Fitness
0.1305
Generation
0
Complexity
5
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (2)
Strategy Logic (pseudocode)
# RSIPullbackInUptrend_V0015 [buy_the_dip]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (rsi_14 < 45.0 and sma_50 > sma_200):
position = 1.0
if long and rsi_14 > 65.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.4% | 3.9% | -4.3% | -2.7% |
| Total Return | -30.3% | 12.3% | -15.0% | -33.5% |
| Sharpe | -0.02 | 0.31 | -0.02 | 0.07 |
| Sortino | -0.02 | 0.26 | -0.02 | 0.06 |
| Calmar | -0.08 | 0.08 | -0.12 | -0.04 |
| Volatility | 27.7% | 44.9% | 27.8% | 32.0% |
| Max DD | -54.3% | -51.8% | -35.7% | -75.1% |
| Win Rate | 46.2% | 50.0% | 45.5% | 46.9% |
| Avg Win | 9.1% | 18.6% | 16.7% | 13.3% |
| Avg Loss | -9.2% | -12.9% | -13.6% | -11.1% |
| Payoff | 0.99 | 1.44 | 1.22 | 1.19 |
| Expectancy | -0.8% | 2.9% | 0.2% | 0.3% |
| Profit Factor | 0.85 | 1.44 | 1.02 | 1.06 |
| Trades | 26 | 12 | 11 | 49 |
| Avg Holding Days | 23.6 | 19.9 | 25.8 | 23.2 |
| Turnover | 6.5 | 8.0 | 6.0 | 6.7 |
| Exposure | 29.2% | 30.0% | 29.3% | 29.4% |
Growth of $100
RSIPullbackInUptrend_V0015 vs TSLA Buy & Hold
RSIPullbackInUptrend_V0015 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 | -21.9% | -1.17 | -28.0% | 2 |
| 2017 | 8.9% | 0.48 | -17.9% | 5 |
| 2018 | -9.6% | -0.50 | -23.9% | 1 |
| 2019 | -5.1% | -0.14 | -17.2% | 1 |
| 2020 | 53.2% | 1.03 | -51.8% | 2 |
| 2021 | -13.7% | -0.17 | -29.8% | 4 |
| 2022 | -25.4% | -0.82 | -33.6% | 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 | 267 | -11.9% | -1.91 | 3% |
| hidden test | EXPENSIVE | 83 | 26.7% | 0.60 | 18% |
| hidden test | EXTREME | 48 | 4.8% | 0.32 | 8% |
| hidden test | HIGH VOLATILITY | 254 | 41.3% | 1.38 | 11% |
| hidden test | LOW VOLATILITY | 429 | -23.9% | -0.98 | 38% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.2% | -0.10 | 33% |
| hidden test | NORMAL | 800 | -3.7% | -0.14 | 32% |
| hidden test | SIDEWAYS | 293 | -48.5% | -1.54 | 43% |
| hidden test | UPTREND | 371 | 45.4% | 1.35 | 38% |
| train | DOWNTREND | 518 | -34.9% | -1.99 | 3% |
| train | EXPENSIVE | 311 | 49.2% | 1.39 | 35% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -3.6% | -0.10 | 29% |
| train | LOW VOLATILITY | 745 | -6.9% | -0.40 | 26% |
| train | MEDIUM VOLATILITY | 568 | 11.0% | 0.41 | 34% |
| train | NORMAL | 1,601 | -10.4% | -0.39 | 30% |
| train | SIDEWAYS | 592 | 11.8% | 0.33 | 51% |
| train | UPTREND | 902 | 10.8% | 0.41 | 29% |
| validation | DOWNTREND | 125 | -36.8% | -3.05 | 6% |
| validation | EXPENSIVE | 138 | 42.3% | 0.73 | 45% |
| validation | EXTREME | 144 | 63.6% | 1.56 | 13% |
| validation | HIGH VOLATILITY | 258 | 43.9% | 0.68 | 34% |
| validation | LOW VOLATILITY | 183 | 4.2% | 0.21 | 21% |
| validation | MEDIUM VOLATILITY | 315 | -5.2% | -0.16 | 31% |
| validation | NORMAL | 474 | -9.5% | -0.23 | 31% |
| validation | SIDEWAYS | 206 | -27.9% | -0.57 | 53% |
| validation | UPTREND | 425 | 49.0% | 1.01 | 26% |
Trades (full period)
49 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-01-05 | 2026-03-16 | $451.67 | $395.56 | -10.88% | 49 | |
| 2025-11-14 | 2025-12-16 | $404.35 | $489.88 | 18.00% | 22 | |
| 2025-07-02 | 2025-08-06 | $315.65 | $319.91 | 2.46% | 25 | |
| 2025-01-30 | 2025-03-05 | $400.28 | $279.10 | -30.22% | 24 | |
| 2024-10-14 | 2024-10-28 | $219.16 | $262.51 | 23.35% | 11 | |
| 2024-08-05 | 2024-09-25 | $198.88 | $257.02 | 22.19% | 37 | |
| 2024-01-04 | 2024-02-02 | $237.93 | $187.91 | -20.96% | 21 | |
| 2023-11-03 | 2023-12-20 | $219.96 | $247.14 | 17.48% | 33 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-08-03 | 2023-10-23 | $259.32 | $212.08 | -16.74% | 57 | |
| 2022-05-18 | 2022-05-23 | $236.60 | $224.97 | -13.01% | 4 | |
| 2022-04-27 | 2022-05-13 | $293.84 | $256.53 | -17.10% | 13 | |
| 2022-03-16 | 2022-03-25 | $280.08 | $336.88 | 26.19% | 8 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.32% | 2 | |
| 2022-01-20 | 2022-02-23 | $332.09 | $254.68 | -17.65% | 24 | |
| 2021-12-06 | 2022-01-04 | $336.34 | $383.20 | 17.97% | 21 | |
| 2021-06-16 | 2021-06-25 | $201.62 | $223.96 | 13.20% | 8 | |
| 2021-05-24 | 2021-06-10 | $202.15 | $203.37 | 2.88% | 13 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2021-02-22 | 2021-05-14 | $238.17 | $196.58 | -26.98% | 59 | |
| 2020-09-09 | 2020-11-19 | $122.09 | $166.42 | 47.09% | 52 | |
| 2020-02-28 | 2020-04-15 | $44.53 | $48.66 | 4.34% | 33 | |
| 2018-12-19 | 2019-03-04 | $22.20 | $19.02 | -12.71% | 50 | |
| 2018-08-20 | 2018-09-06 | $20.56 | $18.73 | -8.29% | 13 | |
| 2017-11-13 | 2017-12-06 | $21.03 | $20.88 | 0.04% | 17 | |
| 2017-11-06 | 2017-11-07 | $20.19 | $20.40 | -1.28% | 2 | |
| 2017-09-25 | 2017-11-03 | $23.00 | $20.41 | -14.93% | 30 | |
| 2017-07-06 | 2017-09-15 | $20.59 | $25.32 | 15.22% | 51 | |
| 2017-02-28 | 2017-03-29 | $16.67 | $18.49 | 12.46% | 22 | |
| 2016-08-26 | 2016-10-06 | $14.67 | $13.40 | -5.85% | 29 | |
| 2016-05-04 | 2016-06-27 | $14.84 | $13.24 | -17.03% | 38 | |
| 2015-11-16 | 2015-11-17 | $14.29 | $14.27 | 3.23% | 2 | |
| 2015-11-03 | 2015-11-11 | $13.89 | $14.61 | 1.06% | 7 | |
| 2015-10-20 | 2015-10-21 | $14.20 | $14.01 | -6.80% | 2 | |
| 2015-07-28 | 2015-10-12 | $17.65 | $14.37 | -12.94% | 54 | |
| 2015-01-08 | 2015-01-13 | $14.04 | $13.62 | -4.33% | 4 | |
| 2014-12-19 | 2015-01-05 | $14.62 | $14.01 | 0.28% | 10 | |
| 2014-12-10 | 2014-12-11 | $13.99 | $13.93 | -3.45% | 2 | |
| 2014-09-16 | 2014-12-02 | $17.38 | $15.43 | -8.93% | 55 | |
| 2014-07-18 | 2014-08-07 | $14.67 | $16.83 | 15.34% | 15 | |
| 2014-03-27 | 2014-06-17 | $13.82 | $15.44 | 5.26% | 57 | |
| 2013-10-24 | 2014-01-17 | $11.54 | $11.33 | 3.73% | 59 | |
| 2013-02-22 | 2013-04-02 | $2.41 | $2.96 | 24.70% | 27 | |
| 2013-01-14 | 2013-01-24 | $2.22 | $2.47 | 9.17% | 8 | |
| 2012-05-22 | 2012-06-04 | $2.05 | $1.86 | -2.34% | 9 | |
| 2012-04-10 | 2012-05-16 | $2.16 | $1.95 | -11.40% | 27 | |
| 2012-01-18 | 2012-02-07 | $1.79 | $2.11 | 19.31% | 15 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |