Fitness
0.3611
Generation
0
Complexity
7
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (1)
Strategy Logic (pseudocode)
# DefensiveTrend_V0017 [defensive]
if flat and (close > sma_200 and vol_pctile < 0.7):
position = 1.0
if long and (close < sma_200 or drawdown < -0.35):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.1% | 47.6% | -10.9% | 8.8% |
| Total Return | 60.1% | 221.4% | -34.7% | 245.9% |
| Sharpe | 0.34 | 1.07 | -0.22 | 0.42 |
| Sortino | 0.34 | 1.40 | -0.21 | 0.44 |
| Calmar | 0.11 | 0.93 | -0.20 | 0.13 |
| Volatility | 32.1% | 46.4% | 30.6% | 35.2% |
| Max DD | -57.7% | -51.1% | -54.8% | -67.8% |
| Win Rate | 10.0% | 31.3% | 45.5% | 36.7% |
| Avg Win | 66.8% | 53.7% | 2.9% | 12.6% |
| Avg Loss | -4.8% | -4.9% | -3.0% | -3.8% |
| Payoff | 10.00 | 10.00 | 0.96 | 3.34 |
| Expectancy | 2.3% | 13.4% | -0.3% | 2.2% |
| Profit Factor | 1.53 | 4.98 | 0.80 | 1.94 |
| Trades | 30 | 16 | 101 | 147 |
| Avg Holding Days | 34.7 | 32.4 | 4.5 | 14.0 |
| Turnover | 10.4 | 13.3 | 54.4 | 22.0 |
| Exposure | 46.9% | 58.6% | 36.4% | 46.7% |
Growth of $100
DefensiveTrend_V0017 vs TSLA Buy & Hold
DefensiveTrend_V0017 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 | -21.4% | -1.42 | -27.4% | 6 |
| 2017 | 29.1% | 0.98 | -23.4% | 2 |
| 2018 | -20.3% | -1.22 | -24.4% | 4 |
| 2019 | 36.2% | 1.40 | -9.9% | 2 |
| 2020 | 418.2% | 3.35 | -22.8% | 1 |
| 2021 | -5.4% | 0.12 | -51.1% | 6 |
| 2022 | -44.7% | -1.65 | -44.6% | 9 |
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% | -2.28 | 2% |
| hidden test | EXPENSIVE | 83 | 20.4% | 0.44 | 76% |
| hidden test | EXTREME | 48 | 42.0% | 1.04 | 50% |
| hidden test | HIGH VOLATILITY | 254 | -18.6% | -0.81 | 7% |
| hidden test | LOW VOLATILITY | 429 | 18.3% | 0.68 | 47% |
| hidden test | MEDIUM VOLATILITY | 248 | -38.2% | -0.92 | 47% |
| hidden test | NORMAL | 800 | -12.6% | -0.45 | 32% |
| hidden test | SIDEWAYS | 293 | -42.0% | -1.32 | 41% |
| hidden test | UPTREND | 371 | 24.6% | 0.63 | 57% |
| train | DOWNTREND | 518 | -23.5% | -1.46 | 1% |
| train | EXPENSIVE | 311 | 65.7% | 1.48 | 76% |
| train | EXTREME | 100 | 242.6% | 5.47 | 66% |
| train | HIGH VOLATILITY | 699 | 15.2% | 0.45 | 19% |
| train | LOW VOLATILITY | 745 | 22.9% | 0.87 | 63% |
| train | MEDIUM VOLATILITY | 568 | -9.6% | -0.26 | 60% |
| train | NORMAL | 1,601 | -14.0% | -0.50 | 40% |
| train | SIDEWAYS | 592 | -24.1% | -0.86 | 36% |
| train | UPTREND | 902 | 54.0% | 1.34 | 80% |
| validation | DOWNTREND | 125 | -20.2% | -2.54 | 3% |
| validation | EXPENSIVE | 138 | 82.9% | 1.58 | 80% |
| validation | EXTREME | 144 | 260.0% | 4.74 | 53% |
| validation | HIGH VOLATILITY | 258 | 55.2% | 1.21 | 25% |
| validation | LOW VOLATILITY | 183 | 21.1% | 0.65 | 81% |
| validation | MEDIUM VOLATILITY | 315 | 61.6% | 1.15 | 73% |
| validation | NORMAL | 474 | -24.0% | -0.59 | 54% |
| validation | SIDEWAYS | 206 | -46.1% | -1.14 | 54% |
| validation | UPTREND | 425 | 116.6% | 2.14 | 77% |
Trades (full period)
latest 100 of 147
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-21 | 2026-06-08 | $417.85 | $408.95 | -6.48% | 12 | |
| 2026-05-08 | 2026-05-20 | $428.35 | $417.26 | -2.06% | 9 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2025-09-04 | 2026-03-16 | $338.53 | $395.56 | 16.86% | 133 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -5.28% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -9.17% | 19 | |
| 2025-03-03 | 2025-03-04 | $284.65 | $272.04 | -1.52% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -3.24% | 2 | |
| 2024-12-10 | 2025-02-26 | $400.99 | $290.80 | -20.22% | 52 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.00% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-08-29 | 2024-08-30 | $206.28 | $214.11 | 0.03% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.63% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2024-01-04 | 2024-01-05 | $237.93 | $237.49 | -0.42% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.22% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.41% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.78% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -3.89% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-10-04 | 2023-10-05 | $261.16 | $260.05 | 5.73% | 2 | |
| 2023-10-02 | 2023-10-03 | $251.60 | $246.53 | 0.35% | 2 | |
| 2023-09-28 | 2023-09-29 | $246.38 | $250.22 | 2.24% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -1.36% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-11 | 2023-09-19 | $273.58 | $266.50 | 6.55% | 7 | |
| 2023-09-07 | 2023-09-08 | $251.49 | $248.50 | -0.37% | 2 | |
| 2023-09-05 | 2023-09-06 | $256.49 | $251.92 | 4.48% | 2 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.26% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 7.48% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -2.21% | 3 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-24 | 2023-07-26 | $269.06 | $264.35 | 1.82% | 3 | |
| 2023-07-03 | 2023-07-21 | $279.82 | $260.02 | 0.24% | 14 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 |