Fitness
0.4368
Generation
47
Complexity
4
Created
2026-10-02
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1043 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and (ret_20d < -0.0017 or sma_10 > sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.5% | 34.3% | 21.9% | 16.7% |
| Total Return | 92.1% | 142.2% | 109.5% | 873.6% |
| Sharpe | 0.55 | 1.08 | 1.02 | 0.80 |
| Sortino | 0.38 | 0.96 | 0.68 | 0.58 |
| Calmar | 0.61 | 1.81 | 0.87 | 0.66 |
| Volatility | 17.7% | 32.1% | 21.6% | 22.3% |
| Max DD | -13.9% | -18.9% | -25.2% | -25.2% |
| Win Rate | 50.4% | 54.8% | 58.6% | 53.9% |
| Avg Win | 3.1% | 4.5% | 4.3% | 3.9% |
| Avg Loss | -2.0% | -3.3% | -3.2% | -2.7% |
| Payoff | 1.54 | 1.38 | 1.35 | 1.45 |
| Expectancy | 0.6% | 1.0% | 1.2% | 0.9% |
| Profit Factor | 1.57 | 1.67 | 1.91 | 1.70 |
| Trades | 131 | 104 | 70 | 306 |
| Avg Holding Days | 2.4 | 2.2 | 2.6 | 2.4 |
| Turnover | 32.9 | 69.3 | 37.5 | 41.6 |
| Exposure | 8.9% | 16.3% | 12.2% | 11.2% |
Growth of $100
PriceMomentum_V1043 vs TSLA Buy & Hold
PriceMomentum_V1043 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 | 16.3% | 1.41 | -6.6% | 7 |
| 2017 | 4.4% | 0.57 | -5.3% | 20 |
| 2018 | -7.9% | -0.72 | -12.0% | 13 |
| 2019 | 7.6% | 0.45 | -13.9% | 14 |
| 2020 | 126.6% | 1.92 | -18.9% | 69 |
| 2021 | 8.6% | 0.49 | -15.4% | 24 |
| 2022 | -1.8% | -0.04 | -10.3% | 10 |
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 | 276 | 30.6% | 1.75 | 6% |
| hidden test | EXPENSIVE | 83 | 70.7% | 2.84 | 24% |
| hidden test | EXTREME | 48 | 73.0% | 1.71 | 27% |
| hidden test | HIGH VOLATILITY | 254 | 31.3% | 0.98 | 20% |
| hidden test | LOW VOLATILITY | 436 | 20.3% | 1.50 | 8% |
| hidden test | MEDIUM VOLATILITY | 250 | 16.2% | 0.80 | 12% |
| hidden test | NORMAL | 809 | 14.2% | 0.73 | 10% |
| hidden test | SIDEWAYS | 293 | 22.3% | 1.12 | 13% |
| hidden test | UPTREND | 371 | 15.7% | 0.62 | 16% |
| train | DOWNTREND | 518 | 8.6% | 1.11 | 4% |
| train | EXPENSIVE | 311 | 2.2% | 0.12 | 13% |
| train | EXTREME | 100 | 157.1% | 2.75 | 40% |
| train | HIGH VOLATILITY | 699 | 18.4% | 0.68 | 13% |
| train | LOW VOLATILITY | 745 | 6.5% | 0.73 | 8% |
| train | MEDIUM VOLATILITY | 568 | 3.1% | 0.30 | 5% |
| train | NORMAL | 1,601 | 1.9% | 0.17 | 6% |
| train | SIDEWAYS | 592 | -1.4% | -0.10 | 7% |
| train | UPTREND | 902 | 17.5% | 0.75 | 13% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 26.8% | 0.92 | 22% |
| validation | EXTREME | 144 | 160.3% | 2.68 | 35% |
| validation | HIGH VOLATILITY | 258 | 71.4% | 1.58 | 17% |
| validation | LOW VOLATILITY | 183 | 0.2% | 0.02 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 24.3% | 0.88 | 21% |
| validation | NORMAL | 474 | -1.4% | -0.08 | 9% |
| validation | SIDEWAYS | 206 | 1.5% | 0.09 | 12% |
| validation | UPTREND | 425 | 57.3% | 1.41 | 23% |
Trades (full period)
latest 100 of 306
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-08 | 2026-05-14 | $428.35 | $443.30 | 7.92% | 5 | |
| 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 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-08 | 2025-05-15 | $284.82 | $342.82 | 25.62% | 6 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 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 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-03 | 2024-07-08 | $246.39 | $252.94 | 8.55% | 3 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.60% | 7 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-09-19 | 2023-09-20 | $266.50 | $262.59 | 0.26% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-05-25 | 2023-06-06 | $184.47 | $221.31 | 18.74% | 8 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-07-29 | 2022-08-26 | $297.15 | $288.09 | 5.20% | 21 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -4.37% | 2 | |
| 2022-04-04 | 2022-04-05 | $381.82 | $363.75 | 5.41% | 2 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.70% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 3.51% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -2.14% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -12.18% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.84% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 3.37% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 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 | |
| 2021-04-27 | 2021-04-28 | $234.91 | $231.47 | -4.73% | 2 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-29 | 2021-02-01 | $264.51 | $279.94 | -5.21% | 2 | |
| 2021-01-27 | 2021-01-28 | $288.05 | $278.48 | -2.34% | 2 | |
| 2021-01-25 | 2021-01-26 | $293.60 | $294.36 | 3.83% | 2 | |
| 2021-01-21 | 2021-01-22 | $281.66 | $282.21 | -0.84% | 2 | |
| 2021-01-19 | 2021-01-20 | $281.52 | $283.48 | 2.02% | 2 |