PriceMomentum_V1519

ARCHIVEDhybrid

llmLowered entry momentum threshold and added trend confirmation (ret_20d > 0.06 AND sma_50_slope > 0) to reduce overfitting of an extreme threshold; strengthened exit to react to momentum flips (ret_20d < -0.03 OR sma_50_slope < 0); added regime gates to trade only in UPTREND, medium volatility and normal bubble to avoid bad regimes; added volatility- and proximity-to-52w-high position scaling (reduce size in high vol and when near highs) to improve robustness and risk control.

Fitness

0.6025

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

PriceMomentum_V0640S0640 · gen 29ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.184

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1519  [hybrid]
if flat and (ret_20d > 0.06 and sma_50_slope > 0.0):
    position = 1.0
if long and (ret_20d < -0.03 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	24.2%	75.9%	9.4%	29.4%
Total Return	466.1%	444.7%	40.3%	4353.1%
Sharpe	0.86	1.44	0.45	0.91
Sortino	0.83	1.35	0.35	0.81
Calmar	0.43	1.60	0.30	0.53
Volatility	30.6%	47.0%	31.3%	34.7%
Max DD	-55.9%	-47.6%	-31.7%	-55.9%
Win Rate	40.0%	54.5%	38.5%	42.9%
Avg Win	30.9%	50.1%	21.6%	39.6%
Avg Loss	-6.0%	-11.3%	-7.4%	-7.3%
Payoff	5.18	4.44	2.93	5.41
Expectancy	8.8%	22.2%	3.8%	12.8%
Profit Factor	3.45	5.33	1.83	4.06
Trades	25	11	13	49
Avg Holding Days	28.2	30.8	21.6	28.1
Turnover	6.4	7.3	6.9	6.6
Exposure	36.4%	43.4%	28.3%	35.8%

Growth of $100

PriceMomentum_V1519 vs TSLA Buy & Hold

PriceMomentum_V1519 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	-4.2%	-0.28	-17.8%	2
2017	11.2%	0.54	-22.9%	5
2018	-30.7%	-1.18	-33.3%	5
2019	43.9%	1.33	-19.6%	2
2020	423.7%	2.75	-33.7%	5
2021	77.2%	1.87	-17.6%	2
2022	-43.8%	-2.21	-43.7%	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	78.8%	1.68	72%
hidden test	EXTREME	48	195.3%	3.47	69%
hidden test	HIGH VOLATILITY	254	8.4%	0.21	29%
hidden test	LOW VOLATILITY	443	38.2%	1.79	24%
hidden test	MEDIUM VOLATILITY	250	-23.4%	-0.66	34%
hidden test	NORMAL	816	-3.3%	-0.12	21%
hidden test	SIDEWAYS	298	-34.4%	-1.41	21%
hidden test	UPTREND	371	63.2%	1.41	55%
train	DOWNTREND	518	3.1%	0.71	1%
train	EXPENSIVE	311	40.7%	1.07	65%
train	EXTREME	100	403.3%	5.47	97%
train	HIGH VOLATILITY	699	50.2%	1.22	34%
train	LOW VOLATILITY	745	33.3%	1.53	47%
train	MEDIUM VOLATILITY	568	-12.2%	-0.49	26%
train	NORMAL	1,601	-0.1%	-0.00	27%
train	SIDEWAYS	592	-22.7%	-1.23	15%
train	UPTREND	902	71.8%	1.67	71%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	56.4%	1.02	63%
validation	EXTREME	144	305.6%	3.94	77%
validation	HIGH VOLATILITY	258	76.4%	1.21	39%
validation	LOW VOLATILITY	183	17.6%	0.73	46%
validation	MEDIUM VOLATILITY	315	89.3%	2.17	45%
validation	NORMAL	474	-1.5%	-0.05	27%
validation	SIDEWAYS	206	-29.6%	-1.52	9%
validation	UPTREND	425	134.5%	2.21	73%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-13	2026-07-16	$394.76	$391.06	-3.46%	4
2026-05-14	2026-06-08	$443.30	$408.95	-12.36%	17
2025-12-15	2026-01-07	$475.31	$431.41	-5.85%	16
2025-08-25	2025-11-14	$346.60	$404.35	17.99%	59
2025-07-31	2025-08-04	$308.27	$309.26	-5.34%	3
2025-05-16	2025-06-13	$349.98	$325.31	-7.10%	20
2024-11-07	2025-01-14	$296.91	$396.36	39.51%	45
2024-10-03	2024-10-14	$240.66	$219.16	-12.71%	8
2024-09-05	2024-09-20	$230.17	$238.25	10.95%	12
2024-06-27	2024-08-02	$197.42	$207.67	10.21%	26
2023-05-31	2023-08-02	$203.93	$254.11	29.52%	44
2023-04-10	2023-04-20	$184.51	$162.99	-2.61%	9
2023-02-10	2023-03-08	$196.89	$182.00	-9.64%	18
2022-09-21	2022-09-26	$300.80	$276.01	-11.00%	4
2022-08-02	2022-08-29	$300.59	$284.82	-3.28%	20
2022-04-05	2022-04-27	$363.75	$293.84	-23.64%	16
2022-01-04	2022-01-19	$383.20	$331.88	-14.28%	11
2021-08-04	2021-12-01	$236.97	$365.00	60.97%	84
2020-11-19	2021-02-11	$166.42	$270.55	65.06%	57
2020-10-22	2020-10-29	$141.93	$136.94	-4.12%	6
2020-10-07	2020-10-20	$141.77	$140.65	3.87%	10
2020-08-14	2020-09-24	$110.05	$129.26	17.09%	29
2020-05-15	2020-08-10	$53.28	$94.57	80.47%	60
2019-10-17	2020-03-04	$17.46	$49.97	186.44%	95
2019-09-13	2019-09-27	$16.35	$16.14	-1.54%	11
2019-07-22	2019-08-12	$17.05	$15.27	-9.16%	16
2018-11-07	2018-12-19	$23.21	$22.20	-1.38%	29
2018-08-03	2018-08-28	$23.21	$20.79	-8.84%	18
2018-06-12	2018-07-06	$22.85	$20.59	-7.09%	18
2018-03-13	2018-03-19	$22.79	$20.90	-7.18%	5
2018-01-23	2018-02-09	$23.52	$20.69	-10.51%	14
2017-09-18	2017-09-29	$25.67	$22.74	-10.76%	10
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-06-01	2017-07-06	$22.69	$20.59	-4.27%	25
2017-03-28	2017-05-24	$18.50	$20.68	12.23%	41
2016-12-28	2017-03-08	$14.65	$16.46	13.01%	48
2016-07-26	2016-08-23	$15.30	$14.99	-3.27%	21
2016-03-28	2016-05-04	$15.35	$14.84	1.80%	28
2015-04-29	2015-07-28	$15.50	$17.65	9.56%	63
2015-04-14	2015-04-21	$13.83	$13.96	-2.35%	6
2014-08-05	2014-09-16	$15.90	$17.38	6.22%	30
2014-06-23	2014-07-17	$15.81	$14.36	-5.60%	18
2014-01-24	2014-03-26	$11.64	$14.20	21.21%	43
2013-07-01	2013-10-22	$7.81	$11.44	60.46%	80
2013-03-26	2013-06-26	$2.52	$7.05	172.31%	65
2013-01-25	2013-02-26	$2.47	$2.30	-7.24%	22
2012-11-12	2013-01-11	$2.07	$2.19	10.37%	42
2012-08-24	2012-08-29	$1.97	$1.89	-6.83%	4
2012-02-23	2012-04-10	$2.30	$2.16	-3.32%	33