PriceMomentum_V1713

ARCHIVEDhybrid

llmAdded regime gates to restrict trading to uptrends and non-bubble environments; tightened position sizing by lowering base_position and adding scaled sizes for LOW/MEDIUM volatility; added momentum (macd_hist) and volatility-percentile confirmation to the main entry leg; added a breakout+momentum alternate entry; replaced the single weak exit with a composite exit: larger fixed 20-day stop, a SMA50 trend exit, and a drawdown-based exit to curb large losses. These structural changes aim to reduce overfitting and drawdown while keeping rules simple.

Fitness

0.1857

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

PriceMomentum_V1683S1683 · gen 78ELITEllm

entry from PriceMomentum_V1405, exit from PriceMomentum_V1021

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1713  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.1275 and cumret_252d > -0.0062 and macd_hist > 0.0 and vol_pctile < 0.8)) or ret_20d > 0.184 or (breakout_20 > 0.0 and macd_hist > 0.0 and ret_5d > 0.02)):
    position = 0.8
if long and (ret_20d < -0.02 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 *= 0.65

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.6%	1.2%	2.9%	3.0%
Total Return	32.9%	3.7%	11.5%	53.6%
Sharpe	0.41	0.16	0.28	0.32
Sortino	0.23	0.07	0.12	0.15
Calmar	0.28	0.05	0.14	0.12
Volatility	9.9%	11.2%	13.3%	11.1%
Max DD	-13.1%	-25.6%	-20.9%	-25.6%
Win Rate	52.9%	20.0%	50.0%	47.1%
Avg Win	5.4%	31.5%	8.0%	8.0%
Avg Loss	-2.3%	-5.7%	-5.5%	-4.1%
Payoff	2.39	5.54	1.46	1.96
Expectancy	1.8%	1.8%	1.3%	1.6%
Profit Factor	2.68	1.39	1.46	1.74
Trades	17	5	12	34
Avg Holding Days	14.8	17.4	8.4	12.9
Turnover	3.4	2.3	4.6	3.5
Exposure	8.8%	7.6%	6.6%	8.0%

Growth of $100

PriceMomentum_V1713 vs TSLA Buy & Hold

PriceMomentum_V1713 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	-3.1%	-0.49	-6.7%	3
2017	9.7%	2.04	-0.9%	2
2018	-7.4%	-1.63	-7.4%	2
2019	5.9%	0.73	-5.9%	1
2020	0.0%	0.00	0.0%	0
2021	26.8%	1.50	-8.9%	2
2022	-18.3%	-2.03	-18.2%	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	33.9%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-16.4%	-1.48	1%
hidden test	LOW VOLATILITY	445	10.4%	0.84	10%
hidden test	MEDIUM VOLATILITY	251	12.6%	0.75	6%
hidden test	NORMAL	819	0.9%	0.07	7%
hidden test	SIDEWAYS	300	-11.2%	-1.44	1%
hidden test	UPTREND	371	18.7%	0.93	16%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.6%	0.60	0%
train	LOW VOLATILITY	745	11.7%	0.87	21%
train	MEDIUM VOLATILITY	568	-6.6%	-1.02	3%
train	NORMAL	1,601	3.7%	0.34	11%
train	SIDEWAYS	592	-3.4%	-1.07	1%
train	UPTREND	902	11.3%	0.77	19%
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	-6.1%	-1.00	0%
validation	LOW VOLATILITY	183	17.1%	1.44	23%
validation	MEDIUM VOLATILITY	315	-0.5%	-0.04	5%
validation	NORMAL	474	2.9%	0.21	12%
validation	SIDEWAYS	206	-13.3%	-1.61	1%
validation	UPTREND	425	9.7%	0.70	13%

Trades (full period)

34 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-4.00%	2
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
2025-12-08	2026-01-05	$439.58	$451.67	-3.06%	19
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-06-02	2025-06-06	$342.69	$295.14	-9.52%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.16%	4
2024-10-07	2024-10-14	$240.83	$219.16	-10.54%	6
2024-09-24	2024-09-27	$254.27	$260.46	0.78%	4
2024-09-16	2024-09-20	$226.78	$238.25	3.00%	5
2024-09-06	2024-09-09	$210.73	$216.27	-4.49%	2
2024-07-02	2024-07-12	$231.26	$248.23	10.53%	8
2023-06-02	2023-08-02	$213.97	$254.11	21.89%	42
2022-08-16	2022-08-22	$306.56	$289.91	-2.86%	5
2022-08-05	2022-08-08	$288.17	$290.42	-3.55%	2
2022-04-05	2022-04-27	$363.75	$293.84	-12.74%	16
2021-08-31	2021-11-10	$245.24	$355.98	31.50%	51
2021-08-05	2021-08-23	$238.21	$235.43	-3.57%	13
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2018-12-11	2018-12-19	$24.45	$22.20	-3.44%	7
2018-02-01	2018-02-06	$23.28	$22.26	-4.11%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-18	$15.30	$14.90	-2.50%	18
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-05-03	$17.03	$15.49	-1.58%	21
2015-05-11	2015-07-28	$15.97	$17.65	8.82%	55
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-08-04	2014-09-16	$15.90	$17.38	7.00%	31
2014-06-23	2014-07-16	$15.81	$14.48	-3.59%	17
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-02-23	2012-04-10	$2.30	$2.16	1.39%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2