Fitness
0.4587
Generation
55
Complexity
11
Created
2026-10-06
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1212 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and rel_volume < 2.749)) and vol_chg < 1.2824):
position = 1.0
if long and ret_1d < 0.0336:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.0% | 34.2% | -1.8% | 13.5% |
| Total Return | 185.5% | 141.7% | -6.5% | 544.9% |
| Sharpe | 0.98 | 1.10 | -0.06 | 0.76 |
| Sortino | 0.65 | 0.80 | -0.03 | 0.45 |
| Calmar | 0.96 | 1.04 | -0.07 | 0.41 |
| Volatility | 14.5% | 31.2% | 13.8% | 19.0% |
| Max DD | -14.6% | -32.8% | -25.1% | -32.8% |
| Win Rate | 58.5% | 60.2% | 40.6% | 56.9% |
| Avg Win | 3.0% | 4.6% | 3.6% | 3.6% |
| Avg Loss | -2.0% | -3.7% | -2.7% | -2.7% |
| Payoff | 1.51 | 1.24 | 1.34 | 1.36 |
| Expectancy | 0.9% | 1.3% | -0.1% | 0.9% |
| Profit Factor | 2.13 | 1.88 | 0.92 | 1.79 |
| Trades | 123 | 83 | 32 | 239 |
| Avg Holding Days | 2.2 | 2.4 | 2.3 | 2.3 |
| Turnover | 30.9 | 55.3 | 17.1 | 32.5 |
| Exposure | 7.3% | 15.3% | 4.5% | 8.2% |
Growth of $100
PriceMomentum_V1212 vs TSLA Buy & Hold
PriceMomentum_V1212 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 15.7% | 0.99 | -9.6% | 43 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 6.9% | 1.47 | -0.9% | 4 |
| 2020 | 119.2% | 1.79 | -32.8% | 72 |
| 2021 | 10.0% | 0.68 | -12.5% | 10 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -54.8% | -1.84 | 28% |
| hidden test | EXTREME | 48 | 96.9% | 2.08 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 2.2% | 0.11 | 7% |
| hidden test | LOW VOLATILITY | 438 | 14.4% | 1.83 | 2% |
| hidden test | MEDIUM VOLATILITY | 250 | -30.6% | -2.23 | 5% |
| hidden test | NORMAL | 811 | -1.1% | -0.57 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | -2.1% | -0.10 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 48.9% | 1.82 | 31% |
| train | EXTREME | 100 | 140.8% | 3.23 | 50% |
| train | HIGH VOLATILITY | 699 | 22.6% | 1.19 | 10% |
| train | LOW VOLATILITY | 745 | 8.5% | 0.93 | 6% |
| train | MEDIUM VOLATILITY | 568 | 11.2% | 0.82 | 6% |
| train | NORMAL | 1,601 | -0.5% | -0.55 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 31.6% | 1.46 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 13.7% | 0.29 | 34% |
| validation | EXTREME | 144 | 167.0% | 3.10 | 48% |
| validation | HIGH VOLATILITY | 258 | 33.1% | 0.76 | 21% |
| validation | LOW VOLATILITY | 183 | 15.2% | 1.22 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 46.5% | 1.77 | 17% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | -0.1% | -1.11 | 0% |
| validation | UPTREND | 425 | 61.1% | 1.47 | 27% |
Trades (full period)
latest 100 of 239
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.77% | 3 | |
| 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 | |
| 2025-09-15 | 2025-09-17 | $410.04 | $425.86 | 6.28% | 3 | |
| 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 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-24 | 2024-12-27 | $462.28 | $431.66 | 5.26% | 3 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-16 | 2024-12-19 | $463.02 | $436.17 | 0.70% | 4 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-02 | 2024-12-04 | $357.09 | $357.93 | 1.61% | 3 | |
| 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 | |
| 2024-11-18 | 2024-11-20 | $338.74 | $342.03 | 7.67% | 3 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-08 | 2024-11-13 | $321.22 | $330.24 | 10.42% | 4 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-01 | 2021-02-04 | $279.94 | $283.33 | 7.50% | 4 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-22 | 2021-01-25 | $282.21 | $293.60 | -0.00% | 2 | |
| 2021-01-20 | 2021-01-21 | $283.48 | $281.66 | 0.50% | 2 | |
| 2021-01-15 | 2021-01-19 | $275.39 | $281.52 | -2.43% | 2 | |
| 2021-01-13 | 2021-01-14 | $284.80 | $281.67 | 0.38% | 2 | |
| 2021-01-07 | 2021-01-12 | $272.01 | $283.15 | 7.10% | 4 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-30 | 2021-01-04 | $231.59 | $243.26 | 5.75% | 3 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.09% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-17 | 2020-12-22 | $218.63 | $213.45 | 4.15% | 4 | |
| 2020-12-15 | 2020-12-16 | $211.08 | $207.59 | -1.23% | 2 | |
| 2020-12-10 | 2020-12-14 | $209.02 | $213.28 | 0.71% | 3 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-12-02 | 2020-12-03 | $189.61 | $197.79 | -2.92% | 2 | |
| 2020-11-30 | 2020-12-01 | $189.20 | $194.92 | -3.30% | 2 | |
| 2020-11-23 | 2020-11-27 | $173.95 | $195.25 | 17.01% | 4 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -2.89% | 2 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.78% | 2 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-18 | 2020-09-22 | $147.38 | $141.41 | 5.92% | 3 | |
| 2020-09-14 | 2020-09-17 | $139.87 | $141.14 | 18.30% | 4 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -21.24% | 2 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-27 | 2020-08-31 | $149.25 | $166.11 | 2.60% | 3 | |
| 2020-08-25 | 2020-08-26 | $134.89 | $143.54 | 0.25% | 2 | |
| 2020-08-20 | 2020-08-24 | $133.46 | $134.28 | 8.92% | 3 | |
| 2020-08-17 | 2020-08-19 | $122.38 | $125.24 | 14.10% | 3 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-08-03 | 2020-08-05 | $99.00 | $99.00 | 3.73% | 3 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-27 | 2020-07-29 | $102.64 | $99.94 | 4.00% | 3 | |
| 2020-07-23 | 2020-07-24 | $100.87 | $94.47 | -5.17% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -4.74% | 2 | |
| 2020-07-17 | 2020-07-20 | $100.06 | $109.53 | -0.19% | 2 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.72% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -3.28% | 2 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-06-30 | 2020-07-08 | $71.99 | $91.06 | 37.43% | 6 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-24 | 2020-06-25 | $64.06 | $65.73 | -4.28% | 2 | |
| 2020-06-22 | 2020-06-23 | $66.29 | $66.79 | -0.86% | 2 | |
| 2020-06-18 | 2020-06-19 | $66.93 | $66.73 | 1.03% | 2 | |
| 2020-06-16 | 2020-06-17 | $65.48 | $66.12 | -1.08% | 2 | |
| 2020-06-12 | 2020-06-15 | $62.35 | $66.06 | -4.06% | 2 | |
| 2020-06-08 | 2020-06-10 | $63.33 | $68.34 | 6.01% | 3 | |
| 2020-06-04 | 2020-06-05 | $57.63 | $59.04 | -2.30% | 2 | |
| 2020-06-01 | 2020-06-03 | $59.87 | $58.86 | 5.37% | 3 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-27 | 2020-04-29 | $53.25 | $53.37 | 5.86% | 3 | |
| 2020-04-23 | 2020-04-24 | $47.04 | $48.34 | -3.81% | 2 | |
| 2020-04-21 | 2020-04-22 | $45.78 | $48.81 | -8.18% | 2 | |
| 2020-04-17 | 2020-04-20 | $50.26 | $49.76 | 0.96% | 2 | |
| 2020-04-14 | 2020-04-16 | $47.33 | $49.68 | 11.90% | 3 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 |