PriceMomentum_V1304

ARCHIVEDhybrid

llm- Replaced redundant entry logic with a compact momentum-or-breakout entry: require either (close>50SMA + 20d momentum + positive MACD histogram) or a 20-day breakout; added RSI < 75 and 252d cumulative return filter to avoid extended overbought/bear regimes. - Strengthened exits: added short-term momentum stop (5d loss), a technical stop (close < 50SMA), and a drawdown stop to limit large losses. - Added regime gates: only trade in UPTREND and low/medium volatility, and avoid bubble states beyond NORMAL. - Implemented volatility-based position sizing (vol_pctile tiers) to scale exposure down in high volatility. - Lowered base_position to 0.7 to reduce overall leverage and turnover.

Fitness

0.1842

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

PriceMomentum_V1238S1238 · gen 57ARCHIVEDllm

entry from PriceMomentum_V0936, exit from LongTermTrend_V1216

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1304  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and ret_20d > 0.05 and macd_hist > 0.0) or breakout_20 > 0.0) and rsi_14 < 75.0 and cumret_252d > -0.1997):
    position = 0.7
if long and (ret_5d < -0.03 or close < sma_50 or drawdown < -0.1):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.4%	5.8%	1.2%	1.2%
Total Return	-3.2%	18.5%	4.4%	19.7%
Sharpe	-0.02	0.71	0.18	0.19
Sortino	-0.01	0.35	0.06	0.08
Calmar	-0.03	0.47	0.11	0.08
Volatility	7.4%	8.4%	8.3%	7.9%
Max DD	-16.4%	-12.3%	-10.5%	-16.4%
Win Rate	36.6%	42.9%	61.1%	43.8%
Avg Win	2.1%	3.8%	2.4%	2.7%
Avg Loss	-1.3%	-1.1%	-3.1%	-1.5%
Payoff	1.63	3.36	0.79	1.74
Expectancy	-0.0%	1.0%	0.3%	0.3%
Profit Factor	0.94	2.52	1.25	1.35
Trades	41	21	18	80
Avg Holding Days	4.1	2.9	2.8	3.5
Turnover	7.2	9.8	6.7	7.6
Exposure	4.4%	3.6%	2.4%	3.7%

Growth of $100

PriceMomentum_V1304 vs TSLA Buy & Hold

PriceMomentum_V1304 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	-2.0%	-0.53	-4.2%	9
2017	4.4%	1.41	-0.4%	5
2018	-4.3%	-0.85	-5.4%	2
2019	3.0%	0.66	-1.4%	2
2020	0.0%	0.00	0.0%	0
2021	29.9%	2.03	-3.9%	15
2022	-8.8%	-1.53	-8.8%	6

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	29.5%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-11.3%	-1.43	1%
hidden test	LOW VOLATILITY	440	2.4%	0.31	3%
hidden test	MEDIUM VOLATILITY	250	13.0%	1.33	3%
hidden test	NORMAL	813	-1.3%	-0.16	3%
hidden test	SIDEWAYS	295	-5.6%	-1.11	0%
hidden test	UPTREND	371	8.2%	0.66	6%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	5.8%	1.31	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.0%	0.60	0%
train	LOW VOLATILITY	745	-0.1%	-0.01	10%
train	MEDIUM VOLATILITY	568	-5.3%	-0.85	2%
train	NORMAL	1,601	-1.3%	-0.16	5%
train	SIDEWAYS	592	-2.0%	-0.84	0%
train	UPTREND	902	1.0%	0.09	9%
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	-0.1%	-0.99	0%
validation	LOW VOLATILITY	183	11.4%	1.88	9%
validation	MEDIUM VOLATILITY	315	7.9%	0.64	3%
validation	NORMAL	474	9.6%	0.90	6%
validation	SIDEWAYS	206	-5.9%	-1.14	0%
validation	UPTREND	425	13.6%	1.28	6%

Trades (full period)

80 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-5.38%	2
2026-05-29	2026-06-01	$435.79	$415.88	-1.14%	2
2025-12-08	2025-12-30	$439.58	$454.43	0.67%	16
2025-09-12	2025-09-15	$395.94	$410.04	5.01%	2
2025-06-02	2025-06-03	$342.69	$344.27	-0.90%	2
2025-05-27	2025-05-28	$362.89	$356.90	4.71%	2
2025-05-22	2025-05-23	$341.04	$339.34	1.20%	2
2024-10-03	2024-10-04	$240.66	$250.08	-2.49%	2
2024-09-25	2024-09-26	$257.02	$254.22	0.62%	2
2024-09-23	2024-09-24	$250.00	$254.27	3.31%	2
2024-09-16	2024-09-17	$226.78	$227.87	-1.21%	2
2024-09-06	2024-09-09	$210.73	$216.27	-6.05%	2
2024-07-02	2024-07-03	$231.26	$246.39	6.99%	2
2023-07-18	2023-07-19	$293.34	$291.26	0.57%	2
2023-07-05	2023-07-06	$282.48	$276.54	0.53%	2
2023-06-26	2023-06-27	$241.05	$250.21	-4.38%	2
2023-06-22	2023-06-23	$264.61	$256.60	1.25%	2
2023-06-02	2023-06-05	$213.97	$217.61	2.03%	2
2022-09-20	2022-09-21	$308.73	$300.80	-0.22%	2
2022-08-18	2022-08-19	$302.87	$296.67	-0.40%	2
2022-08-16	2022-08-17	$306.56	$304.00	-0.76%	2
2022-08-05	2022-08-08	$288.17	$290.42	-4.78%	2
2022-04-07	2022-04-08	$352.42	$341.83	0.63%	2
2022-04-05	2022-04-06	$363.75	$348.59	-3.45%	2
2021-10-13	2021-11-09	$270.36	$341.17	29.54%	20
2021-10-08	2021-10-11	$261.83	$263.98	-0.86%	2
2021-10-05	2021-10-06	$260.20	$260.92	-0.22%	2
2021-10-01	2021-10-04	$258.41	$260.51	-0.16%	2
2021-09-29	2021-09-30	$260.44	$258.49	0.20%	2
2021-09-27	2021-09-28	$263.79	$259.19	1.39%	2
2021-09-17	2021-09-20	$253.16	$243.39	0.09%	2
2021-09-15	2021-09-16	$251.94	$252.33	0.93%	2
2021-09-10	2021-09-13	$245.42	$247.67	-1.86%	2
2021-09-08	2021-09-09	$251.29	$251.62	-0.05%	2
2021-08-31	2021-09-01	$245.24	$244.70	0.32%	2
2021-08-13	2021-08-16	$239.06	$228.72	-0.63%	2
2021-08-11	2021-08-12	$235.94	$240.75	-0.35%	2
2021-08-09	2021-08-10	$237.92	$236.66	1.33%	2
2021-08-05	2021-08-06	$238.21	$233.03	0.23%	2
2019-12-13	2019-12-17	$23.89	$25.27	4.11%	3
2019-10-21	2019-10-22	$16.90	$17.04	-1.08%	2
2018-12-04	2018-12-18	$23.98	$22.47	-2.06%	10
2018-02-01	2018-02-05	$23.28	$22.21	-2.23%	3
2017-03-27	2017-03-28	$18.01	$18.50	1.74%	2
2017-01-18	2017-01-19	$15.89	$16.25	0.69%	2
2017-01-13	2017-01-17	$15.85	$15.71	2.35%	2
2017-01-11	2017-01-12	$15.32	$15.31	-0.18%	2
2017-01-05	2017-01-06	$15.12	$15.27	-0.21%	2
2016-08-05	2016-08-08	$15.34	$15.08	-0.32%	2
2016-08-03	2016-08-04	$15.05	$15.37	-0.57%	2
2016-08-01	2016-08-02	$15.33	$15.15	-1.56%	2
2016-07-28	2016-07-29	$15.37	$15.65	0.51%	2
2016-07-26	2016-07-27	$15.30	$15.23	-0.29%	2
2016-06-08	2016-06-09	$15.70	$15.29	0.82%	2
2016-04-12	2016-04-13	$16.52	$16.97	-0.73%	2
2016-04-08	2016-04-11	$16.67	$16.66	-2.08%	2
2016-04-05	2016-04-06	$17.03	$17.69	2.26%	2
2015-07-21	2015-07-27	$17.78	$16.87	-4.32%	5
2015-06-18	2015-07-09	$17.46	$17.19	-1.52%	15
2015-06-09	2015-06-10	$17.07	$16.71	-0.22%	2
2015-05-29	2015-06-01	$16.72	$16.63	-0.32%	2
2015-05-20	2015-05-21	$16.29	$16.37	-0.93%	2
2015-05-14	2015-05-15	$16.27	$16.59	0.12%	2
2015-05-11	2015-05-12	$15.97	$16.32	0.71%	2
2015-04-29	2015-04-30	$15.50	$15.07	0.46%	2
2014-08-04	2014-09-16	$15.90	$17.38	6.17%	31
2014-06-23	2014-07-03	$15.81	$15.28	-0.14%	9
2013-03-27	2013-04-02	$2.54	$2.96	11.07%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.08%	3
2013-01-03	2013-01-09	$2.32	$2.24	-3.48%	5
2012-12-10	2012-12-14	$2.30	$2.25	-1.26%	5
2012-12-06	2012-12-07	$2.26	$2.28	0.25%	2
2012-12-03	2012-12-05	$2.31	$2.25	0.04%	3
2012-11-29	2012-11-30	$2.25	$2.25	0.83%	2
2012-11-27	2012-11-28	$2.14	$2.22	-0.40%	2
2012-11-23	2012-11-26	$2.14	$2.15	-0.87%	2
2012-03-27	2012-04-05	$2.53	$2.30	-4.58%	8
2012-03-13	2012-03-21	$2.41	$2.34	-2.18%	7
2012-02-23	2012-02-28	$2.30	$2.25	-1.36%	4
2012-02-21	2012-02-22	$2.30	$2.28	-1.08%	2