Fitness
0.5672
Generation
22
Complexity
14
Created
2026-09-19
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0490 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997) and rel_volume < 1.5953 and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.8% | 79.4% | 1.9% | 21.7% |
| Total Return | 181.2% | 477.8% | 7.3% | 1695.3% |
| Sharpe | 0.63 | 1.51 | 0.21 | 0.79 |
| Sortino | 0.51 | 1.29 | 0.12 | 0.59 |
| Calmar | 0.30 | 2.35 | 0.06 | 0.48 |
| Volatility | 25.4% | 45.7% | 25.9% | 30.8% |
| Max DD | -45.6% | -33.7% | -35.0% | -45.6% |
| Win Rate | 42.9% | 60.0% | 42.9% | 47.4% |
| Avg Win | 23.9% | 46.3% | 23.3% | 34.0% |
| Avg Loss | -6.3% | -9.8% | -12.4% | -8.2% |
| Payoff | 3.79 | 4.72 | 1.88 | 4.13 |
| Expectancy | 6.6% | 23.9% | 2.9% | 11.8% |
| Profit Factor | 2.84 | 7.08 | 1.41 | 3.72 |
| Trades | 21 | 10 | 7 | 38 |
| Avg Holding Days | 22.3 | 28.3 | 25.0 | 25.4 |
| Turnover | 5.4 | 6.7 | 3.8 | 5.2 |
| Exposure | 24.1% | 36.1% | 18.0% | 25.0% |
Growth of $100
PriceMomentum_V0490 vs TSLA Buy & Hold
PriceMomentum_V0490 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 | 7.7% | 1.61 | -0.7% | 2 |
| 2017 | -10.2% | -0.37 | -26.7% | 4 |
| 2018 | -24.3% | -1.81 | -24.2% | 4 |
| 2019 | 24.5% | 1.71 | -8.5% | 0 |
| 2020 | 367.7% | 2.61 | -33.7% | 3 |
| 2021 | 59.5% | 1.58 | -17.6% | 3 |
| 2022 | -25.7% | -1.31 | -27.3% | 4 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 47.5% | 1.07 | 66% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -9.4% | -0.27 | 20% |
| hidden test | LOW VOLATILITY | 429 | 32.6% | 1.85 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | -26.8% | -0.99 | 22% |
| hidden test | NORMAL | 800 | -10.5% | -0.54 | 10% |
| hidden test | SIDEWAYS | 293 | -13.5% | -1.01 | 1% |
| hidden test | UPTREND | 371 | 24.0% | 0.61 | 45% |
| train | DOWNTREND | 518 | 1.0% | 0.59 | 1% |
| train | EXPENSIVE | 311 | 12.7% | 0.35 | 56% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 37.7% | 1.14 | 22% |
| train | LOW VOLATILITY | 745 | 19.2% | 1.00 | 32% |
| train | MEDIUM VOLATILITY | 568 | -14.5% | -0.68 | 17% |
| train | NORMAL | 1,601 | -6.0% | -0.43 | 13% |
| train | SIDEWAYS | 592 | -6.3% | -0.92 | 1% |
| train | UPTREND | 902 | 39.4% | 1.05 | 52% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 43.3% | 0.82 | 51% |
| validation | EXTREME | 144 | 297.1% | 3.83 | 73% |
| validation | HIGH VOLATILITY | 258 | 82.0% | 1.33 | 32% |
| validation | LOW VOLATILITY | 183 | 29.1% | 1.42 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 81.4% | 2.00 | 41% |
| validation | NORMAL | 474 | 7.1% | 0.28 | 21% |
| validation | SIDEWAYS | 206 | -24.8% | -1.60 | 2% |
| validation | UPTREND | 425 | 129.2% | 2.18 | 62% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2024-11-08 | 2025-01-14 | $321.22 | $396.36 | 35.57% | 44 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-07-10 | 2024-08-02 | $263.26 | $207.67 | -17.50% | 18 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-09-08 | 2021-12-01 | $251.29 | $365.00 | 51.74% | 60 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-24 | 2021-02-11 | $185.13 | $270.55 | 53.93% | 54 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-22 | 2020-08-10 | $54.46 | $94.57 | 75.18% | 55 | |
| 2019-11-08 | 2020-03-04 | $22.48 | $49.97 | 121.74% | 79 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -6.49% | 10 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-04-11 | 2017-05-24 | $20.58 | $20.68 | -2.93% | 31 | |
| 2017-01-09 | 2017-03-08 | $15.42 | $16.46 | 8.33% | 41 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 4.93% | 5 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 2.61% | 2 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 5.44% | 54 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-17 | 2013-06-26 | $3.03 | $7.05 | 124.16% | 50 | |
| 2013-01-29 | 2013-02-26 | $2.53 | $2.30 | -9.78% | 20 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-14 | 2012-04-10 | $2.35 | $2.16 | -8.33% | 19 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |