PriceMomentum_V1219
ARCHIVEDhybridllm1) Added regime gates: only trade in UPTREND, avoid HIGH volatility, and require NORMAL bubble to reduce regime overfitting. 2) Broadened entry to include momentum confirmation (macd_hist>0) and lowered ret_20d threshold to 0.12 while keeping breakout_20 to improve signal robustness. 3) Replaced fragile single-threshold exit with a multi-condition exit: larger stop (ret_20d<-2%), or trend/momentum deterioration (macd_hist<0 or sma_50_slope<0) for better risk control. 4) Added volatility- and proximity-based position scaling rules (vol_pctile and dist_52w_high) to reduce size in high volatility or when near highs. 5) Kept strategy simple and within complexity budget to improve generalization.
Lineage
Parents (1)
added entry filter: breakout_20 == 1
Strategy Logic (pseudocode)
# PriceMomentum_V1219 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.12 and breakout_20 == 1 and macd_hist > 0.0):
position = 1.0
if long and (ret_20d < -0.02 or macd_hist < 0.0 or sma_50_slope < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|
| CAGR | -1.1% | -2.7% | 4.7% | 0.0% |
| Total Return | -8.3% | -7.9% | 18.8% | 0.3% |
| Sharpe | -0.12 | -0.13 | 0.43 | 0.05 |
| Sortino | -0.03 | -0.04 | 0.12 | 0.02 |
| Calmar | -0.06 | -0.08 | 0.29 | 0.00 |
| Volatility | 7.0% | 13.9% | 12.4% | 10.3% |
| Max DD | -18.8% | -32.4% | -16.4% | -32.4% |
| Win Rate | 46.2% | 20.0% | 42.9% | 40.0% |
| Avg Win | 3.9% | 17.4% | 10.7% | 7.3% |
| Avg Loss | -4.3% | -5.8% | -3.1% | -4.4% |
| Payoff | 0.90 | 2.98 | 3.48 | 1.66 |
| Expectancy | -0.5% | -1.2% | 2.8% | 0.3% |
| Profit Factor | 0.77 | 0.74 | 2.61 | 1.11 |
| Trades | 13 | 5 | 7 | 25 |
| Avg Holding Days | 7.8 | 6.4 | 6.3 | 7.1 |
| Turnover | 3.3 | 3.3 | 3.7 | 3.4 |
| Exposure | 4.4% | 3.6% | 3.9% | 4.1% |
Growth of $100
PriceMomentum_V1219 vs TSLA Buy & Hold
PriceMomentum_V1219 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 | 0.9% | 0.15 | -6.6% | 2 |
| 2017 | 12.0% | 2.08 | -0.9% | 1 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.2% | 0.67 | -16.9% | 2 |
| 2022 | -18.7% | -2.05 | -18.7% | 3 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.1% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 439 | 9.2% | 0.76 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 21.4% | 1.63 | 4% |
| hidden test | NORMAL | 812 | 6.2% | 0.47 | 5% |
| hidden test | SIDEWAYS | 294 | -1.1% | -1.00 | 0% |
| hidden test | UPTREND | 371 | 14.5% | 0.74 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.8% | 0.86 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | -1.9% | -0.20 | 11% |
| train | MEDIUM VOLATILITY | 568 | -0.5% | -0.06 | 2% |
| train | NORMAL | 1,601 | -1.4% | -0.18 | 5% |
| train | SIDEWAYS | 592 | -3.9% | -1.06 | 1% |
| train | UPTREND | 902 | 0.7% | 0.07 | 10% |
| 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 | -11.8% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 0.5% | 0.08 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 5.1% | 0.28 | 6% |
| validation | NORMAL | 474 | -2.8% | -0.16 | 6% |
| validation | SIDEWAYS | 206 | -8.5% | -1.14 | 0% |
| validation | UPTREND | 425 | 0.9% | 0.05 | 6% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 14.63% | 8 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 17.39% | 17 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-05-12 | 2015-05-22 | $16.32 | $16.52 | 2.36% | 9 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-08 | 2014-08-25 | $16.54 | $17.50 | 1.53% | 12 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -3.55% | 9 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -3.22% | 3 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |