Fitness
0.5656
Generation
42
Complexity
3
Created
2026-09-30
Lineage
Parents (1)
logic of PriceMomentum_V0567 with risk overlay of PriceMomentum_V0730
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0921 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_1d > 0.0198:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.7% | 84.6% | 23.5% | 31.5% |
| Total Return | 293.1% | 529.3% | 119.6% | 5493.6% |
| Sharpe | 0.69 | 1.46 | 0.75 | 0.91 |
| Sortino | 0.69 | 1.54 | 0.74 | 0.91 |
| Calmar | 0.26 | 1.86 | 0.54 | 0.44 |
| Volatility | 32.1% | 50.9% | 37.8% | 38.1% |
| Max DD | -71.4% | -45.6% | -43.3% | -71.4% |
| Win Rate | 41.2% | 40.7% | 54.3% | 45.0% |
| Avg Win | 8.7% | 18.5% | 6.9% | 10.4% |
| Avg Loss | -3.4% | -4.4% | -4.9% | -4.0% |
| Payoff | 2.59 | 4.22 | 1.39 | 2.63 |
| Expectancy | 1.6% | 5.0% | 1.5% | 2.5% |
| Profit Factor | 1.81 | 2.90 | 1.66 | 2.15 |
| Trades | 136 | 54 | 81 | 271 |
| Avg Holding Days | 6.6 | 7.7 | 5.1 | 6.6 |
| Turnover | 34.2 | 36.0 | 43.8 | 36.9 |
| Exposure | 40.4% | 47.8% | 38.8% | 41.5% |
Growth of $100
PriceMomentum_V0921 vs TSLA Buy & Hold
PriceMomentum_V0921 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 | 25.5% | 1.28 | -13.2% | 21 |
| 2017 | 23.1% | 0.96 | -19.0% | 10 |
| 2018 | -64.4% | -2.97 | -65.9% | 31 |
| 2019 | 69.1% | 2.36 | -11.2% | 17 |
| 2020 | 551.3% | 2.95 | -33.7% | 14 |
| 2021 | 52.7% | 1.36 | -26.5% | 12 |
| 2022 | -39.4% | -1.37 | -43.8% | 28 |
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 | 53.6% | 1.31 | 45% |
| hidden test | EXPENSIVE | 83 | 83.0% | 1.57 | 75% |
| hidden test | EXTREME | 48 | 140.8% | 2.38 | 79% |
| hidden test | HIGH VOLATILITY | 254 | 22.3% | 0.40 | 57% |
| hidden test | LOW VOLATILITY | 434 | 44.1% | 1.90 | 28% |
| hidden test | MEDIUM VOLATILITY | 250 | 6.8% | 0.19 | 39% |
| hidden test | NORMAL | 807 | 15.9% | 0.47 | 33% |
| hidden test | SIDEWAYS | 293 | -7.5% | -0.41 | 4% |
| hidden test | UPTREND | 371 | 37.8% | 0.82 | 61% |
| train | DOWNTREND | 518 | -10.7% | -0.42 | 35% |
| train | EXPENSIVE | 311 | 46.1% | 1.15 | 67% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 25.9% | 0.60 | 41% |
| train | LOW VOLATILITY | 745 | 36.2% | 1.64 | 45% |
| train | MEDIUM VOLATILITY | 568 | -0.6% | -0.02 | 34% |
| train | NORMAL | 1,601 | -6.5% | -0.26 | 32% |
| train | SIDEWAYS | 592 | -0.9% | -0.06 | 4% |
| train | UPTREND | 902 | 56.3% | 1.33 | 68% |
| validation | DOWNTREND | 125 | 11.6% | 0.32 | 25% |
| validation | EXPENSIVE | 138 | 71.7% | 1.24 | 63% |
| validation | EXTREME | 144 | 346.3% | 4.27 | 81% |
| validation | HIGH VOLATILITY | 258 | 77.0% | 1.09 | 53% |
| validation | LOW VOLATILITY | 183 | 39.9% | 1.77 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 92.1% | 2.14 | 46% |
| validation | NORMAL | 474 | -7.6% | -0.23 | 33% |
| validation | SIDEWAYS | 206 | -33.4% | -1.95 | 6% |
| validation | UPTREND | 425 | 144.9% | 2.28 | 75% |
Trades (full period)
latest 100 of 272
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 0.39% | 28 | OPEN |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-01 | 2026-05-08 | $390.82 | $428.35 | 7.69% | 6 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 7.41% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-10 | 2025-06-12 | $326.09 | $319.11 | 5.58% | 3 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-24 | 2025-03-25 | $278.39 | $288.14 | 11.72% | 2 | |
| 2025-03-20 | 2025-03-21 | $236.26 | $248.71 | -0.03% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -5.80% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2024-11-06 | 2025-01-13 | $288.53 | $403.31 | 56.70% | 45 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-09-03 | 2024-09-27 | $210.60 | $260.46 | 18.49% | 19 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-03-27 | 2024-03-28 | $179.83 | $175.79 | 1.01% | 2 | |
| 2024-03-21 | 2024-03-22 | $172.82 | $170.83 | -1.81% | 2 | |
| 2024-03-19 | 2024-03-20 | $171.32 | $175.66 | -1.63% | 2 | |
| 2024-02-27 | 2024-03-06 | $199.73 | $176.54 | -9.54% | 7 | |
| 2024-02-15 | 2024-02-16 | $200.45 | $199.95 | 6.02% | 2 | |
| 2024-02-12 | 2024-02-13 | $188.13 | $184.02 | -3.01% | 2 | |
| 2024-02-07 | 2024-02-08 | $187.58 | $189.56 | 1.14% | 2 | |
| 2023-11-02 | 2023-11-03 | $218.51 | $219.96 | 6.04% | 2 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 2 | |
| 2023-08-04 | 2023-08-07 | $253.86 | $251.45 | -2.30% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -2.21% | 3 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -5.15% | 4 | |
| 2023-06-05 | 2023-07-24 | $217.61 | $269.06 | 21.28% | 34 | |
| 2023-05-18 | 2023-05-31 | $176.89 | $203.93 | 15.47% | 9 | |
| 2023-05-12 | 2023-05-15 | $167.98 | $166.35 | -2.58% | 2 | |
| 2023-05-08 | 2023-05-09 | $171.79 | $169.15 | 0.82% | 2 | |
| 2023-04-28 | 2023-05-01 | $164.31 | $161.83 | 2.37% | 2 | |
| 2023-01-23 | 2023-02-10 | $143.75 | $196.89 | 55.09% | 15 | |
| 2023-01-18 | 2023-01-19 | $128.78 | $127.17 | -2.26% | 2 | |
| 2023-01-12 | 2023-01-13 | $123.56 | $122.40 | 0.08% | 2 | |
| 2023-01-09 | 2023-01-10 | $119.77 | $118.85 | 5.73% | 2 | |
| 2023-01-05 | 2023-01-06 | $110.34 | $113.06 | -3.10% | 2 | |
| 2022-12-29 | 2022-12-30 | $121.82 | $123.18 | 7.87% | 2 | |
| 2022-12-12 | 2022-12-13 | $167.82 | $160.95 | -6.47% | 2 | |
| 2022-12-01 | 2022-12-02 | $194.70 | $194.86 | -0.20% | 2 | |
| 2022-11-25 | 2022-11-28 | $182.86 | $182.92 | -0.39% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-10-26 | 2022-10-27 | $224.64 | $225.09 | 0.80% | 2 | |
| 2022-10-24 | 2022-10-25 | $211.25 | $222.42 | -1.69% | 2 | |
| 2022-10-18 | 2022-10-19 | $220.19 | $222.04 | 0.18% | 2 | |
| 2022-10-14 | 2022-10-17 | $204.99 | $219.35 | -7.74% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-07-20 | 2022-08-02 | $247.50 | $300.59 | 20.83% | 10 | |
| 2022-07-08 | 2022-07-12 | $250.76 | $233.07 | -4.36% | 3 | |
| 2022-07-06 | 2022-07-07 | $231.73 | $244.54 | -0.77% | 2 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-06-15 | 2022-06-16 | $233.00 | $213.10 | 5.28% | 2 | |
| 2022-06-03 | 2022-06-06 | $234.52 | $238.28 | -9.41% | 2 |