PriceMomentum_V1607

ARCHIVEDhybrid

llmAdded a strict trend gate (UPTREND) and excluded inflated market states (bubble= NORMAL). Simplified entry into two clear arms: momentum above sma_50 with positive sma slope and RSI filter, or a volume-backed 20-day breakout arm. Improved exits: combine momentum stop (ret_20d<-5%), trend break (close < sma_50), and a drawdown stop (drawdown >12%). Replaced single high-volatility scale with graduated sizing across vol regimes and reduced base position to 0.8 to lower drawdown risk.

Fitness

0.4433

Generation

Complexity

Created

2026-10-15

Lineage

Parents (1)

PriceMomentum_V0690S0690 · gen 32ELITEllm

entry = PriceMomentum_V0671 OR PriceMomentum_V0640

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1607  [hybrid]
if flat and ((close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.05 and rsi_14 < 80.0) or (breakout_20 > 0.0 and ret_5d > 0.01 and volume_breakout > 0.0)):
    position = 0.8
if long and (ret_20d < -0.05 or close < sma_50 or drawdown > 0.12):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	9.7%	35.9%	4.8%	13.5%
Total Return	110.1%	150.8%	19.5%	544.6%
Sharpe	0.63	1.65	0.36	0.80
Sortino	0.54	1.80	0.26	0.69
Calmar	0.27	1.13	0.21	0.37
Volatility	17.1%	19.8%	17.5%	17.8%
Max DD	-36.5%	-31.8%	-23.0%	-36.5%
Win Rate	42.3%	45.5%	36.4%	41.7%
Avg Win	10.7%	29.5%	16.8%	19.1%
Avg Loss	-4.0%	-5.7%	-5.7%	-4.8%
Payoff	2.69	5.17	2.94	4.00
Expectancy	2.2%	10.3%	2.5%	5.2%
Profit Factor	1.98	4.31	1.68	2.86
Trades	26	11	11	48
Avg Holding Days	29.3	30.8	25.5	29.9
Turnover	6.0	5.0	5.2	5.5
Exposure	21.4%	20.8%	15.2%	19.8%

Growth of $100

PriceMomentum_V1607 vs TSLA Buy & Hold

PriceMomentum_V1607 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	-5.5%	-0.67	-13.3%	2
2017	8.1%	0.58	-14.6%	4
2018	-10.5%	-0.94	-13.6%	5
2019	12.1%	0.63	-18.5%	2
2020	137.6%	3.63	-8.2%	4
2021	42.0%	1.86	-10.7%	2
2022	-27.2%	-2.60	-27.1%	5

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	-2.2%	-1.49	1%
hidden test	EXPENSIVE	83	49.6%	1.89	36%
hidden test	EXTREME	48	49.5%	2.06	20%
hidden test	HIGH VOLATILITY	254	-12.2%	-1.03	6%
hidden test	LOW VOLATILITY	445	31.8%	1.92	19%
hidden test	MEDIUM VOLATILITY	250	-20.3%	-0.89	18%
hidden test	NORMAL	818	-0.7%	-0.04	13%
hidden test	SIDEWAYS	300	-16.6%	-1.26	13%
hidden test	UPTREND	371	31.1%	1.23	28%
train	DOWNTREND	518	1.0%	0.20	2%
train	EXPENSIVE	311	24.2%	1.15	33%
train	EXTREME	100	104.1%	4.70	31%
train	HIGH VOLATILITY	699	10.1%	0.58	8%
train	LOW VOLATILITY	745	31.2%	1.73	40%
train	MEDIUM VOLATILITY	568	-15.3%	-1.02	14%
train	NORMAL	1,601	2.3%	0.15	19%
train	SIDEWAYS	592	-11.5%	-0.92	10%
train	UPTREND	902	30.9%	1.34	40%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	47.4%	1.86	32%
validation	EXTREME	144	121.6%	4.89	24%
validation	HIGH VOLATILITY	258	21.4%	1.35	8%
validation	LOW VOLATILITY	183	12.2%	0.62	37%
validation	MEDIUM VOLATILITY	315	53.7%	2.36	22%
validation	NORMAL	474	1.3%	0.08	17%
validation	SIDEWAYS	206	-22.7%	-2.06	6%
validation	UPTREND	425	69.0%	2.75	34%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-10-13	—	$375.23	—	-2.38%	2	OPEN
2026-05-14	2026-06-08	$443.30	$408.95	-9.93%	17
2025-12-15	2026-01-05	$475.31	$451.67	-3.75%	14
2025-08-25	2025-11-14	$346.60	$404.35	14.08%	59
2025-05-16	2025-06-06	$349.98	$295.14	-7.94%	15
2024-11-07	2025-01-14	$296.91	$396.36	9.27%	45
2024-09-11	2024-10-14	$228.13	$219.16	-5.87%	24
2024-09-06	2024-09-09	$210.73	$216.27	-4.15%	2
2024-06-18	2024-08-02	$184.86	$207.67	18.65%	32
2024-04-30	2024-05-10	$183.28	$168.47	-2.38%	9
2023-05-31	2023-08-02	$203.93	$254.11	25.19%	44
2023-02-10	2023-03-09	$196.89	$172.92	-5.95%	19
2022-09-21	2022-09-26	$300.80	$276.01	-8.87%	4
2022-08-02	2022-08-31	$300.59	$275.61	-5.86%	22
2022-04-05	2022-04-27	$363.75	$293.84	-11.79%	16
2022-01-13	2022-01-14	$343.85	$349.87	-1.39%	2
2022-01-04	2022-01-07	$383.20	$342.32	-2.36%	4
2021-08-04	2021-12-01	$236.97	$365.00	37.47%	84
2020-11-18	2021-02-11	$162.21	$270.55	32.37%	58
2020-10-07	2020-10-29	$141.77	$136.94	-3.93%	17
2020-08-14	2020-09-24	$110.05	$129.26	9.88%	29
2020-05-15	2020-08-10	$53.28	$94.57	32.87%	60
2019-10-16	2020-03-05	$17.32	$48.30	84.68%	97
2019-09-12	2019-09-25	$16.39	$15.25	-7.76%	10
2019-07-22	2019-08-13	$17.05	$15.67	-9.13%	17
2018-10-29	2018-12-20	$22.32	$21.03	1.67%	37
2018-08-03	2018-08-20	$23.21	$20.56	-2.51%	12
2018-06-07	2018-07-06	$21.07	$20.59	-0.54%	21
2018-03-13	2018-03-15	$22.79	$21.71	-2.73%	3
2018-01-22	2018-02-09	$23.44	$20.69	-6.66%	15
2017-09-18	2017-09-26	$25.67	$23.02	-5.93%	7
2017-08-04	2017-08-21	$23.79	$22.52	-0.24%	12
2017-03-28	2017-07-06	$18.50	$20.59	2.75%	70
2016-12-28	2017-03-09	$14.65	$16.33	11.01%	49
2016-07-26	2016-08-29	$15.30	$14.35	-3.63%	25
2016-03-28	2016-05-04	$15.35	$14.84	0.29%	28
2015-08-06	2015-08-07	$16.41	$16.17	-4.36%	2
2015-04-07	2015-07-28	$13.55	$17.65	23.59%	79
2014-08-04	2014-09-23	$15.90	$16.69	7.17%	36
2014-06-17	2014-07-17	$15.44	$14.36	-2.74%	22
2014-01-15	2014-03-26	$10.94	$14.20	11.24%	49
2013-07-01	2013-10-23	$7.81	$10.97	12.70%	81
2013-03-26	2013-06-26	$2.52	$7.05	40.33%	65
2013-01-24	2013-02-22	$2.47	$2.41	-1.89%	21
2012-11-06	2013-01-14	$2.08	$2.22	3.52%	47
2012-09-18	2012-09-26	$2.09	$1.84	-7.44%	7
2012-08-24	2012-08-27	$1.97	$1.89	-0.84%	2
2012-06-21	2012-07-03	$2.15	$2.04	-3.20%	9
2012-02-16	2012-04-10	$2.28	$2.16	3.46%	37