Fitness
0.7226
Generation
55
Complexity
4
Created
2026-10-06
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (7)
Strategy Logic (pseudocode)
# PriceMomentum_V1210 [hybrid]
if flat and (ret_20d > 0.184 and breakout_20 == 1):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.9% | 103.6% | 9.6% | 33.2% |
| Total Return | 453.9% | 743.6% | 40.8% | 6674.1% |
| Sharpe | 0.93 | 1.76 | 0.45 | 1.04 |
| Sortino | 0.78 | 1.54 | 0.34 | 0.84 |
| Calmar | 0.75 | 3.07 | 0.26 | 0.91 |
| Volatility | 26.7% | 46.6% | 30.7% | 32.7% |
| Max DD | -32.0% | -33.7% | -36.6% | -36.6% |
| Win Rate | 64.7% | 85.7% | 45.5% | 62.9% |
| Avg Win | 22.7% | 49.2% | 18.3% | 32.4% |
| Avg Loss | -8.0% | -1.9% | -7.5% | -7.3% |
| Payoff | 2.86 | 10.00 | 2.46 | 4.46 |
| Expectancy | 11.9% | 41.9% | 4.3% | 17.6% |
| Profit Factor | 5.24 | 10.00 | 2.05 | 7.54 |
| Trades | 17 | 7 | 11 | 35 |
| Avg Holding Days | 32.6 | 39.6 | 25.2 | 33.0 |
| Turnover | 4.4 | 4.7 | 5.9 | 4.8 |
| Exposure | 29.0% | 35.7% | 28.2% | 30.2% |
Growth of $100
PriceMomentum_V1210 vs TSLA Buy & Hold
PriceMomentum_V1210 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 | 15.1% | 1.02 | -11.1% | 2 |
| 2017 | -4.5% | -0.12 | -22.8% | 3 |
| 2018 | -9.1% | -0.40 | -18.1% | 2 |
| 2019 | 43.3% | 1.61 | -13.9% | 1 |
| 2020 | 420.0% | 2.68 | -33.7% | 3 |
| 2021 | 55.0% | 1.59 | -17.6% | 2 |
| 2022 | 0.4% | 0.12 | -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 | 278 | 21.6% | 1.52 | 3% |
| hidden test | EXPENSIVE | 83 | 50.5% | 1.28 | 55% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 42.5% | 0.98 | 33% |
| hidden test | LOW VOLATILITY | 438 | 26.9% | 1.36 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.0% | -1.24 | 30% |
| hidden test | NORMAL | 811 | 0.1% | 0.00 | 23% |
| hidden test | SIDEWAYS | 293 | -21.0% | -0.77 | 28% |
| hidden test | UPTREND | 371 | 35.7% | 0.88 | 47% |
| train | DOWNTREND | 518 | 7.8% | 1.01 | 4% |
| train | EXPENSIVE | 311 | 34.2% | 0.93 | 56% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 45.9% | 1.25 | 30% |
| train | LOW VOLATILITY | 745 | 23.8% | 1.28 | 36% |
| train | MEDIUM VOLATILITY | 568 | 0.7% | 0.03 | 18% |
| train | NORMAL | 1,601 | 1.7% | 0.10 | 20% |
| train | SIDEWAYS | 592 | -11.3% | -0.68 | 12% |
| train | UPTREND | 902 | 58.5% | 1.58 | 55% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 55.9% | 1.06 | 49% |
| validation | EXTREME | 144 | 319.7% | 3.89 | 91% |
| validation | HIGH VOLATILITY | 258 | 94.6% | 1.45 | 42% |
| validation | LOW VOLATILITY | 183 | 20.2% | 1.36 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 107.5% | 2.69 | 44% |
| validation | NORMAL | 474 | 17.3% | 0.75 | 15% |
| validation | SIDEWAYS | 206 | 11.1% | 0.48 | 17% |
| validation | UPTREND | 425 | 137.1% | 2.30 | 55% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-13 | 2025-06-12 | $334.07 | $319.11 | 2.33% | 22 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2023-11-29 | 2024-01-05 | $244.14 | $237.49 | -3.76% | 26 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-31 | 2023-07-24 | $203.93 | $269.06 | 29.00% | 37 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | 2.36% | 22 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 31.30% | 31 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-07-02 | 2019-08-02 | $14.97 | $15.62 | 2.73% | 23 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -10.51% | 16 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -13.17% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 17.55% | 40 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-11-21 | 2012-12-31 | $2.16 | $2.26 | 0.46% | 27 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -10.45% | 4 | |
| 2012-02-15 | 2012-03-23 | $2.24 | $2.27 | 3.50% | 27 |