Fitness
0.2513
Generation
34
Complexity
16
Created
2026-09-25
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0749 [hybrid]
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 > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184):
position = 1.0
if long and (ret_20d < -0.0017 or vol_chg < 0.7647):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.5% | 27.1% | -10.7% | 0.8% |
| Total Return | -18.4% | 105.2% | -34.3% | 12.9% |
| Sharpe | -0.05 | 1.04 | -0.44 | 0.14 |
| Sortino | -0.04 | 1.11 | -0.34 | 0.12 |
| Calmar | -0.08 | 1.00 | -0.21 | 0.02 |
| Volatility | 17.8% | 26.3% | 20.7% | 20.5% |
| Max DD | -32.6% | -26.9% | -50.4% | -50.4% |
| Win Rate | 49.0% | 59.2% | 48.1% | 51.6% |
| Avg Win | 1.7% | 2.2% | 2.1% | 1.9% |
| Avg Loss | -1.7% | -2.2% | -2.4% | -1.9% |
| Payoff | 1.01 | 1.03 | 0.88 | 1.00 |
| Expectancy | -0.0% | 0.4% | -0.2% | 0.1% |
| Profit Factor | 0.97 | 1.50 | 0.82 | 1.06 |
| Trades | 335 | 184 | 154 | 674 |
| Avg Holding Days | 2.3 | 2.1 | 2.1 | 2.2 |
| Turnover | 67.4 | 98.7 | 68.1 | 74.1 |
| Exposure | 16.8% | 21.9% | 14.5% | 17.3% |
Growth of $100
PriceMomentum_V0749 vs TSLA Buy & Hold
PriceMomentum_V0749 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 | 10.0% | 0.88 | -10.5% | 24 |
| 2017 | 4.5% | 0.35 | -10.3% | 58 |
| 2018 | -18.6% | -2.08 | -18.6% | 35 |
| 2019 | -4.4% | -0.23 | -10.6% | 25 |
| 2020 | 107.5% | 2.42 | -12.8% | 88 |
| 2021 | -18.2% | -0.63 | -26.9% | 66 |
| 2022 | 16.6% | 0.97 | -9.4% | 30 |
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 | 271 | -11.2% | -0.81 | 7% |
| hidden test | EXPENSIVE | 83 | -23.9% | -1.03 | 24% |
| hidden test | EXTREME | 48 | 26.0% | 0.77 | 21% |
| hidden test | HIGH VOLATILITY | 254 | -13.3% | -0.59 | 10% |
| hidden test | LOW VOLATILITY | 431 | 7.6% | 0.43 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -33.7% | -1.44 | 15% |
| hidden test | NORMAL | 804 | -9.7% | -0.50 | 13% |
| hidden test | SIDEWAYS | 293 | -18.0% | -0.89 | 16% |
| hidden test | UPTREND | 371 | -0.6% | -0.03 | 19% |
| train | DOWNTREND | 518 | 3.4% | 0.62 | 3% |
| train | EXPENSIVE | 311 | -1.8% | -0.07 | 28% |
| train | EXTREME | 100 | 111.2% | 3.43 | 31% |
| train | HIGH VOLATILITY | 699 | 8.6% | 0.45 | 9% |
| train | LOW VOLATILITY | 745 | -2.0% | -0.13 | 24% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.58 | 17% |
| train | NORMAL | 1,601 | -7.8% | -0.57 | 14% |
| train | SIDEWAYS | 592 | -9.0% | -0.63 | 16% |
| train | UPTREND | 902 | 1.8% | 0.08 | 26% |
| validation | DOWNTREND | 125 | 4.5% | 0.63 | 4% |
| validation | EXPENSIVE | 138 | 28.8% | 0.94 | 29% |
| validation | EXTREME | 144 | 113.4% | 3.20 | 28% |
| validation | HIGH VOLATILITY | 258 | 30.4% | 1.18 | 12% |
| validation | LOW VOLATILITY | 183 | 6.1% | 0.38 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 37.3% | 1.20 | 28% |
| validation | NORMAL | 474 | 0.8% | 0.04 | 18% |
| validation | SIDEWAYS | 206 | 15.7% | 0.76 | 18% |
| validation | UPTREND | 425 | 39.8% | 1.25 | 29% |
Trades (full period)
latest 100 of 674
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-10 | 2026-09-11 | $363.56 | $365.44 | -1.35% | 2 | |
| 2026-09-03 | 2026-09-09 | $376.37 | $367.81 | 2.92% | 4 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-16 | 2025-09-18 | $421.62 | $416.85 | 3.65% | 3 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-06-05 | 2025-06-09 | $284.70 | $308.58 | -13.16% | 3 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-16 | $347.68 | $349.98 | 1.01% | 3 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 1.19% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -0.80% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -1.47% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -2.11% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -3.06% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -1.75% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 3.29% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -1.41% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -2.11% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 2.93% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-12-06 | 2024-12-10 | $389.22 | $400.99 | 2.17% | 3 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -0.73% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.71% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.37% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 0.80% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 1.17% | 2 | |
| 2024-11-11 | 2024-11-14 | $350.00 | $311.18 | 1.20% | 4 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 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 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -1.03% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.00% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.27% | 2 | |
| 2024-09-05 | 2024-09-10 | $230.17 | $226.17 | -3.11% | 4 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -1.76% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.17% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -5.14% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 2.03% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.04% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 0.55% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 1.14% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-02 | 2024-07-05 | $231.26 | $251.52 | 17.18% | 3 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -1.53% | 2 |