PriceMomentum_V1581

ARCHIVEDhybrid

llm1) Simplified and consolidated entry into two clear branches: a momentum breakout arm (ret_20d + breakout_20) and a trend-follow arm (close>sma_50>sma_200, macd_hist>0, moderate 20d return and not far below sma_50). 2) Added a volatility filter on the breakout arm (vol_pctile<0.70) to avoid entries in extreme vol. 3) Replaced single macd exit with a safer exit OR that includes short-term loss (ret_5d<-6%) and a hard drawdown guard (drawdown<-18%). 4) Introduced regime gates: only allow UPTREND and non-HIGH volatility, avoid EXTREME bubble states. 5) Reduced base_position to 0.7 to lower position sizing and expected max drawdown.

Fitness

0.3325

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

PriceMomentum_V1439S1439 · gen 66ELITEllm

changed dist_sma_50 threshold -0.2357 -> -0.0777

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1581  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((ret_20d > 0.15 and breakout_20 == 1 and vol_pctile < 0.7) or (close > sma_50 and sma_50 > sma_200 and macd_hist > 0.0 and ret_20d > 0.05 and dist_sma_50 > -0.05)):
    position = 0.7
if long and (macd_hist < 0.0 or ret_5d < -0.06 or drawdown < -0.18):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.6%	18.1%	2.4%	6.3%
Total Return	32.9%	64.7%	9.5%	144.6%
Sharpe	0.42	1.19	0.31	0.62
Sortino	0.23	0.72	0.11	0.32
Calmar	0.31	0.78	0.19	0.27
Volatility	9.6%	14.8%	8.9%	10.7%
Max DD	-11.6%	-23.1%	-12.9%	-23.1%
Win Rate	41.0%	50.0%	65.0%	49.3%
Avg Win	4.4%	9.8%	2.5%	5.2%
Avg Loss	-1.9%	-2.7%	-3.2%	-2.3%
Payoff	2.28	3.61	0.79	2.23
Expectancy	0.7%	3.5%	0.5%	1.4%
Profit Factor	1.58	3.61	1.46	2.17
Trades	39	16	20	75
Avg Holding Days	5.6	6.6	3.1	5.3
Turnover	6.9	7.5	7.4	7.1
Exposure	6.6%	8.3%	3.2%	6.1%

Growth of $100

PriceMomentum_V1581 vs TSLA Buy & Hold

PriceMomentum_V1581 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	0.6%	0.13	-4.7%	7
2017	6.8%	0.66	-7.8%	13
2018	-3.6%	-0.82	-5.4%	1
2019	6.6%	1.31	-2.6%	0
2020	39.8%	2.11	-5.6%	5
2021	31.6%	1.60	-12.0%	8
2022	-12.7%	-1.93	-12.6%	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	14.5%	1.03	13%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-12.0%	-1.43	1%
hidden test	LOW VOLATILITY	443	9.8%	1.19	4%
hidden test	MEDIUM VOLATILITY	251	5.5%	0.52	4%
hidden test	NORMAL	817	1.8%	0.21	2%
hidden test	SIDEWAYS	298	-0.1%	-0.92	0%
hidden test	UPTREND	371	7.2%	0.50	8%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	22.9%	1.38	18%
train	EXTREME	100	8.1%	1.55	1%
train	HIGH VOLATILITY	699	8.9%	0.93	1%
train	LOW VOLATILITY	745	4.7%	0.49	14%
train	MEDIUM VOLATILITY	568	-2.9%	-0.31	4%
train	NORMAL	1,601	0.1%	0.01	5%
train	SIDEWAYS	592	-2.4%	-0.90	0%
train	UPTREND	902	10.5%	0.74	14%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	67.0%	3.00	22%
validation	EXTREME	144	26.9%	2.28	1%
validation	HIGH VOLATILITY	258	-8.3%	-1.00	0%
validation	LOW VOLATILITY	183	16.7%	1.85	12%
validation	MEDIUM VOLATILITY	315	39.6%	1.93	13%
validation	NORMAL	474	0.6%	0.05	6%
validation	SIDEWAYS	206	-5.8%	-1.12	0%
validation	UPTREND	425	34.4%	1.77	15%

Trades (full period)

75 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2025-12-30	$475.31	$454.43	0.04%	11
2025-09-15	2025-10-06	$410.04	$453.25	5.91%	16
2025-05-28	2025-05-29	$356.90	$358.43	-1.29%	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
2024-07-11	2024-07-12	$241.03	$248.23	-6.05%	2
2024-07-09	2024-07-10	$262.33	$263.26	2.46%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.32%	2
2024-07-02	2024-07-03	$231.26	$246.39	6.99%	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
2023-06-20	2023-06-21	$274.45	$259.46	3.59%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.66%	2
2023-06-12	2023-06-13	$249.83	$258.71	1.41%	2
2023-06-08	2023-06-09	$234.86	$244.40	3.07%	2
2023-06-06	2023-06-07	$221.31	$224.57	1.05%	2
2023-06-02	2023-06-05	$213.97	$217.61	2.03%	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
2022-04-05	2022-04-11	$363.75	$325.31	-7.53%	5
2021-10-13	2021-11-10	$270.36	$355.98	18.67%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.86%	2
2021-09-28	2021-10-07	$259.19	$264.54	-0.90%	8
2021-09-08	2021-09-21	$251.29	$246.46	-2.24%	10
2021-01-26	2021-01-27	$294.36	$288.05	0.04%	2
2021-01-20	2021-01-25	$283.48	$293.60	0.03%	4
2021-01-12	2021-01-19	$283.15	$281.52	1.18%	5
2021-01-04	2021-01-11	$243.26	$270.40	16.72%	6
2020-12-18	2020-12-23	$231.67	$215.33	-1.72%	4
2020-12-10	2020-12-17	$209.02	$218.63	2.02%	6
2020-11-19	2020-12-08	$166.42	$216.63	21.45%	13
2020-10-16	2020-10-20	$146.56	$140.65	-2.96%	3
2019-12-17	2020-01-22	$25.27	$37.97	28.90%	24
2018-12-13	2018-12-18	$25.12	$22.47	-3.59%	4
2017-09-18	2017-09-25	$25.67	$23.00	-5.46%	6
2017-08-15	2017-08-18	$24.16	$23.16	-2.42%	4
2017-08-04	2017-08-07	$23.79	$23.68	1.84%	2
2017-06-05	2017-06-14	$23.15	$25.38	7.23%	8
2017-05-15	2017-05-16	$21.06	$21.13	-2.06%	2
2017-05-02	2017-05-04	$21.26	$19.70	-2.70%	3
2017-04-26	2017-04-27	$20.68	$20.58	-0.95%	2
2017-04-20	2017-04-21	$20.17	$20.37	-0.83%	2
2017-03-28	2017-04-04	$18.50	$20.25	7.13%	6
2017-02-10	2017-02-22	$17.95	$18.23	2.02%	8
2017-01-17	2017-02-02	$15.71	$16.77	3.23%	13
2017-01-09	2017-01-10	$15.42	$15.32	0.55%	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
2016-04-05	2016-04-14	$17.03	$16.79	2.04%	8
2015-07-21	2015-07-22	$17.78	$17.86	-3.98%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.08%	13
2015-05-13	2015-05-22	$16.21	$16.52	0.12%	8
2015-04-30	2015-05-01	$15.07	$15.07	-2.07%	2
2014-08-29	2014-09-12	$17.98	$18.61	4.23%	10
2014-08-26	2014-08-27	$17.45	$17.55	-0.36%	2
2014-08-05	2014-08-25	$15.90	$17.50	5.20%	15
2014-06-23	2014-07-07	$15.81	$14.84	-0.20%	10
2014-02-13	2014-02-26	$13.31	$16.87	18.38%	9
2013-09-20	2013-10-04	$12.23	$12.07	-1.87%	11
2013-09-09	2013-09-10	$10.71	$11.09	-2.77%	2
2013-03-27	2013-04-02	$2.54	$2.96	11.07%	4
2013-01-24	2013-02-14	$2.47	$2.55	4.62%	16
2012-11-29	2012-12-14	$2.25	$2.25	0.70%	12
2012-03-28	2012-04-05	$2.52	$2.30	-5.53%	7
2012-03-13	2012-03-16	$2.41	$2.35	-2.10%	4
2012-02-23	2012-02-29	$2.30	$2.23	-0.97%	5
2012-02-21	2012-02-22	$2.30	$2.28	-1.08%	2