Fitness
0.3356
Generation
0
Complexity
4
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (2)
Strategy Logic (pseudocode)
# VolContraction_V0016 [volatility]
if flat and (vol_pctile < 0.35 and ret_20d > 0.0):
position = 1.0
if long and vol_pctile > 0.8:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.3% | 54.9% | 8.2% | 10.4% |
| Total Return | -16.7% | 271.8% | 33.6% | 326.0% |
| Sharpe | 0.14 | 1.10 | 0.40 | 0.44 |
| Sortino | 0.16 | 1.52 | 0.50 | 0.54 |
| Calmar | -0.03 | 0.94 | 0.16 | 0.13 |
| Volatility | 39.1% | 51.9% | 43.0% | 43.0% |
| Max DD | -77.6% | -58.4% | -51.6% | -77.6% |
| Win Rate | 36.8% | 60.0% | 66.7% | 46.7% |
| Avg Win | 25.7% | 67.1% | 11.0% | 33.1% |
| Avg Loss | -14.3% | -10.0% | -7.0% | -12.8% |
| Payoff | 1.80 | 6.71 | 1.56 | 2.58 |
| Expectancy | 0.4% | 36.2% | 5.0% | 8.6% |
| Profit Factor | 1.05 | 10.00 | 3.12 | 2.26 |
| Trades | 19 | 5 | 6 | 30 |
| Avg Holding Days | 71.6 | 102.8 | 99.0 | 83.2 |
| Turnover | 4.9 | 3.3 | 3.5 | 4.2 |
| Exposure | 67.9% | 67.3% | 65.3% | 67.2% |
Growth of $100
VolContraction_V0016 vs TSLA Buy & Hold
VolContraction_V0016 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 | -46.0% | -1.69 | -54.2% | 2 |
| 2017 | 28.6% | 0.94 | -32.4% | 2 |
| 2018 | -25.9% | -1.14 | -39.1% | 3 |
| 2019 | 13.3% | 0.51 | -44.1% | 2 |
| 2020 | 383.4% | 3.52 | -20.6% | 2 |
| 2021 | 31.7% | 0.79 | -41.9% | 1 |
| 2022 | -50.8% | -1.05 | -57.4% | 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 | 6.2% | 0.15 | 58% |
| hidden test | EXPENSIVE | 83 | 125.3% | 2.24 | 58% |
| hidden test | EXTREME | 48 | -35.2% | -0.98 | 23% |
| hidden test | HIGH VOLATILITY | 254 | 18.5% | 0.43 | 16% |
| hidden test | LOW VOLATILITY | 429 | 31.3% | 0.76 | 94% |
| hidden test | MEDIUM VOLATILITY | 248 | -9.1% | -0.20 | 67% |
| hidden test | NORMAL | 800 | 8.9% | 0.21 | 69% |
| hidden test | SIDEWAYS | 293 | -29.8% | -0.69 | 76% |
| hidden test | UPTREND | 371 | 61.9% | 1.39 | 61% |
| train | DOWNTREND | 518 | -58.3% | -1.55 | 67% |
| train | EXPENSIVE | 311 | 57.5% | 1.28 | 72% |
| train | EXTREME | 100 | 87.2% | 1.95 | 19% |
| train | HIGH VOLATILITY | 699 | -8.3% | -0.19 | 25% |
| train | LOW VOLATILITY | 745 | 43.1% | 1.30 | 97% |
| train | MEDIUM VOLATILITY | 568 | -27.4% | -0.66 | 82% |
| train | NORMAL | 1,601 | -9.9% | -0.26 | 70% |
| train | SIDEWAYS | 592 | 17.4% | 0.46 | 58% |
| train | UPTREND | 902 | 34.0% | 0.84 | 75% |
| validation | DOWNTREND | 125 | -30.3% | -0.66 | 50% |
| validation | EXPENSIVE | 138 | 122.4% | 2.61 | 64% |
| validation | EXTREME | 144 | 204.7% | 4.00 | 33% |
| validation | HIGH VOLATILITY | 258 | 66.2% | 1.25 | 25% |
| validation | LOW VOLATILITY | 183 | 59.6% | 1.65 | 98% |
| validation | MEDIUM VOLATILITY | 315 | 48.0% | 0.82 | 84% |
| validation | NORMAL | 474 | -6.8% | -0.13 | 79% |
| validation | SIDEWAYS | 206 | -35.5% | -0.72 | 76% |
| validation | UPTREND | 425 | 127.6% | 2.34 | 68% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2025-08-05 | 2026-07-24 | $308.72 | $313.03 | 3.17% | 244 | |
| 2025-05-27 | 2025-06-24 | $362.89 | $340.47 | 2.55% | 20 | |
| 2024-12-16 | 2025-01-03 | $463.02 | $410.44 | -13.22% | 13 | |
| 2024-10-07 | 2024-10-25 | $240.83 | $269.19 | 3.95% | 15 | |
| 2024-06-07 | 2024-07-22 | $177.48 | $251.51 | 34.16% | 30 | |
| 2023-03-31 | 2024-04-30 | $207.46 | $183.28 | -0.82% | 272 | |
| 2022-07-19 | 2022-12-01 | $245.53 | $194.70 | -19.22% | 96 | |
| 2021-04-27 | 2022-05-12 | $234.91 | $242.67 | -0.77% | 265 | |
| 2020-10-26 | 2021-03-10 | $140.09 | $222.69 | 59.82% | 93 | |
| 2020-06-03 | 2020-07-27 | $58.86 | $102.64 | 60.42% | 38 | |
| 2019-11-22 | 2020-02-04 | $22.20 | $59.14 | 119.37% | 49 | |
| 2019-09-13 | 2019-10-25 | $16.35 | $21.88 | 21.64% | 31 | |
| 2019-02-20 | 2019-07-31 | $20.17 | $16.11 | -20.90% | 113 | |
| 2018-12-13 | 2018-12-27 | $25.12 | $21.08 | -11.23% | 10 | |
| 2018-03-12 | 2018-03-28 | $23.03 | $17.19 | -14.83% | 13 | |
| 2017-12-04 | 2018-02-09 | $20.35 | $20.69 | 2.63% | 47 | |
| 2017-09-01 | 2017-11-22 | $23.69 | $20.84 | -10.88% | 58 | |
| 2016-07-22 | 2017-07-07 | $14.82 | $20.88 | 39.78% | 242 | |
| 2016-03-21 | 2016-06-23 | $15.89 | $13.09 | -15.67% | 67 | |
| 2015-12-10 | 2016-02-09 | $15.14 | $9.88 | -34.22% | 41 | |
| 2015-09-28 | 2015-11-11 | $16.56 | $14.61 | -15.90% | 33 | |
| 2014-02-13 | 2015-08-28 | $13.31 | $16.57 | 24.16% | 389 | |
| 2014-01-03 | 2014-02-06 | $9.97 | $11.89 | 15.97% | 24 | |
| 2013-09-09 | 2013-11-07 | $10.71 | $9.32 | -9.65% | 44 | |
| 2013-07-11 | 2013-07-17 | $8.37 | $8.02 | -10.99% | 5 | |
| 2013-05-06 | 2013-05-10 | $3.97 | $5.12 | 26.98% | 5 | |
| 2012-09-14 | 2013-04-02 | $2.03 | $2.96 | 48.72% | 135 | |
| 2012-07-11 | 2012-08-08 | $2.10 | $1.94 | -3.45% | 21 | |
| 2012-02-15 | 2012-05-30 | $2.24 | $2.03 | -4.65% | 73 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |