Fitness
0.5912
Generation
59
Complexity
2
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1296 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and ret_1d < -0.0578:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.1% | 69.8% | -2.9% | 23.4% |
| Total Return | 392.3% | 390.0% | -10.5% | 2121.8% |
| Sharpe | 0.81 | 1.31 | 0.09 | 0.76 |
| Sortino | 0.77 | 1.36 | 0.09 | 0.72 |
| Calmar | 0.47 | 1.99 | -0.05 | 0.42 |
| Volatility | 30.2% | 49.9% | 35.0% | 36.3% |
| Max DD | -47.3% | -35.1% | -55.3% | -55.3% |
| Win Rate | 63.2% | 57.9% | 50.0% | 57.4% |
| Avg Win | 22.1% | 28.8% | 16.9% | 23.3% |
| Avg Loss | -8.7% | -11.1% | -14.8% | -11.7% |
| Payoff | 2.56 | 2.59 | 1.14 | 2.00 |
| Expectancy | 10.8% | 12.0% | 1.0% | 8.4% |
| Profit Factor | 4.39 | 3.56 | 1.14 | 2.69 |
| Trades | 19 | 19 | 16 | 54 |
| Avg Holding Days | 42.1 | 19.9 | 25.9 | 29.6 |
| Turnover | 4.9 | 12.7 | 8.5 | 7.3 |
| Exposure | 39.1% | 47.5% | 42.2% | 41.6% |
Growth of $100
PriceMomentum_V1296 vs TSLA Buy & Hold
PriceMomentum_V1296 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 | -11.3% | -0.27 | -41.7% | 1 |
| 2017 | 28.9% | 1.24 | -14.8% | 2 |
| 2018 | -19.9% | -0.94 | -25.4% | 2 |
| 2019 | 13.0% | 0.68 | -13.7% | 2 |
| 2020 | 501.3% | 2.85 | -29.5% | 11 |
| 2021 | -5.9% | 0.02 | -30.4% | 5 |
| 2022 | -17.0% | -0.54 | -27.9% | 3 |
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 | 24.0% | 1.06 | 18% |
| hidden test | EXPENSIVE | 83 | 51.5% | 1.14 | 71% |
| hidden test | EXTREME | 48 | 164.5% | 3.14 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 10.1% | 0.25 | 27% |
| hidden test | LOW VOLATILITY | 440 | 17.4% | 0.57 | 54% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.7% | -0.79 | 36% |
| hidden test | NORMAL | 813 | -11.3% | -0.35 | 38% |
| hidden test | SIDEWAYS | 295 | -30.0% | -0.83 | 56% |
| hidden test | UPTREND | 371 | 14.0% | 0.34 | 49% |
| train | DOWNTREND | 518 | 6.5% | 0.46 | 17% |
| train | EXPENSIVE | 311 | 60.3% | 1.53 | 61% |
| train | EXTREME | 100 | 399.3% | 5.56 | 96% |
| train | HIGH VOLATILITY | 699 | 44.4% | 1.16 | 30% |
| train | LOW VOLATILITY | 745 | 19.2% | 0.78 | 57% |
| train | MEDIUM VOLATILITY | 568 | 6.8% | 0.27 | 27% |
| train | NORMAL | 1,601 | -5.9% | -0.27 | 31% |
| train | SIDEWAYS | 592 | -14.6% | -0.62 | 22% |
| train | UPTREND | 902 | 60.4% | 1.53 | 63% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 44.0% | 0.76 | 77% |
| validation | EXTREME | 144 | 336.3% | 4.15 | 88% |
| validation | HIGH VOLATILITY | 258 | 93.2% | 1.47 | 41% |
| validation | LOW VOLATILITY | 183 | 6.3% | 0.25 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 77.1% | 1.61 | 58% |
| validation | NORMAL | 474 | -10.6% | -0.35 | 27% |
| validation | SIDEWAYS | 206 | -36.4% | -1.05 | 37% |
| validation | UPTREND | 425 | 130.6% | 2.12 | 66% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2026-06-08 | $467.26 | $408.95 | -20.35% | 118 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-05-08 | 2025-06-06 | $284.82 | $295.14 | 2.87% | 21 | |
| 2024-12-20 | 2025-01-03 | $421.06 | $410.44 | -13.22% | 9 | |
| 2024-11-14 | 2024-12-19 | $311.18 | $436.17 | 33.00% | 25 | |
| 2024-11-07 | 2024-11-13 | $296.91 | $330.24 | 13.63% | 5 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -14.51% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-15 | 2024-07-25 | $252.64 | $220.25 | -13.16% | 9 | |
| 2024-05-20 | 2024-07-12 | $174.95 | $248.23 | 35.55% | 37 | |
| 2023-11-29 | 2024-01-26 | $244.14 | $183.25 | -26.13% | 40 | |
| 2023-09-15 | 2023-10-20 | $274.39 | $211.99 | -20.42% | 26 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 4.86% | 17 | |
| 2023-05-25 | 2023-06-27 | $184.47 | $250.21 | 31.53% | 22 | |
| 2023-02-01 | 2023-03-03 | $181.41 | $197.79 | 9.99% | 22 | |
| 2023-01-27 | 2023-01-31 | $177.90 | $173.22 | 3.79% | 3 | |
| 2022-08-09 | 2022-09-30 | $283.33 | $265.25 | -7.84% | 38 | |
| 2022-07-29 | 2022-08-08 | $297.15 | $290.42 | 2.39% | 7 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2021-11-11 | 2021-12-06 | $354.50 | $336.34 | -5.15% | 17 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 17.39% | 17 | |
| 2021-04-07 | 2021-05-11 | $223.66 | $205.73 | -9.23% | 25 | |
| 2021-01-13 | 2021-02-23 | $284.80 | $232.95 | -16.05% | 28 | |
| 2020-12-23 | 2021-01-12 | $215.33 | $283.15 | 26.43% | 13 | |
| 2020-12-11 | 2020-12-22 | $203.33 | $213.45 | 3.42% | 8 | |
| 2020-10-07 | 2020-12-10 | $141.77 | $209.02 | 45.73% | 46 | |
| 2020-09-10 | 2020-09-24 | $123.78 | $129.26 | 3.64% | 11 | |
| 2020-09-04 | 2020-09-09 | $139.44 | $122.09 | -19.03% | 3 | |
| 2020-07-28 | 2020-09-03 | $98.43 | $135.67 | 44.99% | 28 | |
| 2020-05-05 | 2020-07-27 | $51.21 | $102.64 | 85.79% | 58 | |
| 2020-04-23 | 2020-05-04 | $47.04 | $50.75 | -4.40% | 8 | |
| 2020-04-14 | 2020-04-22 | $47.33 | $48.81 | 5.29% | 7 | |
| 2020-02-26 | 2020-02-28 | $51.92 | $44.53 | -15.29% | 3 | |
| 2020-02-07 | 2020-02-25 | $49.87 | $53.33 | 11.10% | 12 | |
| 2019-12-24 | 2020-02-06 | $28.35 | $49.93 | 74.91% | 30 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2018-10-29 | 2018-12-26 | $22.32 | $21.74 | -10.91% | 40 | |
| 2018-06-14 | 2018-07-05 | $23.85 | $20.61 | -10.02% | 15 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2016-07-26 | 2017-02-24 | $15.30 | $17.13 | 11.07% | 148 | |
| 2016-03-08 | 2016-06-23 | $13.51 | $13.09 | -4.40% | 76 | |
| 2015-09-23 | 2015-10-21 | $17.40 | $14.01 | -18.52% | 21 | |
| 2015-04-28 | 2015-08-07 | $15.37 | $16.17 | 6.08% | 72 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2013-12-18 | 2014-04-07 | $9.87 | $13.83 | 38.92% | 75 | |
| 2013-07-22 | 2013-10-03 | $8.16 | $11.55 | 50.90% | 53 | |
| 2013-06-04 | 2013-07-17 | $6.32 | $8.02 | 17.54% | 31 | |
| 2013-05-09 | 2013-06-03 | $4.63 | $6.17 | 74.91% | 17 | |
| 2013-04-15 | 2013-05-08 | $2.89 | $3.72 | 26.63% | 18 | |
| 2013-04-02 | 2013-04-04 | $2.96 | $2.80 | -6.63% | 3 | |
| 2012-11-21 | 2013-02-22 | $2.16 | $2.41 | 6.33% | 63 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-14 | 2012-04-05 | $2.21 | $2.30 | 10.93% | 37 |