Fitness
0.5820
Generation
60
Complexity
17
Created
2026-10-08
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1314 [hybrid]
if flat and ((ret_20d > 0.0191 and breakout_50 == 1) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184)):
position = 1.0
if long and ret_1d < -0.0504:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.2% | 83.6% | -8.6% | 24.6% |
| Total Return | 462.6% | 518.6% | -28.7% | 2454.4% |
| Sharpe | 0.79 | 1.43 | -0.02 | 0.75 |
| Sortino | 0.89 | 1.62 | -0.03 | 0.84 |
| Calmar | 0.35 | 1.90 | -0.15 | 0.36 |
| Volatility | 34.9% | 51.8% | 40.1% | 40.2% |
| Max DD | -69.3% | -43.9% | -58.6% | -69.3% |
| Win Rate | 51.4% | 46.2% | 29.0% | 42.6% |
| Avg Win | 19.2% | 30.7% | 21.1% | 24.4% |
| Avg Loss | -8.9% | -8.3% | -8.6% | -8.6% |
| Payoff | 2.15 | 3.72 | 2.46 | 2.83 |
| Expectancy | 5.5% | 9.7% | 0.0% | 5.4% |
| Profit Factor | 2.27 | 3.19 | 1.01 | 2.10 |
| Trades | 37 | 26 | 31 | 94 |
| Avg Holding Days | 29.6 | 18.8 | 17.8 | 23.0 |
| Turnover | 9.4 | 17.3 | 16.8 | 12.8 |
| Exposure | 53.8% | 61.4% | 57.4% | 56.3% |
Growth of $100
PriceMomentum_V1314 vs TSLA Buy & Hold
PriceMomentum_V1314 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 | -4.0% | -0.05 | -32.7% | 2 |
| 2017 | 15.8% | 0.64 | -30.7% | 3 |
| 2018 | -51.5% | -1.98 | -55.9% | 8 |
| 2019 | 60.0% | 1.66 | -25.5% | 3 |
| 2020 | 352.6% | 2.47 | -37.2% | 14 |
| 2021 | 58.1% | 1.34 | -21.2% | 5 |
| 2022 | -17.1% | -0.35 | -28.8% | 7 |
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 | -13.8% | -0.48 | 34% |
| hidden test | EXPENSIVE | 83 | 70.6% | 1.33 | 76% |
| hidden test | EXTREME | 48 | 131.8% | 2.18 | 94% |
| hidden test | HIGH VOLATILITY | 254 | -16.4% | -0.34 | 46% |
| hidden test | LOW VOLATILITY | 440 | 33.1% | 0.93 | 71% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.4% | -1.22 | 45% |
| hidden test | NORMAL | 813 | -16.1% | -0.44 | 53% |
| hidden test | SIDEWAYS | 295 | -31.0% | -0.82 | 66% |
| hidden test | UPTREND | 371 | 32.5% | 0.67 | 68% |
| train | DOWNTREND | 518 | -6.8% | -0.37 | 20% |
| train | EXPENSIVE | 311 | 89.8% | 2.07 | 82% |
| train | EXTREME | 100 | 348.5% | 5.06 | 93% |
| train | HIGH VOLATILITY | 699 | 39.2% | 0.89 | 41% |
| train | LOW VOLATILITY | 745 | 39.6% | 1.43 | 70% |
| train | MEDIUM VOLATILITY | 568 | -2.2% | -0.07 | 48% |
| train | NORMAL | 1,601 | -4.5% | -0.15 | 46% |
| train | SIDEWAYS | 592 | -10.5% | -0.33 | 48% |
| train | UPTREND | 902 | 72.5% | 1.68 | 77% |
| validation | DOWNTREND | 125 | 47.6% | 1.85 | 18% |
| validation | EXPENSIVE | 138 | 20.2% | 0.39 | 64% |
| validation | EXTREME | 144 | 309.1% | 3.71 | 91% |
| validation | HIGH VOLATILITY | 258 | 61.6% | 0.93 | 49% |
| validation | LOW VOLATILITY | 183 | 51.3% | 1.64 | 78% |
| validation | MEDIUM VOLATILITY | 315 | 97.9% | 2.04 | 62% |
| validation | NORMAL | 474 | 18.6% | 0.51 | 52% |
| validation | SIDEWAYS | 206 | -18.5% | -0.48 | 56% |
| validation | UPTREND | 425 | 127.0% | 2.05 | 77% |
Trades (full period)
95 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | 2.52% | 21 | OPEN |
| 2026-08-24 | 2026-09-08 | $348.95 | $368.16 | -2.62% | 11 | |
| 2026-04-20 | 2026-06-08 | $392.50 | $408.95 | -2.60% | 35 | |
| 2025-12-15 | 2026-04-06 | $475.31 | $352.82 | -21.59% | 76 | |
| 2025-11-06 | 2025-11-14 | $445.91 | $404.35 | -13.18% | 7 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.71% | 17 | |
| 2025-10-06 | 2025-10-13 | $453.25 | $435.90 | -3.99% | 6 | |
| 2025-08-11 | 2025-10-03 | $339.03 | $429.83 | 32.00% | 39 | |
| 2025-04-30 | 2025-06-06 | $282.16 | $295.14 | -2.71% | 27 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-01-06 | 2025-02-04 | $411.05 | $392.21 | -6.71% | 20 | |
| 2024-12-20 | 2025-01-03 | $421.06 | $410.44 | -13.22% | 9 | |
| 2024-11-18 | 2024-12-19 | $338.74 | $436.17 | 36.96% | 23 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-10-28 | 2024-11-13 | $262.51 | $330.24 | 21.78% | 13 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -3.89% | 24 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -4.14% | 3 | |
| 2024-07-26 | 2024-08-02 | $219.80 | $207.67 | -1.74% | 6 | |
| 2024-07-15 | 2024-07-25 | $252.64 | $220.25 | -13.16% | 9 | |
| 2024-05-06 | 2024-07-12 | $184.76 | $248.23 | 32.76% | 47 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-11-17 | 2024-01-26 | $234.30 | $183.25 | -21.97% | 47 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-07-26 | 2023-09-05 | $264.35 | $256.49 | -7.83% | 29 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 4.86% | 17 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -9.09% | 3 | |
| 2023-05-24 | 2023-06-22 | $182.90 | $264.61 | 39.39% | 20 | |
| 2023-02-23 | 2023-03-03 | $202.07 | $197.79 | -5.15% | 7 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-01 | 2023-02-17 | $181.41 | $208.31 | 16.41% | 13 | |
| 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 | |
| 2022-07-14 | 2022-08-08 | $238.31 | $290.42 | 21.33% | 18 | |
| 2022-06-24 | 2022-07-12 | $245.71 | $233.07 | -0.50% | 12 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-18 | 2022-01-24 | $343.50 | $310.00 | -10.25% | 5 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-11-11 | 2021-12-06 | $354.50 | $336.34 | -5.15% | 17 | |
| 2021-06-14 | 2021-11-10 | $205.90 | $355.98 | 67.48% | 106 | |
| 2021-04-05 | 2021-05-11 | $230.35 | $205.73 | -5.13% | 27 | |
| 2021-01-13 | 2021-02-11 | $284.80 | $270.55 | -5.44% | 21 | |
| 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 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 23.97% | 15 | |
| 2020-10-07 | 2020-11-02 | $141.77 | $133.50 | -6.45% | 19 | |
| 2020-09-10 | 2020-09-23 | $123.78 | $126.79 | 15.59% | 10 | |
| 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 | |
| 2020-06-15 | 2020-07-27 | $66.06 | $102.64 | 51.21% | 30 | |
| 2020-05-05 | 2020-06-12 | $51.21 | $62.35 | 27.55% | 28 | |
| 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 | |
| 2020-03-03 | 2020-03-10 | $49.70 | $43.02 | -18.40% | 6 | |
| 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 | |
| 2019-11-29 | 2020-02-06 | $22.00 | $49.93 | 121.33% | 47 | |
| 2019-09-27 | 2019-11-25 | $16.14 | $22.42 | 37.03% | 42 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -9.40% | 9 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2018-11-14 | 2018-12-21 | $22.93 | $21.32 | -7.08% | 26 | |
| 2018-10-29 | 2018-11-13 | $22.32 | $22.58 | -0.08% | 12 | |
| 2018-08-27 | 2018-09-10 | $21.28 | $19.03 | -18.62% | 10 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-05 | $21.07 | $20.61 | -2.90% | 20 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-27 | 2018-03-28 | $23.40 | $17.19 | -22.05% | 22 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 20.81% | 70 | |
| 2016-12-20 | 2017-02-24 | $13.92 | $17.13 | 26.02% | 45 | |
| 2016-07-22 | 2016-09-02 | $14.82 | $13.19 | -9.13% | 31 | |
| 2016-03-04 | 2016-06-23 | $13.40 | $13.09 | 0.27% | 78 | |
| 2015-11-30 | 2016-01-05 | $15.35 | $14.90 | -3.73% | 25 | |
| 2015-09-22 | 2015-10-21 | $17.40 | $14.01 | -19.53% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-13 | 2015-07-22 | $13.99 | $17.86 | 26.24% | 71 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-05-28 | 2014-09-16 | $14.02 | $17.38 | 19.75% | 78 | |
| 2013-12-13 | 2014-04-07 | $9.84 | $13.83 | 43.63% | 78 | |
| 2013-10-07 | 2013-10-22 | $12.20 | $11.44 | -4.82% | 12 | |
| 2013-08-09 | 2013-10-03 | $10.20 | $11.55 | 17.66% | 39 | |
| 2013-07-18 | 2013-08-08 | $7.94 | $10.23 | 11.40% | 16 | |
| 2013-06-13 | 2013-07-17 | $6.55 | $8.02 | 11.36% | 24 | |
| 2013-06-04 | 2013-06-12 | $6.32 | $6.52 | 1.83% | 7 | |
| 2013-05-31 | 2013-06-03 | $6.52 | $6.17 | -7.04% | 2 | |
| 2013-05-16 | 2013-05-30 | $6.15 | $7.00 | 23.09% | 10 | |
| 2013-05-09 | 2013-05-15 | $4.63 | $5.66 | 48.93% | 5 | |
| 2013-04-05 | 2013-05-08 | $2.76 | $3.72 | 31.87% | 24 | |
| 2013-03-26 | 2013-04-04 | $2.52 | $2.80 | 9.29% | 7 | |
| 2012-11-06 | 2013-02-22 | $2.08 | $2.41 | 11.39% | 74 | |
| 2012-08-24 | 2012-09-11 | $1.97 | $1.85 | -11.12% | 12 | |
| 2012-06-19 | 2012-07-18 | $2.14 | $2.14 | 4.53% | 21 | |
| 2012-02-02 | 2012-04-05 | $2.02 | $2.30 | 18.09% | 45 |