23.15	$25.38	10.40%	8
2017-05-02	2017-05-10	$21.26	$21.68	-0.69%	7
2017-04-20	2017-04-21	$20.17	$20.37	-1.18%	2
2017-03-27	2017-04-04	$18.01	$20.25	13.21%	7
2017-02-10	2017-02-24	$17.95	$17.13	-5.10%	10
2017-01-09	2017-01-10	$15.42	$15.32	0.79%	2
2017-01-05	2017-01-06	$15.12	$15.27	-0.31%	2
2015-07-21	2015-07-28	$17.78	$17.65	-10.55%	6
2015-05-19	2015-05-20	$16.48	$16.29	-0.85%	2
2015-05-15	2015-05-18	$16.59	$16.58	1.74%	2
2015-05-13	2015-05-14	$16.21	$16.27	-0.84%	2
2014-08-04	2014-09-16	$15.90	$17.38	8.61%	31
2014-06-23	2014-07-07	$15.81	$14.84	-0.34%	10
2014-02-13	2014-02-26	$13.31	$16.87	26.72%	9
2013-09-23	2013-10-04	$12.07	$12.07	-5.69%	10
2013-02-04	2013-02-22	$2.52	$2.41	-8.38%	14
2012-12-11	2012-12-14	$2.35	$2.25	-2.97%	4
2012-12-03	2012-12-05	$2.31	$2.25	0.04%	3
2012-11-29	2012-11-30	$2.25	$2.25	1.18%	2
2012-11-27	2012-11-28	$2.14	$2.22	-0.57%	2
2012-11-23	2012-11-26	$2.14	$2.15	-1.25%	2
2012-02-23	2012-04-10	$2.30	$2.16	-3.32%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2