PriceMomentum_V1430

ARCHIVEDhybrid

llmMade entry more robust by requiring short-term momentum (ret_20d>4%), positive MACD histogram and positive 50-day slope to favor genuine uptrends; softened the entry threshold for more signal sensitivity. Improved exits by adding a momentum-based exit (macd_hist<0) and a tighter stop (ret_20d<-8%) to reduce large drawdowns. Restricted regime gates to only UPTREND and non-high volatility, and only NORMAL bubble to avoid over-priced regimes that caused no validation trades. Added position scaling rules to halve exposure in high realized volatility (vol_20>5%) or when near 52-week highs (dist_52w_high>0.9). Reduced base position to 0.8 to lower risk.

Fitness

0.1357

Generation

Complexity

Created

2026-10-10

Lineage

Parents (1)

PriceMomentum_V1350S1350 · gen 62ARCHIVEDllm

changed ret_20d threshold -0.1499 -> -0.1076

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1430  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (ret_20d > 0.04 and macd_hist > 0.0 and sma_50_slope > 0.0):
    position = 0.8
if long and (ret_20d < -0.08 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.0%	-2.7%	8.2%	2.0%
Total Return	8.2%	-7.9%	34.3%	34.0%
Sharpe	0.16	-0.17	0.73	0.25
Sortino	0.07	-0.06	0.28	0.10
Calmar	0.09	-0.09	0.71	0.07
Volatility	8.1%	12.0%	11.7%	10.0%
Max DD	-11.5%	-30.7%	-11.5%	-30.7%
Win Rate	35.0%	11.1%	50.0%	34.1%
Avg Win	5.6%	21.4%	6.9%	7.3%
Avg Loss	-2.2%	-3.3%	-1.6%	-2.4%
Payoff	2.49	6.39	4.18	2.99
Expectancy	0.5%	-0.6%	2.6%	0.9%
Profit Factor	1.34	0.80	4.18	1.55
Trades	20	9	12	41
Avg Holding Days	7.3	7.3	5.1	6.7
Turnover	4.0	4.8	5.1	4.5
Exposure	5.0%	6.0%	4.1%	5.0%

Growth of $100

PriceMomentum_V1430 vs TSLA Buy & Hold

PriceMomentum_V1430 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	0.8%	0.15	-5.3%	2
2017	8.8%	1.90	-0.9%	2
2018	-6.6%	-1.27	-6.6%	2
2019	-1.2%	-1.07	-1.2%	1
2020	0.0%	0.00	0.0%	0
2021	14.9%	0.83	-13.6%	5
2022	-19.9%	-2.49	-19.8%	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	34.0%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-7.7%	-0.69	1%
hidden test	LOW VOLATILITY	442	9.6%	0.90	5%
hidden test	MEDIUM VOLATILITY	250	23.3%	1.71	5%
hidden test	NORMAL	815	6.4%	0.55	5%
hidden test	SIDEWAYS	297	-3.5%	-1.26	1%
hidden test	UPTREND	371	24.6%	1.34	10%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.3%	1.18	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.6%	0.60	0%
train	LOW VOLATILITY	745	3.3%	0.37	12%
train	MEDIUM VOLATILITY	568	-5.3%	-0.69	2%
train	NORMAL	1,601	1.2%	0.13	6%
train	SIDEWAYS	592	-3.2%	-1.08	0%
train	UPTREND	902	5.0%	0.42	11%
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	-9.4%	-1.00	0%
validation	LOW VOLATILITY	183	-2.0%	-0.18	17%
validation	MEDIUM VOLATILITY	315	4.1%	0.28	5%
validation	NORMAL	474	-3.2%	-0.21	10%
validation	SIDEWAYS	206	-10.9%	-1.56	1%
validation	UPTREND	425	1.7%	0.11	10%

Trades (full period)

41 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
2025-12-15	2025-12-30	$475.31	$454.43	0.02%	11
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-06-02	2025-06-03	$342.69	$344.27	-1.03%	2
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-10-03	2024-10-04	$240.66	$250.08	-2.84%	2
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-04	2024-09-09	$219.41	$216.27	-0.01%	4
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-07-06	2023-07-07	$276.54	$274.43	-1.84%	2
2023-06-02	2023-06-27	$213.97	$250.21	12.72%	17
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-19	$306.56	$296.67	-1.83%	4
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-11	$363.75	$325.31	-8.58%	5
2021-10-13	2021-11-10	$270.36	$355.98	21.37%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.98%	2
2021-09-28	2021-10-07	$259.19	$264.54	-1.03%	8
2021-09-07	2021-09-21	$250.97	$246.46	-0.50%	11
2021-08-05	2021-08-17	$238.21	$221.90	-2.92%	9
2019-10-21	2019-10-22	$16.90	$17.04	-1.23%	2
2018-12-12	2018-12-18	$24.44	$22.47	-4.14%	5
2018-02-01	2018-02-05	$23.28	$22.21	-2.54%	3
2017-01-31	2017-02-02	$16.80	$16.77	-0.60%	3
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.40%	13
2015-05-11	2015-05-22	$15.97	$16.52	2.88%	10
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-08-05	2014-08-25	$15.90	$17.50	5.95%	15
2014-06-23	2014-07-07	$15.81	$14.84	-0.24%	10
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-03-28	2012-04-05	$2.52	$2.30	-6.33%	7
2012-03-14	2012-03-16	$2.35	$2.35	-2.58%	3
2012-02-23	2012-02-29	$2.30	$2.23	-1.11%	5