Fitness
0.4114
Generation
0
Complexity
4
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (2)
Strategy Logic (pseudocode)
# LongMomentum_V0004 [momentum]
if flat and (momentum_60 > 0.1 and ret_5d > 0.0):
position = 1.0
if long and momentum_60 < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.0% | 49.8% | 11.7% | 17.8% |
| Total Return | 114.0% | 236.2% | 50.4% | 1014.0% |
| Sharpe | 0.45 | 1.00 | 0.48 | 0.61 |
| Sortino | 0.44 | 1.06 | 0.49 | 0.60 |
| Calmar | 0.13 | 0.77 | 0.26 | 0.24 |
| Volatility | 34.7% | 56.7% | 38.0% | 40.9% |
| Max DD | -75.9% | -64.7% | -44.9% | -75.9% |
| Win Rate | 19.0% | 50.0% | 44.4% | 34.2% |
| Avg Win | 92.0% | 63.7% | 24.3% | 58.5% |
| Avg Loss | -8.6% | -13.7% | -8.7% | -9.1% |
| Payoff | 10.00 | 4.65 | 2.79 | 6.40 |
| Expectancy | 10.6% | 25.0% | 6.0% | 14.0% |
| Profit Factor | 2.52 | 4.65 | 2.23 | 3.33 |
| Trades | 21 | 8 | 9 | 38 |
| Avg Holding Days | 43.2 | 55.1 | 45.8 | 47.7 |
| Turnover | 5.4 | 5.3 | 4.9 | 5.2 |
| Exposure | 46.5% | 57.3% | 43.3% | 47.9% |
Growth of $100
LongMomentum_V0004 vs TSLA Buy & Hold
LongMomentum_V0004 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 | -14.1% | -0.89 | -22.9% | 2 |
| 2017 | 29.7% | 1.03 | -25.0% | 3 |
| 2018 | -51.9% | -2.35 | -51.8% | 5 |
| 2019 | 25.2% | 0.80 | -34.8% | 3 |
| 2020 | 286.7% | 2.04 | -64.7% | 4 |
| 2021 | 13.1% | 0.50 | -41.0% | 2 |
| 2022 | -35.2% | -1.75 | -35.1% | 2 |
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 | 267 | 4.6% | 0.97 | 3% |
| hidden test | EXPENSIVE | 83 | 44.4% | 0.78 | 90% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 16.5% | 0.33 | 53% |
| hidden test | LOW VOLATILITY | 429 | 41.9% | 1.78 | 29% |
| hidden test | MEDIUM VOLATILITY | 248 | -20.8% | -0.48 | 58% |
| hidden test | NORMAL | 800 | 5.6% | 0.17 | 35% |
| hidden test | SIDEWAYS | 293 | -53.9% | -1.74 | 25% |
| hidden test | UPTREND | 371 | 85.1% | 1.60 | 87% |
| train | DOWNTREND | 518 | -1.4% | -0.93 | 0% |
| train | EXPENSIVE | 311 | 46.7% | 1.05 | 79% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 18.8% | 0.42 | 41% |
| train | LOW VOLATILITY | 745 | 26.6% | 1.13 | 53% |
| train | MEDIUM VOLATILITY | 568 | -3.3% | -0.10 | 46% |
| train | NORMAL | 1,601 | -15.6% | -0.57 | 37% |
| train | SIDEWAYS | 592 | -51.6% | -2.37 | 18% |
| train | UPTREND | 902 | 69.2% | 1.43 | 92% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -17.3% | -0.25 | 94% |
| validation | EXTREME | 144 | 374.0% | 4.29 | 89% |
| validation | HIGH VOLATILITY | 258 | 67.4% | 0.85 | 57% |
| validation | LOW VOLATILITY | 183 | 35.4% | 1.20 | 66% |
| validation | MEDIUM VOLATILITY | 315 | 60.1% | 1.32 | 52% |
| validation | NORMAL | 474 | -18.3% | -0.51 | 37% |
| validation | SIDEWAYS | 206 | -82.4% | -2.62 | 22% |
| validation | UPTREND | 425 | 140.6% | 1.95 | 91% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-16 | $425.30 | $391.06 | -6.40% | 11 | |
| 2026-05-29 | 2026-06-08 | $435.79 | $408.95 | -11.74% | 7 | |
| 2025-09-12 | 2026-01-02 | $395.94 | $438.07 | 21.70% | 78 | |
| 2025-05-28 | 2025-08-11 | $356.90 | $339.03 | -9.34% | 52 | |
| 2024-10-25 | 2025-02-24 | $269.19 | $330.53 | 29.43% | 81 | |
| 2024-06-27 | 2024-10-03 | $197.42 | $240.66 | 26.56% | 69 | |
| 2023-06-02 | 2023-09-11 | $213.97 | $273.58 | 19.51% | 69 | |
| 2023-03-17 | 2023-04-26 | $180.13 | $153.75 | -12.92% | 28 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -3.19% | 17 | |
| 2022-08-05 | 2022-10-04 | $288.17 | $249.44 | -21.62% | 42 | |
| 2021-08-05 | 2022-01-21 | $238.21 | $314.63 | 39.86% | 118 | |
| 2021-03-12 | 2021-03-19 | $231.24 | $218.29 | -6.83% | 6 | |
| 2020-11-19 | 2021-03-08 | $166.42 | $187.67 | 22.63% | 73 | |
| 2020-05-26 | 2020-11-17 | $54.59 | $147.20 | 149.29% | 124 | |
| 2020-04-08 | 2020-05-01 | $36.59 | $46.75 | 43.06% | 17 | |
| 2020-03-25 | 2020-04-03 | $35.95 | $32.00 | -10.18% | 8 | |
| 2019-10-21 | 2020-03-19 | $16.90 | $28.51 | 40.30% | 104 | |
| 2019-08-14 | 2019-09-25 | $14.64 | $15.25 | -5.21% | 30 | |
| 2019-07-24 | 2019-07-26 | $17.66 | $15.20 | -12.22% | 3 | |
| 2018-12-31 | 2019-01-24 | $22.19 | $19.43 | -14.03% | 17 | |
| 2018-11-19 | 2018-12-26 | $23.56 | $21.74 | -16.80% | 25 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-15 | 2018-07-30 | $23.88 | $19.34 | -17.09% | 31 | |
| 2018-02-26 | 2018-03-12 | $23.83 | $23.03 | -7.25% | 11 | |
| 2018-02-01 | 2018-02-12 | $23.28 | $21.05 | -12.56% | 8 | |
| 2017-10-04 | 2017-10-30 | $23.67 | $21.34 | -8.02% | 19 | |
| 2017-07-25 | 2017-09-01 | $22.64 | $23.69 | 3.70% | 29 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-08-10 | 2016-08-23 | $15.04 | $14.99 | -2.88% | 10 | |
| 2016-04-05 | 2016-06-13 | $17.03 | $14.52 | -11.59% | 49 | |
| 2015-04-28 | 2015-08-10 | $15.37 | $16.08 | 4.52% | 73 | |
| 2014-07-24 | 2014-10-28 | $14.90 | $16.18 | -0.57% | 68 | |
| 2014-06-24 | 2014-07-18 | $15.50 | $14.67 | -9.38% | 18 | |
| 2014-01-29 | 2014-05-09 | $11.68 | $12.15 | -0.08% | 71 | |
| 2012-11-23 | 2013-11-11 | $2.14 | $9.65 | 324.00% | 244 | |
| 2012-03-12 | 2012-05-07 | $2.40 | $2.16 | -8.56% | 40 | |
| 2012-02-21 | 2012-03-05 | $2.30 | $2.25 | -2.86% | 10 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |