Fitness
0.7061
Generation
29
Complexity
14
Created
2026-09-24
Lineage
Parents (1)
logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386
Children (9)
Strategy Logic (pseudocode)
# PriceMomentum_V0641 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2905) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.9% | 100.0% | 15.5% | 38.0% |
| Total Return | 705.4% | 700.2% | 70.7% | 11227.6% |
| Sharpe | 1.03 | 1.65 | 0.63 | 1.10 |
| Sortino | 0.99 | 1.62 | 0.48 | 0.99 |
| Calmar | 0.91 | 2.26 | 0.51 | 0.86 |
| Volatility | 29.3% | 49.6% | 30.6% | 34.8% |
| Max DD | -32.8% | -44.3% | -30.2% | -44.3% |
| Win Rate | 60.9% | 54.5% | 53.8% | 57.4% |
| Avg Win | 28.0% | 61.4% | 13.5% | 34.5% |
| Avg Loss | -6.9% | -10.5% | -5.4% | -7.4% |
| Payoff | 4.07 | 5.83 | 2.49 | 4.69 |
| Expectancy | 14.4% | 28.7% | 4.8% | 16.7% |
| Profit Factor | 6.33 | 7.00 | 2.91 | 6.33 |
| Trades | 23 | 11 | 13 | 47 |
| Avg Holding Days | 31.1 | 31.2 | 19.5 | 28.9 |
| Turnover | 5.9 | 7.3 | 7.3 | 6.5 |
| Exposure | 36.7% | 43.9% | 28.2% | 36.0% |
Growth of $100
PriceMomentum_V0641 vs TSLA Buy & Hold
PriceMomentum_V0641 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 | 6.8% | 0.52 | -22.3% | 5 |
| 2017 | 37.9% | 1.33 | -21.8% | 2 |
| 2018 | -15.1% | -0.51 | -27.3% | 4 |
| 2019 | 49.9% | 2.27 | -8.5% | 2 |
| 2020 | 687.7% | 3.19 | -33.7% | 4 |
| 2021 | 39.9% | 1.17 | -22.0% | 2 |
| 2022 | -30.5% | -1.25 | -36.8% | 5 |
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 | 270 | 9.5% | 0.54 | 15% |
| hidden test | EXPENSIVE | 83 | 55.4% | 1.24 | 67% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 2.7% | 0.07 | 30% |
| hidden test | LOW VOLATILITY | 430 | 38.5% | 1.91 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.5% | 0.07 | 37% |
| hidden test | NORMAL | 803 | 3.9% | 0.15 | 21% |
| hidden test | SIDEWAYS | 293 | -5.2% | -0.35 | 3% |
| hidden test | UPTREND | 371 | 45.4% | 1.03 | 58% |
| train | DOWNTREND | 518 | 13.4% | 1.07 | 11% |
| train | EXPENSIVE | 311 | 48.2% | 1.25 | 66% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 51.4% | 1.35 | 34% |
| train | LOW VOLATILITY | 745 | 28.1% | 1.32 | 42% |
| train | MEDIUM VOLATILITY | 568 | 7.3% | 0.29 | 33% |
| train | NORMAL | 1,601 | 2.8% | 0.14 | 27% |
| train | SIDEWAYS | 592 | -0.6% | -0.06 | 3% |
| train | UPTREND | 902 | 60.4% | 1.44 | 74% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 63.9% | 1.10 | 80% |
| validation | EXTREME | 144 | 374.9% | 4.55 | 85% |
| validation | HIGH VOLATILITY | 258 | 121.5% | 1.81 | 46% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.39 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 78.2% | 1.79 | 48% |
| validation | NORMAL | 474 | -2.3% | -0.08 | 21% |
| validation | SIDEWAYS | 206 | -27.2% | -1.63 | 3% |
| validation | UPTREND | 425 | 145.4% | 2.27 | 74% |
Trades (full period)
48 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.31% | 22 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.38% | 50 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.29% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 43.21% | 56 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-05-20 | 2020-09-30 | $54.37 | $143.00 | 158.81% | 93 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 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 | |
| 2018-05-01 | 2018-06-12 | $19.99 | $22.85 | 12.77% | 30 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 4.93% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 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 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 0.12% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -7.94% | 36 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |