Fitness
0.1712
Generation
0
Complexity
4
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (2)
Strategy Logic (pseudocode)
# BullPullback_V0014 [buy_the_dip]
if flat and (close > sma_200 and dist_sma_20 < -0.05):
position = 1.0
if long and dist_sma_20 > 0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.7% | -5.9% | -6.3% | -1.4% |
| Total Return | 23.8% | -16.6% | -21.3% | -18.8% |
| Sharpe | 0.23 | 0.08 | -0.07 | 0.11 |
| Sortino | 0.14 | 0.06 | -0.06 | 0.07 |
| Calmar | 0.08 | -0.11 | -0.13 | -0.02 |
| Volatility | 24.3% | 43.7% | 30.2% | 30.7% |
| Max DD | -34.5% | -51.8% | -48.1% | -66.4% |
| Win Rate | 50.0% | 50.0% | 55.6% | 51.4% |
| Avg Win | 8.2% | 14.3% | 9.3% | 10.2% |
| Avg Loss | -4.9% | -14.9% | -15.2% | -10.3% |
| Payoff | 1.67 | 0.96 | 0.61 | 0.99 |
| Expectancy | 1.6% | -0.3% | -1.6% | 0.2% |
| Profit Factor | 1.67 | 0.96 | 0.76 | 1.05 |
| Trades | 16 | 10 | 9 | 35 |
| Avg Holding Days | 24.4 | 21.8 | 29.6 | 25.0 |
| Turnover | 4.0 | 6.7 | 4.9 | 4.8 |
| Exposure | 18.6% | 27.5% | 27.6% | 22.7% |
Growth of $100
BullPullback_V0014 vs TSLA Buy & Hold
BullPullback_V0014 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 | -3.3% | -0.31 | -12.0% | 1 |
| 2017 | 8.8% | 0.50 | -16.8% | 3 |
| 2018 | -0.2% | 0.07 | -11.4% | 0 |
| 2019 | 11.0% | 1.23 | -3.2% | 1 |
| 2020 | 37.7% | 0.87 | -51.8% | 5 |
| 2021 | -12.5% | -0.17 | -31.0% | 3 |
| 2022 | -30.9% | -0.74 | -43.9% | 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 | -2.2% | -0.07 | 21% |
| hidden test | EXPENSIVE | 83 | 16.6% | 0.38 | 17% |
| hidden test | EXTREME | 48 | 23.1% | 0.65 | 44% |
| hidden test | HIGH VOLATILITY | 254 | 50.6% | 1.24 | 23% |
| hidden test | LOW VOLATILITY | 429 | -33.1% | -1.30 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -2.1% | -0.09 | 19% |
| hidden test | NORMAL | 800 | -5.4% | -0.19 | 28% |
| hidden test | SIDEWAYS | 293 | -43.8% | -1.72 | 28% |
| hidden test | UPTREND | 371 | 31.2% | 0.94 | 32% |
| train | DOWNTREND | 518 | -23.9% | -1.40 | 7% |
| train | EXPENSIVE | 311 | 13.6% | 0.41 | 21% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.7% | 0.08 | 18% |
| train | LOW VOLATILITY | 745 | -6.6% | -0.54 | 13% |
| train | MEDIUM VOLATILITY | 568 | 25.3% | 1.05 | 27% |
| train | NORMAL | 1,601 | 4.4% | 0.19 | 19% |
| train | SIDEWAYS | 592 | 37.4% | 1.21 | 22% |
| train | UPTREND | 902 | 1.7% | 0.07 | 23% |
| validation | DOWNTREND | 125 | -21.9% | -0.68 | 22% |
| validation | EXPENSIVE | 138 | 31.7% | 0.62 | 31% |
| validation | EXTREME | 144 | 48.3% | 1.33 | 8% |
| validation | HIGH VOLATILITY | 258 | 43.5% | 0.69 | 32% |
| validation | LOW VOLATILITY | 183 | 7.9% | 0.37 | 27% |
| validation | MEDIUM VOLATILITY | 315 | -31.9% | -0.99 | 24% |
| validation | NORMAL | 474 | -18.4% | -0.42 | 32% |
| validation | SIDEWAYS | 206 | -48.1% | -0.98 | 47% |
| validation | UPTREND | 425 | 35.9% | 0.82 | 20% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-01-05 | 2026-04-16 | $451.67 | $388.90 | -10.70% | 71 | |
| 2025-11-14 | 2025-12-04 | $404.35 | $454.53 | 10.91% | 14 | |
| 2025-06-10 | 2025-06-24 | $326.09 | $340.47 | 12.78% | 10 | |
| 2025-01-03 | 2025-03-25 | $410.44 | $288.14 | -26.74% | 55 | |
| 2024-10-14 | 2024-10-25 | $219.16 | $269.19 | 19.36% | 10 | |
| 2024-07-25 | 2024-08-20 | $220.25 | $221.10 | 2.91% | 19 | |
| 2024-01-11 | 2024-02-16 | $227.22 | $199.95 | -14.49% | 26 | |
| 2023-09-25 | 2023-11-14 | $246.99 | $237.41 | -8.83% | 37 | |
| 2023-07-28 | 2023-08-30 | $266.44 | $256.90 | 0.38% | 24 | |
| 2022-04-21 | 2022-06-03 | $336.26 | $234.52 | -20.85% | 31 | |
| 2022-01-20 | 2022-03-18 | $332.09 | $301.80 | -12.63% | 41 | |
| 2021-12-06 | 2021-12-27 | $336.34 | $364.65 | 4.92% | 15 | |
| 2021-05-05 | 2021-06-24 | $223.65 | $226.61 | -2.72% | 36 | |
| 2021-02-11 | 2021-04-06 | $270.55 | $230.54 | -14.31% | 37 | |
| 2020-10-29 | 2020-11-18 | $136.94 | $162.21 | 8.55% | 15 | |
| 2020-09-24 | 2020-10-01 | $129.26 | $149.39 | 12.57% | 6 | |
| 2020-09-09 | 2020-09-16 | $122.09 | $147.25 | 35.95% | 6 | |
| 2020-08-11 | 2020-08-13 | $91.63 | $108.07 | 9.38% | 3 | |
| 2020-02-28 | 2020-04-07 | $44.53 | $36.36 | -24.12% | 28 | |
| 2018-12-20 | 2019-01-11 | $21.03 | $23.15 | 3.39% | 15 | |
| 2017-09-28 | 2017-12-12 | $22.64 | $22.74 | -3.73% | 53 | |
| 2017-07-06 | 2017-08-04 | $20.59 | $23.79 | 5.90% | 22 | |
| 2017-02-28 | 2017-03-27 | $16.67 | $18.01 | 6.66% | 20 | |
| 2016-05-04 | 2016-05-27 | $14.84 | $14.87 | -3.30% | 18 | |
| 2015-10-02 | 2015-11-05 | $16.50 | $15.45 | -3.63% | 25 | |
| 2015-07-28 | 2015-09-15 | $17.65 | $16.90 | -0.12% | 35 | |
| 2014-09-16 | 2014-11-07 | $17.38 | $16.01 | -5.17% | 39 | |
| 2014-07-18 | 2014-08-04 | $14.67 | $15.90 | 8.08% | 12 | |
| 2014-05-09 | 2014-05-23 | $12.15 | $13.82 | 14.49% | 11 | |
| 2014-03-24 | 2014-04-23 | $14.68 | $13.87 | -4.67% | 22 | |
| 2014-01-14 | 2014-01-15 | $10.75 | $10.94 | 15.52% | 2 | |
| 2013-10-10 | 2013-12-04 | $11.53 | $9.26 | -14.44% | 39 | |
| 2013-02-22 | 2013-03-08 | $2.41 | $2.56 | 8.52% | 11 | |
| 2012-04-10 | 2012-06-19 | $2.16 | $2.14 | -4.15% | 50 | |
| 2012-01-04 | 2012-01-27 | $1.85 | $1.96 | 2.86% | 17 |