PriceMomentum_V1663

ARCHIVEDhybrid

llmSimplified and regularized entry, added robust exits, reduced base exposure, and added regime gates. Entry: keep breakout_20 as an immediate signal OR require clear trend/momentum (close>sma_50, sma_50>sma_200), positive macd_hist, meaningful 20d return (>6%) and above-average rel_volume — simplifies complex nested rules to reduce overfitting. Exit: broadened to macd_hist<0 OR short-term loss (ret_5d<-5%) OR drawdown>12% to limit large drawdowns. Regime gates: only allow UPTREND and non-high volatility, and only NORMAL bubble regime to avoid trading in extreme market states. Base position lowered to 0.6 to reduce risk and improve validation robustness.

Fitness

0.1553

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

PriceMomentum_V1277S1277 · gen 59ELITEllm

entry = PriceMomentum_V1210 OR LongTermTrend_V1083

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1663  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (breakout_20 == 1 or (close > sma_50 and sma_50 > sma_200 and macd_hist > 0.0 and ret_20d > 0.06 and rel_volume > 1.0)):
    position = 0.6
if long and (macd_hist < 0.0 or ret_5d < -0.05 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.0%	-1.4%	4.6%	1.4%
Total Return	8.3%	-4.1%	18.6%	23.1%
Sharpe	0.19	-0.11	0.56	0.22
Sortino	0.09	-0.04	0.20	0.09
Calmar	0.12	-0.06	0.42	0.06
Volatility	6.2%	9.1%	8.8%	7.6%
Max DD	-8.7%	-23.9%	-10.9%	-23.9%
Win Rate	43.3%	22.2%	63.6%	44.0%
Avg Win	2.7%	8.3%	4.4%	3.7%
Avg Loss	-1.5%	-2.7%	-3.2%	-2.0%
Payoff	1.78	3.02	1.39	1.83
Expectancy	0.3%	-0.3%	1.7%	0.5%
Profit Factor	1.36	0.86	2.44	1.44
Trades	30	9	11	50
Avg Holding Days	5.4	7.9	5.8	6.0
Turnover	4.5	3.6	3.5	4.1
Exposure	4.0%	4.9%	3.3%	4.0%

Growth of $100

PriceMomentum_V1663 vs TSLA Buy & Hold

PriceMomentum_V1663 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	1.3%	0.29	-4.0%	3
2017	8.7%	2.30	-0.5%	2
2018	-5.6%	-1.38	-5.5%	4
2019	3.5%	0.91	-0.3%	1
2020	0.0%	0.00	0.0%	0
2021	13.1%	0.93	-10.3%	5
2022	-15.2%	-2.49	-15.2%	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	279	0.0%	0.00	0%
hidden test	EXPENSIVE	83	13.0%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.4%	-1.09	1%
hidden test	LOW VOLATILITY	445	8.5%	1.02	4%
hidden test	MEDIUM VOLATILITY	251	14.1%	1.62	4%
hidden test	NORMAL	819	4.4%	0.48	4%
hidden test	SIDEWAYS	300	-4.4%	-1.05	0%
hidden test	UPTREND	371	16.1%	1.20	8%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	6.1%	1.51	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	3.4%	0.60	0%
train	LOW VOLATILITY	745	3.0%	0.42	9%
train	MEDIUM VOLATILITY	568	-3.9%	-0.68	2%
train	NORMAL	1,601	0.3%	0.05	5%
train	SIDEWAYS	592	-2.1%	-0.91	0%
train	UPTREND	902	4.0%	0.44	9%
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	-7.1%	-1.00	0%
validation	LOW VOLATILITY	183	0.6%	0.08	14%
validation	MEDIUM VOLATILITY	315	3.1%	0.28	3%
validation	NORMAL	474	-1.6%	-0.14	8%
validation	SIDEWAYS	206	-8.1%	-1.56	1%
validation	UPTREND	425	2.2%	0.19	8%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-4.61%	2
2025-12-08	2025-12-30	$439.58	$454.43	0.61%	16
2025-09-12	2025-09-15	$395.94	$410.04	4.29%	2
2024-10-03	2024-10-04	$240.66	$250.08	-2.13%	2
2024-09-23	2024-09-27	$250.00	$260.46	3.88%	5
2024-09-16	2024-09-20	$226.78	$238.25	3.45%	5
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-07-02	2024-07-12	$231.26	$248.23	8.84%	8
2023-07-18	2023-07-19	$293.34	$291.26	0.49%	2
2023-07-05	2023-07-07	$282.48	$274.43	-0.82%	3
2023-06-02	2023-06-27	$213.97	$250.21	9.52%	17
2022-09-20	2022-09-23	$308.73	$275.33	-4.12%	4
2022-08-16	2022-08-19	$306.56	$296.67	-1.37%	4
2022-08-05	2022-08-08	$288.17	$290.42	-4.10%	2
2022-04-05	2022-04-11	$363.75	$325.31	-6.48%	5
2021-10-13	2021-11-10	$270.36	$355.98	15.97%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.73%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.54%	9
2021-08-31	2021-09-21	$245.24	$246.46	-0.14%	15
2021-08-05	2021-08-17	$238.21	$221.90	-2.18%	9
2019-12-13	2019-12-17	$23.89	$25.27	3.52%	3
2018-12-11	2018-12-18	$24.45	$22.47	-2.84%	6
2018-12-07	2018-12-10	$23.86	$24.34	-0.96%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.08%	2
2018-02-01	2018-02-05	$23.28	$22.21	-1.91%	3
2017-03-27	2017-03-28	$18.01	$18.50	1.49%	2
2017-01-05	2017-01-25	$15.12	$16.96	7.04%	14
2016-07-26	2016-08-09	$15.30	$15.27	-1.11%	11
2016-06-08	2016-06-09	$15.70	$15.29	0.70%	2
2016-04-05	2016-04-14	$17.03	$16.79	1.76%	8
2015-07-21	2015-07-22	$17.78	$17.86	-3.41%	2
2015-06-22	2015-07-09	$17.32	$17.19	-1.76%	13
2015-06-18	2015-06-19	$17.46	$17.50	0.22%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.19%	2
2015-05-29	2015-06-01	$16.72	$16.63	-0.28%	2
2015-05-12	2015-05-22	$16.32	$16.52	1.42%	9
2015-04-30	2015-05-01	$15.07	$15.07	-1.77%	2
2014-09-02	2014-09-12	$18.94	$18.61	2.28%	9
2014-08-28	2014-08-29	$17.59	$17.98	0.02%	2
2014-08-26	2014-08-27	$17.45	$17.55	-0.30%	2
2014-08-04	2014-08-25	$15.90	$17.50	5.87%	16
2014-06-24	2014-07-07	$15.50	$14.84	-2.11%	9
2013-03-27	2013-04-02	$2.54	$2.96	9.49%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2013-01-03	2013-01-04	$2.32	$2.29	-1.12%	2
2012-11-29	2012-12-14	$2.25	$2.25	0.61%	12
2012-03-27	2012-04-05	$2.53	$2.30	-3.91%	8
2012-03-13	2012-03-16	$2.41	$2.35	-1.80%	4
2012-02-23	2012-02-29	$2.30	$2.23	-0.83%	5
2012-02-21	2012-02-22	$2.30	$2.28	-0.93%	2