Fitness
0.5353
Generation
46
Complexity
6
Created
2026-10-01
Lineage
Parents (1)
added exit filter: ret_20d < -0.025
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1016 [hybrid]
if flat and (ret_20d > 0.05 and breakout_50 == 1):
position = 1.0
if long and (ret_20d < -0.0017 or ret_60d < 0.4347):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.0% | 65.4% | 7.9% | 20.4% |
| Total Return | 146.9% | 352.5% | 32.9% | 1428.0% |
| Sharpe | 0.68 | 1.40 | 0.47 | 0.84 |
| Sortino | 0.46 | 1.08 | 0.24 | 0.54 |
| Calmar | 0.50 | 1.94 | 0.38 | 0.60 |
| Volatility | 19.3% | 42.5% | 20.6% | 26.1% |
| Max DD | -24.1% | -33.7% | -21.0% | -33.7% |
| Win Rate | 49.0% | 51.5% | 60.6% | 51.8% |
| Avg Win | 3.7% | 12.6% | 4.0% | 5.7% |
| Avg Loss | -1.7% | -1.7% | -3.7% | -2.0% |
| Payoff | 2.21 | 7.22 | 1.09 | 2.87 |
| Expectancy | 0.9% | 5.6% | 1.0% | 2.0% |
| Profit Factor | 2.13 | 7.67 | 1.68 | 3.08 |
| Trades | 102 | 33 | 33 | 168 |
| Avg Holding Days | 3.5 | 7.1 | 3.9 | 4.3 |
| Turnover | 25.7 | 22.0 | 17.7 | 22.8 |
| Exposure | 13.0% | 26.6% | 10.1% | 15.1% |
Growth of $100
PriceMomentum_V1016 vs TSLA Buy & Hold
PriceMomentum_V1016 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 | -0.1% | 0.02 | -4.1% | 7 |
| 2017 | 13.3% | 1.36 | -4.3% | 19 |
| 2018 | -1.5% | -0.13 | -6.2% | 15 |
| 2019 | 20.1% | 1.32 | -8.5% | 6 |
| 2020 | 281.8% | 2.34 | -33.7% | 10 |
| 2021 | 24.4% | 0.91 | -17.6% | 15 |
| 2022 | -8.5% | -0.95 | -9.0% | 8 |
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 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | -4.2% | -0.13 | 25% |
| hidden test | EXTREME | 48 | 129.2% | 2.38 | 58% |
| hidden test | HIGH VOLATILITY | 254 | 1.1% | 0.03 | 17% |
| hidden test | LOW VOLATILITY | 434 | 33.5% | 2.55 | 7% |
| hidden test | MEDIUM VOLATILITY | 251 | -22.4% | -1.22 | 9% |
| hidden test | NORMAL | 808 | 4.1% | 0.28 | 6% |
| hidden test | SIDEWAYS | 293 | 2.6% | 0.25 | 4% |
| hidden test | UPTREND | 371 | 21.2% | 0.67 | 22% |
| train | DOWNTREND | 518 | -1.3% | -1.31 | 1% |
| train | EXPENSIVE | 311 | 15.0% | 0.52 | 31% |
| train | EXTREME | 100 | 216.4% | 3.68 | 78% |
| train | HIGH VOLATILITY | 699 | 33.9% | 1.23 | 17% |
| train | LOW VOLATILITY | 745 | 6.3% | 0.51 | 14% |
| train | MEDIUM VOLATILITY | 568 | -3.5% | -0.27 | 7% |
| train | NORMAL | 1,601 | 0.1% | 0.01 | 5% |
| train | SIDEWAYS | 592 | 0.1% | 0.02 | 4% |
| train | UPTREND | 902 | 30.0% | 1.06 | 26% |
| validation | DOWNTREND | 125 | 4.1% | 1.35 | 2% |
| validation | EXPENSIVE | 138 | 37.9% | 0.75 | 41% |
| validation | EXTREME | 144 | 276.9% | 3.60 | 68% |
| validation | HIGH VOLATILITY | 258 | 80.8% | 1.31 | 33% |
| validation | LOW VOLATILITY | 183 | 5.7% | 0.48 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 73.0% | 2.17 | 31% |
| validation | NORMAL | 474 | -0.4% | -0.03 | 10% |
| validation | SIDEWAYS | 206 | -6.7% | -0.85 | 2% |
| validation | UPTREND | 425 | 107.7% | 1.91 | 46% |
Trades (full period)
latest 100 of 168
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-09-30 | 2025-10-06 | $444.72 | $453.25 | -3.21% | 5 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-11-25 | 2025-01-13 | $338.59 | $403.31 | 11.74% | 32 | |
| 2024-11-07 | 2024-11-15 | $296.91 | $320.72 | 7.64% | 7 | |
| 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 | |
| 2024-07-08 | 2024-07-25 | $252.94 | $220.25 | -14.30% | 14 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-07-05 | 2023-07-24 | $282.48 | $269.06 | -7.26% | 14 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.37% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2020-12-18 | 2021-02-09 | $231.67 | $283.15 | 31.38% | 35 | |
| 2020-12-04 | 2020-12-10 | $199.68 | $209.02 | 1.67% | 5 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-06-09 | 2020-08-10 | $62.71 | $94.57 | 52.62% | 44 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-11-08 | 2019-12-05 | $22.48 | $22.02 | -0.95% | 19 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.65% | 2 | |
| 2019-10-15 | 2019-10-16 | $17.19 | $17.32 | 0.16% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-11-08 | 2018-11-09 | $23.43 | $23.37 | 0.73% | 2 | |
| 2018-11-05 | 2018-11-06 | $22.76 | $22.74 | -1.64% | 2 | |
| 2018-11-01 | 2018-11-02 | $22.95 | $23.09 | 1.86% | 2 | |
| 2018-10-30 | 2018-10-31 | $21.99 | $22.49 | -1.68% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-06-18 | 2018-06-19 | $24.72 | $23.50 | 3.33% | 2 | |
| 2018-06-14 | 2018-06-15 | $23.85 | $23.88 | 3.55% | 2 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.63% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -2.15% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.24% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-06-23 | 2017-06-26 | $25.56 | $25.17 | 0.02% | 2 | |
| 2017-06-14 | 2017-06-21 | $25.38 | $25.09 | -1.18% | 6 | |
| 2017-06-06 | 2017-06-09 | $23.52 | $23.82 | 6.32% | 4 | |
| 2017-06-01 | 2017-06-02 | $22.69 | $22.66 | -0.39% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-01 | 2017-05-02 | $21.52 | $21.26 | 2.59% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -1.38% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-02-13 | 2017-02-23 | $18.71 | $17.07 | 1.39% | 8 | |
| 2017-02-09 | 2017-02-10 | $17.95 | $17.95 | 2.51% | 2 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 |