Fitness
0.5436
Generation
11
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0028 OR VolumeBreakout_V0074
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0229 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 or breakout_50 == 1) and ema_20 > sma_100):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.1% | 68.4% | 10.1% | 26.2% |
| Total Return | 332.6% | 377.4% | 42.6% | 2932.0% |
| Sharpe | 0.77 | 1.29 | 0.47 | 0.84 |
| Sortino | 0.73 | 1.27 | 0.35 | 0.74 |
| Calmar | 0.35 | 1.24 | 0.26 | 0.46 |
| Volatility | 29.0% | 50.2% | 30.5% | 34.7% |
| Max DD | -57.3% | -55.1% | -38.8% | -57.3% |
| Win Rate | 36.7% | 41.7% | 53.3% | 42.1% |
| Avg Win | 37.5% | 59.8% | 13.2% | 36.6% |
| Avg Loss | -5.3% | -8.0% | -7.7% | -6.4% |
| Payoff | 7.10 | 7.49 | 1.70 | 5.74 |
| Expectancy | 10.4% | 20.3% | 3.4% | 11.7% |
| Profit Factor | 4.11 | 5.35 | 1.95 | 4.17 |
| Trades | 30 | 12 | 15 | 57 |
| Avg Holding Days | 21.3 | 30.4 | 16.2 | 22.7 |
| Turnover | 7.6 | 8.0 | 8.1 | 7.8 |
| Exposure | 32.5% | 46.7% | 24.5% | 33.4% |
Growth of $100
PriceMomentum_V0229 vs TSLA Buy & Hold
PriceMomentum_V0229 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 | -7.1% | -0.62 | -16.2% | 3 |
| 2017 | 18.8% | 0.81 | -22.8% | 4 |
| 2018 | -42.0% | -2.25 | -41.8% | 8 |
| 2019 | 35.3% | 1.75 | -8.5% | 3 |
| 2020 | 527.9% | 2.83 | -33.8% | 3 |
| 2021 | 27.4% | 0.84 | -24.4% | 3 |
| 2022 | -42.9% | -2.58 | -42.8% | 6 |
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 | 2.8% | 0.53 | 2% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.49 | 75% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 1.3% | 0.03 | 30% |
| hidden test | LOW VOLATILITY | 429 | 37.9% | 1.99 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -13.4% | -0.41 | 29% |
| hidden test | NORMAL | 800 | -2.2% | -0.09 | 15% |
| hidden test | SIDEWAYS | 293 | -11.5% | -0.80 | 2% |
| hidden test | UPTREND | 371 | 42.9% | 0.93 | 58% |
| train | DOWNTREND | 518 | -2.3% | -0.73 | 1% |
| train | EXPENSIVE | 311 | 42.5% | 1.10 | 68% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 44.2% | 1.16 | 30% |
| train | LOW VOLATILITY | 745 | 26.6% | 1.24 | 41% |
| train | MEDIUM VOLATILITY | 568 | -9.9% | -0.41 | 24% |
| train | NORMAL | 1,601 | -6.0% | -0.31 | 21% |
| train | SIDEWAYS | 592 | -9.7% | -0.95 | 2% |
| train | UPTREND | 902 | 57.8% | 1.37 | 70% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 51.1% | 0.89 | 75% |
| validation | EXTREME | 144 | 349.1% | 4.10 | 90% |
| validation | HIGH VOLATILITY | 258 | 103.9% | 1.50 | 48% |
| validation | LOW VOLATILITY | 183 | 18.2% | 0.80 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 59.7% | 1.40 | 46% |
| validation | NORMAL | 474 | -17.7% | -0.65 | 25% |
| validation | SIDEWAYS | 206 | -16.8% | -1.11 | 2% |
| validation | UPTREND | 425 | 123.3% | 1.87 | 82% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 44.25% | 64 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 17.32% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2023-06-02 | 2023-08-08 | $213.97 | $249.70 | 20.93% | 46 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-24 | 2021-12-14 | $236.16 | $319.50 | 36.55% | 79 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-05-15 | 2020-10-29 | $53.28 | $136.94 | 152.20% | 117 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-09-27 | 2019-10-07 | $16.14 | $15.85 | -4.78% | 7 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -9.52% | 16 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 20.81% | 70 | |
| 2017-01-05 | 2017-03-09 | $15.12 | $16.33 | 8.54% | 44 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 6.72% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-27 | 2015-04-28 | $15.44 | $15.37 | 5.80% | 2 | |
| 2014-06-23 | 2014-09-23 | $15.81 | $16.69 | 8.69% | 65 | |
| 2014-01-24 | 2014-03-28 | $11.64 | $14.16 | 13.99% | 45 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-18 | 2013-01-14 | $2.31 | $2.22 | -4.52% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |