Fitness
0.3772
Generation
0
Complexity
6
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (1)
Strategy Logic (pseudocode)
# DrawdownControl_V0018 [defensive]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (ret_60d > 0.0 and dist_52w_high > -0.2):
position = 1.0
if long and dist_52w_high < -0.25:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.6Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 56.4% | -11.7% | 7.8% |
| Total Return | 20.5% | 282.7% | -37.0% | 199.3% |
| Sharpe | 0.24 | 1.26 | -0.22 | 0.39 |
| Sortino | 0.24 | 1.44 | -0.24 | 0.41 |
| Calmar | 0.04 | 1.30 | -0.21 | 0.11 |
| Volatility | 33.1% | 42.9% | 32.9% | 35.3% |
| Max DD | -59.8% | -43.3% | -56.3% | -70.9% |
| Win Rate | 11.8% | 55.6% | 12.5% | 23.5% |
| Avg Win | 106.5% | 46.8% | 29.8% | 64.9% |
| Avg Loss | -8.3% | -10.2% | -9.7% | -9.0% |
| Payoff | 10.00 | 4.61 | 3.08 | 7.25 |
| Expectancy | 5.2% | 21.5% | -4.7% | 8.4% |
| Profit Factor | 1.71 | 5.76 | 0.44 | 2.23 |
| Trades | 17 | 9 | 8 | 34 |
| Avg Holding Days | 67.2 | 45.3 | 55.1 | 59.9 |
| Turnover | 6.7 | 6.8 | 5.2 | 6.3 |
| Exposure | 50.5% | 45.8% | 42.5% | 47.5% |
Growth of $100
DrawdownControl_V0018 vs TSLA Buy & Hold
DrawdownControl_V0018 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 | -39.4% | -2.39 | -45.0% | 4 |
| 2017 | 32.2% | 1.05 | -22.3% | 1 |
| 2018 | -15.5% | -0.40 | -22.3% | 2 |
| 2019 | 18.4% | 0.93 | -13.1% | 1 |
| 2020 | 340.3% | 2.90 | -34.5% | 4 |
| 2021 | 7.3% | 0.38 | -34.0% | 3 |
| 2022 | -31.6% | -1.78 | -31.5% | 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 | -5.3% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 89.8% | 1.56 | 70% |
| hidden test | EXTREME | 48 | 124.7% | 2.66 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 15.7% | 0.44 | 24% |
| hidden test | LOW VOLATILITY | 429 | -14.0% | -0.51 | 49% |
| hidden test | MEDIUM VOLATILITY | 248 | -18.7% | -0.49 | 51% |
| hidden test | NORMAL | 800 | -25.1% | -0.90 | 38% |
| hidden test | SIDEWAYS | 293 | -39.1% | -1.26 | 49% |
| hidden test | UPTREND | 371 | 16.7% | 0.38 | 67% |
| train | DOWNTREND | 518 | -27.4% | -1.67 | 2% |
| train | EXPENSIVE | 311 | 50.0% | 1.18 | 76% |
| train | EXTREME | 100 | 277.3% | 5.57 | 72% |
| train | HIGH VOLATILITY | 699 | 9.0% | 0.25 | 35% |
| train | LOW VOLATILITY | 745 | 23.1% | 0.88 | 62% |
| train | MEDIUM VOLATILITY | 568 | -13.6% | -0.38 | 54% |
| train | NORMAL | 1,601 | -17.2% | -0.59 | 44% |
| train | SIDEWAYS | 592 | -36.2% | -1.30 | 40% |
| train | UPTREND | 902 | 57.0% | 1.36 | 85% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 74.7% | 1.41 | 80% |
| validation | EXTREME | 144 | 238.8% | 3.97 | 65% |
| validation | HIGH VOLATILITY | 258 | 48.8% | 1.03 | 32% |
| validation | LOW VOLATILITY | 183 | 42.1% | 1.65 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 64.9% | 1.38 | 54% |
| validation | NORMAL | 474 | -8.4% | -0.27 | 30% |
| validation | SIDEWAYS | 206 | -20.0% | -0.96 | 11% |
| validation | UPTREND | 425 | 105.5% | 1.91 | 76% |
Trades (full period)
34 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-07-23 | $445.00 | $319.69 | -13.36% | 51 | |
| 2025-09-15 | 2026-03-16 | $410.04 | $395.56 | -1.39% | 126 | |
| 2024-09-06 | 2025-02-11 | $210.73 | $328.50 | 29.76% | 108 | |
| 2024-08-20 | 2024-08-29 | $221.10 | $206.28 | -4.68% | 8 | |
| 2024-07-05 | 2024-08-06 | $251.52 | $200.64 | -12.59% | 23 | |
| 2023-11-15 | 2024-01-16 | $242.84 | $219.91 | -7.98% | 41 | |
| 2023-08-30 | 2023-10-23 | $256.90 | $212.08 | -17.74% | 38 | |
| 2023-06-13 | 2023-08-17 | $258.71 | $219.22 | -9.88% | 46 | |
| 2022-03-29 | 2022-04-27 | $366.52 | $293.84 | -19.89% | 21 | |
| 2021-12-23 | 2022-01-26 | $355.67 | $312.47 | 1.60% | 23 | |
| 2021-08-03 | 2021-12-21 | $236.58 | $312.84 | 20.51% | 99 | |
| 2021-03-16 | 2021-03-19 | $225.63 | $218.29 | -4.74% | 4 | |
| 2020-09-15 | 2021-03-04 | $149.92 | $207.15 | 52.84% | 118 | |
| 2020-04-28 | 2020-09-09 | $51.27 | $122.09 | 102.99% | 94 | |
| 2020-04-17 | 2020-04-22 | $50.26 | $48.81 | -4.82% | 4 | |
| 2020-03-03 | 2020-03-10 | $49.70 | $43.02 | -11.24% | 6 | |
| 2019-10-28 | 2020-02-28 | $21.85 | $44.53 | 98.67% | 85 | |
| 2018-10-26 | 2019-03-04 | $22.06 | $19.02 | -5.92% | 86 | |
| 2018-06-12 | 2018-09-06 | $22.85 | $18.73 | -3.51% | 61 | |
| 2018-01-22 | 2018-03-26 | $23.44 | $20.28 | -14.37% | 45 | |
| 2016-12-28 | 2017-11-03 | $14.65 | $20.41 | 30.57% | 216 | |
| 2016-08-01 | 2016-09-06 | $15.33 | $13.52 | -15.93% | 26 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-04-01 | 2016-05-06 | $15.84 | $14.33 | -8.12% | 26 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-04-28 | 2015-10-12 | $15.37 | $14.37 | -7.89% | 117 | |
| 2014-06-18 | 2014-12-02 | $15.14 | $15.43 | -0.21% | 117 | |
| 2014-01-22 | 2014-05-09 | $11.90 | $12.15 | -0.94% | 76 | |
| 2012-11-06 | 2013-11-08 | $2.08 | $9.20 | 182.39% | 255 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-08-24 | 2012-08-28 | $1.97 | $1.91 | -4.86% | 3 | |
| 2012-07-13 | 2012-07-27 | $2.28 | $1.97 | -14.14% | 11 | |
| 2012-01-31 | 2012-05-16 | $1.94 | $1.95 | -4.23% | 75 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |