PriceMomentum_V1392

ARCHIVEDhybrid

llmLowered momentum entry threshold (from 0.184 to 0.08) to increase signal robustness; tightened exit to cut losses earlier (ret_20d < -0.02); added regime gates to only trade in UPTREND/SIDEWAYS and non-high volatility (LOW/MEDIUM) and NORMAL bubble; reduced base position from 1.0 to 0.8 to limit drawdown risk.

Fitness

0.1810

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V0640S0640 · gen 29ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.184

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1392  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ret_20d > 0.08:
    position = 0.8
if long and ret_20d < -0.02:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.1%	5.3%	0.2%	1.2%
Total Return	0.9%	16.9%	0.7%	18.7%
Sharpe	0.08	0.38	0.10	0.15
Sortino	0.05	0.23	0.06	0.09
Calmar	0.00	0.23	0.01	0.03
Volatility	15.7%	17.6%	18.3%	16.8%
Max DD	-43.6%	-23.2%	-26.9%	-43.6%
Win Rate	48.3%	42.9%	42.9%	46.0%
Avg Win	5.8%	13.6%	10.5%	8.0%
Avg Loss	-4.9%	-4.9%	-6.9%	-5.5%
Payoff	1.17	2.79	1.52	1.46
Expectancy	0.2%	3.0%	0.6%	0.7%
Profit Factor	1.10	2.09	1.14	1.24
Trades	29	7	14	50
Avg Holding Days	14.4	23.3	14.1	15.6
Turnover	5.8	3.7	6.0	5.4
Exposure	15.5%	16.5%	15.5%	15.7%

Growth of $100

PriceMomentum_V1392 vs TSLA Buy & Hold

PriceMomentum_V1392 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	-14.7%	-1.01	-21.6%	5
2017	12.5%	1.68	-4.3%	3
2018	-16.8%	-1.66	-18.8%	3
2019	8.0%	0.46	-17.6%	4
2020	0.0%	0.00	0.0%	0
2021	28.5%	1.17	-18.2%	4
2022	-9.1%	-0.41	-22.2%	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	-1.2%	-0.95	0%
hidden test	EXPENSIVE	83	34.2%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-19.8%	-1.26	1%
hidden test	LOW VOLATILITY	441	16.5%	0.94	23%
hidden test	MEDIUM VOLATILITY	250	-2.0%	-0.09	16%
hidden test	NORMAL	814	-1.3%	-0.07	18%
hidden test	SIDEWAYS	296	-22.3%	-1.14	24%
hidden test	UPTREND	371	23.5%	1.01	20%
train	DOWNTREND	518	-3.6%	-0.67	1%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.2%	0.01	1%
train	LOW VOLATILITY	745	16.5%	0.99	32%
train	MEDIUM VOLATILITY	568	-17.2%	-1.14	11%
train	NORMAL	1,601	0.3%	0.02	19%
train	SIDEWAYS	592	-14.3%	-0.83	17%
train	UPTREND	902	14.4%	0.79	23%
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	-6.5%	-0.66	1%
validation	LOW VOLATILITY	183	27.2%	1.65	38%
validation	MEDIUM VOLATILITY	315	5.7%	0.26	17%
validation	NORMAL	474	10.8%	0.48	26%
validation	SIDEWAYS	206	-9.6%	-0.46	24%
validation	UPTREND	425	16.7%	0.91	18%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-08	$428.35	$408.95	-4.08%	21
2025-12-15	2026-01-07	$475.31	$431.41	-4.62%	16
2025-08-27	2025-09-15	$349.60	$410.04	9.88%	13
2025-08-13	2025-08-21	$339.38	$320.11	-4.14%	7
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2025-05-12	2025-05-13	$318.38	$334.07	5.23%	2
2024-09-23	2024-10-14	$250.00	$219.16	-6.94%	16
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-06-27	2024-07-12	$197.42	$248.23	17.87%	11
2023-11-20	2024-01-10	$235.60	$233.94	0.18%	35
2023-09-12	2023-09-28	$267.48	$246.38	-9.90%	13
2023-05-31	2023-08-02	$203.93	$254.11	23.43%	44
2023-02-28	2023-03-08	$205.71	$182.00	-7.85%	7
2022-08-02	2022-08-29	$300.59	$284.82	-2.53%	20
2022-03-23	2022-04-27	$333.04	$293.84	-9.42%	25
2022-01-12	2022-01-13	$368.74	$343.85	2.98%	2
2021-11-23	2021-12-01	$369.68	$365.00	-0.96%	6
2021-08-05	2021-11-10	$238.21	$355.98	34.31%	69
2021-06-18	2021-07-26	$207.77	$219.21	3.38%	26
2021-04-15	2021-05-05	$246.28	$223.65	-6.53%	15
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2019-10-23	2019-10-25	$16.98	$21.88	13.63%	3
2019-09-13	2019-09-27	$16.35	$16.14	-1.15%	11
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2018-12-13	2018-12-19	$25.12	$22.20	-6.62%	5
2018-03-13	2018-03-15	$22.79	$21.71	-4.53%	3
2018-01-29	2018-02-09	$23.30	$20.69	-6.56%	10
2017-12-12	2017-12-26	$22.74	$21.15	-1.04%	10
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2016-12-28	2017-01-25	$14.65	$16.96	12.46%	19
2016-10-04	2016-10-06	$14.09	$13.40	-2.12%	3
2016-07-22	2016-08-18	$14.82	$14.90	0.86%	20
2016-06-08	2016-06-23	$15.70	$13.09	-12.51%	12
2016-03-28	2016-05-03	$15.35	$15.49	4.83%	27
2016-03-21	2016-03-24	$15.89	$15.18	-3.63%	4
2015-09-22	2015-10-02	$17.40	$16.50	-7.56%	9
2015-04-28	2015-07-28	$15.37	$17.65	7.37%	64
2015-04-14	2015-04-21	$13.83	$13.96	-1.88%	6
2014-11-12	2014-12-02	$16.61	$15.43	-6.34%	14
2014-08-06	2014-09-16	$16.60	$17.38	5.12%	29
2014-06-09	2014-07-16	$13.69	$14.48	4.34%	27
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-15	2013-02-22	$2.47	$2.41	-6.61%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-09	2013-01-10	$2.02	$2.24	5.86%	42
2012-09-18	2012-09-21	$2.09	$2.00	-4.20%	4
2012-07-02	2012-07-20	$2.03	$2.12	2.45%	14
2012-06-19	2012-06-25	$2.14	$2.21	4.76%	5
2012-02-15	2012-04-10	$2.24	$2.16	0.02%	38