Fitness
0.6112
Generation
62
Complexity
34
Created
2026-10-09
Lineage
Parents (1)
added entry filter: close > ema_20
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1354 [hybrid]
if flat and (((ret_20d > 0.184 and breakout_20 == 1) or (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close)) and close > ema_20):
position = 1.0
if long and (macd_hist < 0.0 or breakout_252 == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.0% | 65.7% | 28.3% | 30.0% |
| Total Return | 302.1% | 355.0% | 154.6% | 4696.5% |
| Sharpe | 0.71 | 1.46 | 0.95 | 0.96 |
| Sortino | 0.72 | 1.71 | 1.01 | 1.00 |
| Calmar | 0.43 | 2.91 | 0.87 | 0.67 |
| Volatility | 31.0% | 40.1% | 31.2% | 33.1% |
| Max DD | -44.6% | -22.6% | -32.5% | -44.6% |
| Win Rate | 58.8% | 63.6% | 42.1% | 58.0% |
| Avg Win | 5.6% | 5.3% | 12.0% | 6.1% |
| Avg Loss | -4.9% | -4.0% | -3.5% | -4.4% |
| Payoff | 1.14 | 1.33 | 3.41 | 1.40 |
| Expectancy | 1.3% | 1.9% | 3.0% | 1.7% |
| Profit Factor | 1.62 | 2.33 | 2.48 | 1.94 |
| Trades | 148 | 88 | 38 | 274 |
| Avg Holding Days | 6.0 | 4.5 | 10.2 | 6.1 |
| Turnover | 37.2 | 58.7 | 20.5 | 37.3 |
| Exposure | 36.8% | 41.1% | 37.2% | 37.8% |
Growth of $100
PriceMomentum_V1354 vs TSLA Buy & Hold
PriceMomentum_V1354 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 | 26.5% | 1.47 | -12.2% | 5 |
| 2017 | 5.5% | 0.36 | -20.2% | 21 |
| 2018 | -2.9% | 0.04 | -23.3% | 8 |
| 2019 | 11.1% | 0.48 | -28.9% | 10 |
| 2020 | 267.9% | 2.71 | -21.0% | 57 |
| 2021 | 10.4% | 0.47 | -17.5% | 24 |
| 2022 | -1.8% | 0.07 | -17.6% | 6 |
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 | 14.5% | 0.60 | 27% |
| hidden test | EXPENSIVE | 83 | 106.8% | 2.44 | 46% |
| hidden test | EXTREME | 48 | 85.4% | 2.74 | 29% |
| hidden test | HIGH VOLATILITY | 254 | 35.4% | 0.87 | 40% |
| hidden test | LOW VOLATILITY | 441 | 49.4% | 2.02 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.7% | -0.35 | 35% |
| hidden test | NORMAL | 814 | 18.6% | 0.63 | 37% |
| hidden test | SIDEWAYS | 296 | -1.5% | -0.05 | 46% |
| hidden test | UPTREND | 371 | 66.0% | 1.89 | 38% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 28.7% | 0.91 | 49% |
| train | EXTREME | 100 | 321.9% | 4.82 | 61% |
| train | HIGH VOLATILITY | 699 | 44.0% | 1.08 | 36% |
| train | LOW VOLATILITY | 745 | 27.7% | 1.31 | 41% |
| train | MEDIUM VOLATILITY | 568 | -12.0% | -0.43 | 32% |
| train | NORMAL | 1,601 | 2.2% | 0.08 | 33% |
| train | SIDEWAYS | 592 | 13.4% | 0.46 | 41% |
| train | UPTREND | 902 | 45.4% | 1.21 | 45% |
| validation | DOWNTREND | 125 | 34.7% | 1.58 | 13% |
| validation | EXPENSIVE | 138 | 25.7% | 0.65 | 42% |
| validation | EXTREME | 144 | 238.4% | 3.90 | 63% |
| validation | HIGH VOLATILITY | 258 | 53.0% | 1.08 | 33% |
| validation | LOW VOLATILITY | 183 | 14.5% | 0.59 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 88.5% | 2.25 | 43% |
| validation | NORMAL | 474 | 13.3% | 0.44 | 34% |
| validation | SIDEWAYS | 206 | 20.4% | 0.64 | 39% |
| validation | UPTREND | 425 | 83.8% | 1.78 | 50% |
Trades (full period)
latest 100 of 275
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -1.59% | 2 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-12-18 | 2025-12-30 | $483.37 | $454.43 | -1.82% | 8 | |
| 2025-12-04 | 2025-12-17 | $454.53 | $467.26 | 9.44% | 10 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-19 | 2024-12-24 | $436.17 | $462.28 | -2.36% | 4 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 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 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -1.88% | 3 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-29 | 2024-11-07 | $259.52 | $296.91 | 9.69% | 8 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-11-05 | 2021-11-11 | $407.36 | $354.50 | -13.34% | 5 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-13 | 2021-10-22 | $270.36 | $303.23 | 10.74% | 8 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-05-28 | 2021-07-12 | $208.41 | $228.57 | 3.93% | 30 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 1.11% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.75% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 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 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -3.99% | 10 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-22 | 2020-12-23 | $213.45 | $215.33 | -1.66% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-09 | 2020-12-17 | $201.49 | $218.63 | -4.37% | 7 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-18 | 2020-11-20 | $162.21 | $163.20 | 12.84% | 3 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -6.52% | 4 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 1.71% | 2 | |
| 2020-10-08 | 2020-10-09 | $141.97 | $144.67 | -0.05% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 4.26% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-02 | 2020-09-08 | $149.12 | $110.07 | -12.12% | 4 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-19 | 2020-08-21 | $125.24 | $136.67 | 5.87% | 3 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 10.99% | 2 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 4.06% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-22 | 2020-07-27 | $106.16 | $102.64 | -9.83% | 4 |