Fitness
0.6017
Generation
45
Complexity
5
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0191
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0994 [hybrid]
if flat and (ret_20d > 0.0191 and breakout_50 == 1 and vol_chg < -0.179):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.2% | 88.6% | -11.9% | 15.3% |
| Total Return | 88.2% | 571.2% | -37.6% | 711.9% |
| Sharpe | 0.45 | 1.81 | -0.45 | 0.65 |
| Sortino | 0.33 | 1.69 | -0.22 | 0.47 |
| Calmar | 0.17 | 3.26 | -0.26 | 0.30 |
| Volatility | 23.9% | 39.3% | 22.3% | 27.5% |
| Max DD | -47.9% | -27.2% | -44.8% | -51.2% |
| Win Rate | 33.3% | 83.3% | 28.6% | 41.9% |
| Avg Win | 18.5% | 52.7% | 7.3% | 38.8% |
| Avg Loss | -6.7% | -11.3% | -11.4% | -8.2% |
| Payoff | 2.79 | 4.66 | 0.64 | 4.72 |
| Expectancy | 1.7% | 42.0% | -6.0% | 11.5% |
| Profit Factor | 1.39 | 10.00 | 0.26 | 3.41 |
| Trades | 18 | 6 | 7 | 31 |
| Avg Holding Days | 26.4 | 46.3 | 17.7 | 30.0 |
| Turnover | 4.6 | 4.0 | 3.8 | 4.2 |
| Exposure | 25.3% | 36.0% | 12.5% | 24.3% |
Growth of $100
PriceMomentum_V0994 vs TSLA Buy & Hold
PriceMomentum_V0994 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 | 9.0% | 0.71 | -9.6% | 1 |
| 2017 | -6.2% | -0.21 | -27.5% | 3 |
| 2018 | -18.7% | -0.93 | -22.1% | 4 |
| 2019 | 46.5% | 1.46 | -13.9% | 1 |
| 2020 | 273.8% | 2.63 | -27.2% | 2 |
| 2021 | 90.1% | 2.11 | -17.6% | 2 |
| 2022 | -9.2% | -0.44 | -14.8% | 2 |
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 | 275 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -19.4% | -0.53 | 47% |
| hidden test | EXTREME | 48 | 114.5% | 2.37 | 54% |
| hidden test | HIGH VOLATILITY | 254 | -16.2% | -0.51 | 17% |
| hidden test | LOW VOLATILITY | 434 | 17.1% | 1.79 | 5% |
| hidden test | MEDIUM VOLATILITY | 251 | -50.9% | -1.94 | 20% |
| hidden test | NORMAL | 808 | -16.5% | -0.95 | 6% |
| hidden test | SIDEWAYS | 293 | -11.6% | -0.83 | 2% |
| hidden test | UPTREND | 371 | -16.4% | -0.49 | 30% |
| train | DOWNTREND | 518 | -1.4% | -0.36 | 1% |
| train | EXPENSIVE | 311 | 16.5% | 0.47 | 51% |
| train | EXTREME | 100 | 164.0% | 3.34 | 64% |
| train | HIGH VOLATILITY | 699 | 22.8% | 0.74 | 24% |
| train | LOW VOLATILITY | 745 | 21.1% | 1.13 | 32% |
| train | MEDIUM VOLATILITY | 568 | -17.5% | -0.88 | 18% |
| train | NORMAL | 1,601 | 0.1% | 0.00 | 18% |
| train | SIDEWAYS | 592 | -5.5% | -0.39 | 10% |
| train | UPTREND | 902 | 28.4% | 0.84 | 49% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 72.4% | 1.92 | 44% |
| validation | EXTREME | 144 | 228.1% | 3.31 | 64% |
| validation | HIGH VOLATILITY | 258 | 61.2% | 1.26 | 26% |
| validation | LOW VOLATILITY | 183 | 49.4% | 2.34 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 91.9% | 2.36 | 41% |
| validation | NORMAL | 474 | 23.1% | 0.96 | 25% |
| validation | SIDEWAYS | 206 | -9.8% | -0.76 | 11% |
| validation | UPTREND | 425 | 127.9% | 2.50 | 59% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-04 | 2025-11-13 | $444.26 | $401.99 | -8.25% | 8 | |
| 2025-09-22 | 2025-10-23 | $434.21 | $448.98 | 2.82% | 24 | |
| 2025-05-19 | 2025-06-12 | $342.09 | $319.11 | -6.92% | 18 | |
| 2024-11-25 | 2025-01-13 | $338.59 | $403.31 | 11.74% | 32 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 2024-07-11 | 2024-08-02 | $241.03 | $207.67 | -17.80% | 17 | |
| 2023-07-05 | 2023-07-24 | $282.48 | $269.06 | -7.26% | 14 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | 2.36% | 22 | |
| 2022-03-30 | 2022-04-21 | $364.66 | $336.26 | -11.31% | 16 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2020-11-27 | 2021-02-09 | $195.25 | $283.15 | 50.12% | 50 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 76.93% | 64 | |
| 2019-10-16 | 2020-03-04 | $17.32 | $49.97 | 188.50% | 96 | |
| 2019-07-22 | 2019-08-02 | $17.05 | $15.62 | -9.61% | 10 | |
| 2018-11-01 | 2018-12-19 | $22.95 | $22.20 | -0.28% | 33 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -10.51% | 16 | |
| 2018-02-27 | 2018-03-01 | $23.40 | $22.06 | -4.21% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-06-23 | 2017-07-06 | $25.56 | $20.59 | -14.68% | 9 | |
| 2017-04-11 | 2017-05-24 | $20.58 | $20.68 | -2.93% | 31 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-03-18 | 2016-05-03 | $15.52 | $15.49 | 6.60% | 32 | |
| 2015-04-30 | 2015-07-09 | $15.07 | $17.19 | 9.46% | 49 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -7.62% | 16 | |
| 2014-01-23 | 2014-03-26 | $12.10 | $14.20 | 23.21% | 44 | |
| 2013-07-08 | 2013-10-22 | $8.11 | $11.44 | 43.44% | 76 | |
| 2013-05-17 | 2013-06-26 | $6.10 | $7.05 | 10.78% | 28 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-04-04 | 2012-04-10 | $2.33 | $2.16 | -12.97% | 4 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |