Fitness
0.6626
Generation
41
Complexity
4
Created
2026-09-30
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0191
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0906 [hybrid]
if flat and (ret_60d > 0.2018 and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.0% | 102.9% | 5.4% | 26.0% |
| Total Return | 184.7% | 735.7% | 21.5% | 2876.4% |
| Sharpe | 0.65 | 1.83 | 0.33 | 0.91 |
| Sortino | 0.49 | 1.50 | 0.20 | 0.66 |
| Calmar | 0.33 | 3.05 | 0.15 | 0.60 |
| Volatility | 25.0% | 44.0% | 26.4% | 30.2% |
| Max DD | -42.9% | -33.7% | -35.8% | -42.9% |
| Win Rate | 41.2% | 83.3% | 50.0% | 51.6% |
| Avg Win | 29.0% | 56.9% | 17.4% | 39.5% |
| Avg Loss | -6.9% | -7.1% | -10.0% | -7.8% |
| Payoff | 4.18 | 8.07 | 1.74 | 5.09 |
| Expectancy | 7.9% | 46.3% | 3.7% | 16.6% |
| Profit Factor | 2.93 | 10.00 | 1.74 | 5.43 |
| Trades | 17 | 6 | 8 | 31 |
| Avg Holding Days | 25.1 | 43.5 | 21.5 | 29.3 |
| Turnover | 4.4 | 4.0 | 4.3 | 4.2 |
| Exposure | 22.7% | 33.7% | 17.5% | 23.6% |
Growth of $100
PriceMomentum_V0906 vs TSLA Buy & Hold
PriceMomentum_V0906 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 | -9.1% | -1.27 | -9.4% | 1 |
| 2017 | -0.2% | 0.10 | -14.8% | 3 |
| 2018 | -24.7% | -2.05 | -24.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 362.2% | 2.60 | -33.7% | 3 |
| 2021 | 86.8% | 2.07 | -17.6% | 2 |
| 2022 | -7.1% | -1.48 | -7.1% | 1 |
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 | 274 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -5.5% | -0.13 | 67% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -2.7% | -0.07 | 24% |
| hidden test | LOW VOLATILITY | 434 | 34.4% | 2.31 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.3% | -0.81 | 23% |
| hidden test | NORMAL | 807 | -0.2% | -0.01 | 9% |
| hidden test | SIDEWAYS | 293 | -8.8% | -0.63 | 2% |
| hidden test | UPTREND | 371 | 29.1% | 0.73 | 43% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 38.3% | 1.08 | 55% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 41.7% | 1.23 | 22% |
| train | LOW VOLATILITY | 745 | 14.3% | 0.83 | 27% |
| train | MEDIUM VOLATILITY | 568 | -12.8% | -0.62 | 17% |
| train | NORMAL | 1,601 | -10.9% | -0.81 | 12% |
| train | SIDEWAYS | 592 | -5.5% | -0.84 | 1% |
| train | UPTREND | 902 | 39.7% | 1.07 | 50% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.3% | 1.36 | 51% |
| validation | EXTREME | 144 | 279.1% | 3.62 | 69% |
| validation | HIGH VOLATILITY | 258 | 83.4% | 1.35 | 32% |
| validation | LOW VOLATILITY | 183 | 46.7% | 2.26 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 97.7% | 2.73 | 33% |
| validation | NORMAL | 474 | 22.5% | 1.11 | 18% |
| validation | SIDEWAYS | 206 | -4.9% | -0.92 | 3% |
| validation | UPTREND | 425 | 145.5% | 2.50 | 58% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -6.69% | 12 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-28 | 2025-06-12 | $356.90 | $319.11 | -10.23% | 12 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-28 | 2024-11-04 | $262.51 | $242.84 | -7.70% | 6 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-06-06 | 2023-07-24 | $221.31 | $269.06 | 19.25% | 33 | |
| 2022-08-16 | 2022-08-29 | $306.56 | $284.82 | -7.05% | 10 | |
| 2021-08-13 | 2021-12-01 | $239.06 | $365.00 | 58.18% | 77 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 49 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -6.17% | 11 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-20 | 2017-02-28 | $16.32 | $16.67 | 0.81% | 27 | |
| 2016-04-07 | 2016-05-03 | $17.15 | $15.49 | -9.08% | 19 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-05-29 | 2015-07-09 | $16.72 | $17.19 | 1.19% | 29 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-02-10 | 2014-03-26 | $13.10 | $14.20 | 17.95% | 32 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-12-03 | 2012-12-31 | $2.31 | $2.26 | -1.97% | 20 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -4.66% | 9 |