Fitness
0.4836
Generation
50
Complexity
2
Created
2026-10-03
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1097 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and ret_60d < 0.3071:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.3% | 41.0% | -5.1% | 17.2% |
| Total Return | 337.0% | 180.2% | -17.8% | 935.9% |
| Sharpe | 0.89 | 0.94 | -0.06 | 0.66 |
| Sortino | 0.63 | 0.83 | -0.04 | 0.47 |
| Calmar | 0.62 | 0.80 | -0.12 | 0.33 |
| Volatility | 23.7% | 49.9% | 27.0% | 31.6% |
| Max DD | -32.8% | -51.5% | -43.6% | -51.5% |
| Win Rate | 47.9% | 56.3% | 47.1% | 49.4% |
| Avg Win | 10.2% | 9.9% | 4.3% | 8.9% |
| Avg Loss | -2.3% | -3.1% | -4.2% | -3.1% |
| Payoff | 4.39 | 3.15 | 1.03 | 2.85 |
| Expectancy | 3.7% | 4.2% | -0.2% | 2.8% |
| Profit Factor | 4.04 | 4.05 | 0.91 | 2.78 |
| Trades | 71 | 32 | 51 | 154 |
| Avg Holding Days | 4.8 | 9.9 | 4.5 | 6.1 |
| Turnover | 17.9 | 21.3 | 27.3 | 20.9 |
| Exposure | 15.7% | 37.7% | 19.1% | 21.1% |
Growth of $100
PriceMomentum_V1097 vs TSLA Buy & Hold
PriceMomentum_V1097 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 | 8.1% | 0.94 | -4.5% | 14 |
| 2017 | -7.8% | -0.61 | -12.5% | 14 |
| 2018 | 2.9% | 0.33 | -7.2% | 14 |
| 2019 | 20.8% | 0.97 | -14.7% | 3 |
| 2020 | 194.7% | 1.79 | -51.5% | 12 |
| 2021 | -2.3% | 0.11 | -27.6% | 4 |
| 2022 | -6.4% | -0.48 | -11.9% | 16 |
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 | 277 | 19.1% | 1.49 | 3% |
| hidden test | EXPENSIVE | 83 | -28.3% | -0.81 | 40% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -2.3% | -0.06 | 29% |
| hidden test | LOW VOLATILITY | 436 | 6.8% | 0.43 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -15.4% | -0.61 | 19% |
| hidden test | NORMAL | 810 | -9.9% | -0.45 | 12% |
| hidden test | SIDEWAYS | 293 | -16.8% | -0.86 | 7% |
| hidden test | UPTREND | 371 | -5.0% | -0.13 | 41% |
| train | DOWNTREND | 518 | 0.9% | 0.27 | 1% |
| train | EXPENSIVE | 311 | 7.7% | 0.23 | 39% |
| train | EXTREME | 100 | 397.5% | 5.39 | 98% |
| train | HIGH VOLATILITY | 699 | 44.9% | 1.34 | 21% |
| train | LOW VOLATILITY | 745 | 10.3% | 0.76 | 14% |
| train | MEDIUM VOLATILITY | 568 | 6.3% | 0.33 | 11% |
| train | NORMAL | 1,601 | 0.3% | 0.03 | 6% |
| train | SIDEWAYS | 592 | -8.2% | -0.66 | 4% |
| train | UPTREND | 902 | 52.1% | 1.54 | 32% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | -33.2% | -0.52 | 75% |
| validation | EXTREME | 144 | 300.3% | 3.56 | 81% |
| validation | HIGH VOLATILITY | 258 | 88.1% | 1.22 | 46% |
| validation | LOW VOLATILITY | 183 | -11.6% | -0.73 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 47.1% | 1.20 | 43% |
| validation | NORMAL | 474 | -6.8% | -0.29 | 14% |
| validation | SIDEWAYS | 206 | -29.2% | -1.92 | 8% |
| validation | UPTREND | 425 | 94.2% | 1.44 | 63% |
Trades (full period)
latest 100 of 154
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 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 | |
| 2025-09-23 | 2025-10-13 | $425.85 | $435.90 | -4.96% | 15 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-16 | 2025-09-18 | $421.62 | $416.85 | 3.65% | 3 | |
| 2025-06-03 | 2025-06-06 | $344.27 | $295.14 | -17.09% | 4 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2024-11-07 | 2025-02-07 | $296.91 | $361.62 | 29.48% | 62 | |
| 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 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -6.78% | 16 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 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 | |
| 2023-06-30 | 2023-08-17 | $261.77 | $219.22 | -12.56% | 34 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-20 | 2023-06-27 | $274.45 | $250.21 | -7.66% | 6 | |
| 2023-06-12 | 2023-06-16 | $249.83 | $260.54 | 4.50% | 5 | |
| 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 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 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 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-18 | 2022-08-24 | $302.87 | $297.10 | -2.68% | 5 | |
| 2022-08-15 | 2022-08-17 | $309.32 | $304.00 | 1.98% | 3 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 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 | |
| 2021-10-19 | 2021-12-14 | $288.09 | $319.50 | 10.84% | 40 | |
| 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 | |
| 2020-11-27 | 2021-02-24 | $195.25 | $247.34 | 21.51% | 60 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-06-11 | 2020-11-02 | $64.86 | $133.50 | 88.89% | 101 | |
| 2020-06-02 | 2020-06-03 | $58.77 | $58.86 | -2.04% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-05-07 | 2020-05-08 | $52.00 | $54.63 | -0.52% | 2 | |
| 2020-05-05 | 2020-05-06 | $51.21 | $52.17 | 0.72% | 2 | |
| 2020-05-01 | 2020-05-04 | $46.75 | $50.75 | -10.49% | 2 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-27 | 2020-04-28 | $53.25 | $51.27 | 9.94% | 2 | |
| 2020-04-22 | 2020-04-24 | $48.81 | $48.34 | 2.55% | 3 | |
| 2020-04-14 | 2020-04-21 | $47.33 | $45.78 | 14.44% | 6 | |
| 2019-10-25 | 2020-03-17 | $21.88 | $28.68 | 48.23% | 98 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 1.46% | 2 | |
| 2018-11-20 | 2018-11-21 | $23.17 | $22.55 | -1.89% | 2 | |
| 2018-11-16 | 2018-11-19 | $23.62 | $23.56 | 1.48% | 2 | |
| 2018-11-14 | 2018-11-15 | $22.93 | $23.23 | 1.35% | 2 | |
| 2018-11-12 | 2018-11-13 | $22.09 | $22.58 | -5.68% | 2 | |
| 2018-11-08 | 2018-11-09 | $23.43 | $23.37 | 0.73% | 2 | |
| 2018-11-06 | 2018-11-07 | $22.74 | $23.21 | -0.30% | 2 | |
| 2018-11-02 | 2018-11-05 | $23.09 | $22.76 | 0.42% | 2 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-26 | 2018-06-28 | $22.80 | $23.33 | 3.25% | 3 | |
| 2018-06-22 | 2018-06-25 | $22.24 | $22.20 | -4.19% | 2 | |
| 2018-06-20 | 2018-06-21 | $24.15 | $23.17 | 2.54% | 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 |