PriceMomentum_V1563

ARCHIVEDhybrid

llmSimplified and strengthened entry momentum rules; added a volatility gate requiring higher rel_volume in high-vol regimes; tightened trend quality check (sma_200_slope) and emphasized macd + sma_50 alignment; expanded exit to include short-term loss (ret_5d) and drawdown stop; added regime gates to avoid downtrend/high-vol/extreme-bubble; added position scaling by vol_pctile (1.0/0.6/0.3) to reduce exposure in volatile periods.

Fitness

0.1940

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

PriceMomentum_V1339S1339 · gen 61ARCHIVEDllm

changed dist_sma_50 threshold -0.0774 -> -0.2357

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1563  [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 > 0.12 and breakout_20 == 1 and (sma_200_slope > -0.001 or close > sma_50)) or (macd_hist > 0.0 and close > sma_50 and (breakout_50 == 1 or sma_50 > sma_200))) and (vol_pctile < 0.75 or (vol_pctile >= 0.75 and rel_volume > 1.2))):
    position = 1.0
if long and (macd_hist < 0.0 or ret_5d < -0.06 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.4%	7.9%	8.1%	3.8%
Total Return	3.3%	25.6%	34.3%	74.3%
Sharpe	0.11	0.48	0.50	0.30
Sortino	0.06	0.28	0.31	0.17
Calmar	0.01	0.40	0.43	0.10
Volatility	16.5%	19.7%	19.1%	17.9%
Max DD	-37.4%	-19.8%	-18.9%	-37.4%
Win Rate	42.5%	27.3%	47.1%	41.2%
Avg Win	6.6%	16.4%	8.2%	8.1%
Avg Loss	-4.3%	-2.7%	-3.3%	-3.8%
Payoff	1.52	6.08	2.46	2.14
Expectancy	0.3%	2.5%	2.1%	1.1%
Profit Factor	1.12	2.28	2.19	1.50
Trades	40	11	17	68
Avg Holding Days	7.8	10.5	9.0	8.5
Turnover	10.0	7.3	9.3	9.3
Exposure	13.4%	13.9%	14.9%	13.9%

Growth of $100

PriceMomentum_V1563 vs TSLA Buy & Hold

PriceMomentum_V1563 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	-9.9%	-0.79	-11.9%	5
2017	14.2%	1.21	-5.5%	6
2018	-5.9%	-0.69	-7.7%	2
2019	9.4%	0.49	-14.9%	3
2020	0.0%	0.00	0.0%	0
2021	4.2%	0.29	-19.8%	7
2022	6.3%	0.44	-15.9%	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	279	0.0%	0.00	0%
hidden test	EXPENSIVE	83	21.7%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-3.3%	-0.21	2%
hidden test	LOW VOLATILITY	443	11.6%	0.61	22%
hidden test	MEDIUM VOLATILITY	251	19.2%	0.86	16%
hidden test	NORMAL	817	9.0%	0.45	17%
hidden test	SIDEWAYS	298	-9.9%	-0.45	26%
hidden test	UPTREND	371	32.6%	1.39	17%
train	DOWNTREND	518	-3.5%	-0.93	0%
train	EXPENSIVE	311	12.9%	1.83	2%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	8.0%	0.47	1%
train	LOW VOLATILITY	745	17.9%	1.14	26%
train	MEDIUM VOLATILITY	568	-27.0%	-1.60	13%
train	NORMAL	1,601	-0.3%	-0.02	16%
train	SIDEWAYS	592	-10.2%	-0.57	18%
train	UPTREND	902	12.6%	0.64	18%
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	1.3%	0.07	1%
validation	LOW VOLATILITY	183	7.9%	0.56	28%
validation	MEDIUM VOLATILITY	315	17.1%	0.73	16%
validation	NORMAL	474	15.1%	0.61	22%
validation	SIDEWAYS	206	6.7%	0.33	19%
validation	UPTREND	425	13.6%	0.61	15%

Trades (full period)

69 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-10-07	—	$377.81	—	-0.80%	5	OPEN
2026-05-08	2026-05-19	$428.35	$404.11	-0.63%	8
2025-12-04	2025-12-30	$454.53	$454.43	2.68%	18
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2025-08-27	2025-09-03	$349.60	$334.09	-6.53%	5
2025-07-21	2025-08-01	$328.49	$302.63	-6.67%	10
2025-05-12	2025-05-13	$318.38	$334.07	6.54%	2
2024-09-23	2024-10-04	$250.00	$250.08	0.81%	10
2024-09-16	2024-09-20	$226.78	$238.25	5.71%	5
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-06-27	2024-07-12	$197.42	$248.23	22.50%	11
2023-12-15	2024-01-02	$253.50	$248.42	-1.22%	11
2023-11-16	2023-12-14	$233.59	$251.05	-1.66%	20
2023-10-06	2023-10-17	$260.53	$254.85	-2.55%	8
2023-08-30	2023-09-22	$256.90	$244.88	-0.77%	17
2023-07-18	2023-07-19	$293.34	$291.26	0.82%	2
2023-07-05	2023-07-07	$282.48	$274.43	-1.37%	3
2023-05-31	2023-06-27	$203.93	$250.21	19.59%	19
2022-08-16	2022-08-19	$306.56	$296.67	-2.28%	4
2022-08-02	2022-08-12	$300.59	$300.03	-3.77%	9
2022-03-21	2022-04-11	$307.05	$325.31	13.04%	16
2021-12-28	2022-01-04	$362.82	$383.20	9.46%	6
2021-10-13	2021-11-10	$270.36	$355.98	26.78%	21
2021-10-08	2021-10-11	$261.83	$263.98	-1.22%	2
2021-09-28	2021-10-07	$259.19	$264.54	-1.29%	8
2021-08-31	2021-09-21	$245.24	$246.46	-0.30%	15
2021-08-03	2021-08-17	$236.58	$221.90	-3.50%	11
2021-06-24	2021-07-12	$226.61	$228.57	-0.14%	12
2021-04-14	2021-04-29	$244.08	$225.67	-9.10%	12
2019-12-16	2019-12-17	$25.43	$25.27	6.24%	2
2019-10-15	2019-10-25	$17.19	$21.88	16.39%	9
2019-07-22	2019-07-26	$17.05	$15.20	-11.55%	5
2018-12-11	2018-12-18	$24.45	$22.47	-4.77%	6
2018-01-18	2018-02-05	$22.97	$22.21	-1.18%	13
2017-12-12	2017-12-26	$22.74	$21.15	-1.32%	10
2017-10-12	2017-10-23	$23.71	$22.47	-2.87%	8
2017-03-24	2017-03-28	$17.54	$18.50	5.85%	3
2017-03-20	2017-03-23	$17.46	$16.99	-2.68%	4
2017-02-01	2017-02-02	$16.62	$16.77	-1.27%	2
2016-12-28	2017-01-25	$14.65	$16.96	15.75%	19
2016-07-22	2016-08-09	$14.82	$15.27	2.36%	13
2016-06-08	2016-06-15	$15.70	$14.51	-7.66%	6
2016-04-05	2016-04-14	$17.03	$16.79	2.85%	8
2016-03-21	2016-03-24	$15.89	$15.18	-4.55%	4
2015-12-31	2016-01-06	$16.00	$14.60	-6.34%	4
2015-09-21	2015-09-30	$17.61	$16.56	-5.55%	8
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-06-22	2015-07-09	$17.32	$17.19	-3.07%	13
2015-04-28	2015-05-22	$15.37	$16.52	5.86%	19
2014-11-25	2014-12-01	$16.54	$15.44	-1.09%	4
2014-11-12	2014-11-24	$16.61	$16.45	-3.50%	9
2014-10-08	2014-10-13	$17.29	$14.97	-8.91%	4
2014-09-02	2014-09-12	$18.94	$18.61	3.73%	9
2014-08-28	2014-08-29	$17.59	$17.98	0.03%	2
2014-08-26	2014-08-27	$17.45	$17.55	-0.51%	2
2014-07-31	2014-08-25	$14.89	$17.50	11.94%	18
2014-05-28	2014-07-07	$14.02	$14.84	8.14%	28
2014-01-07	2014-01-08	$9.96	$10.09	1.40%	2
2013-03-27	2013-04-02	$2.54	$2.96	15.80%	4
2013-03-08	2013-03-18	$2.56	$2.34	-7.87%	7
2013-02-12	2013-02-14	$2.53	$2.55	-0.12%	3
2013-01-23	2013-01-24	$2.40	$2.47	2.10%	2
2012-11-14	2012-12-14	$2.09	$2.25	6.11%	22
2012-07-16	2012-07-23	$2.40	$2.04	-7.36%	6
2012-06-27	2012-07-02	$2.13	$2.03	-1.21%	4
2012-06-19	2012-06-25	$2.14	$2.21	5.91%	5
2012-03-28	2012-04-05	$2.52	$2.30	-7.93%	7
2012-03-13	2012-03-16	$2.41	$2.35	-3.00%	4
2012-02-15	2012-02-29	$2.24	$2.23	1.73%	10