Fitness
0.4487
Generation
64
Complexity
2
Created
2026-10-09
Lineage
Parents (1)
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1403 [hybrid]
if flat and ret_60d > 0.4318:
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.8% | 43.6% | -8.5% | 14.2% |
| Total Return | 222.7% | 196.0% | -28.3% | 604.8% |
| Sharpe | 0.77 | 1.03 | -0.23 | 0.60 |
| Sortino | 0.47 | 0.84 | -0.13 | 0.38 |
| Calmar | 0.45 | 1.18 | -0.22 | 0.26 |
| Volatility | 22.0% | 44.8% | 24.9% | 28.8% |
| Max DD | -34.9% | -37.0% | -39.1% | -54.8% |
| Win Rate | 50.0% | 39.1% | 13.0% | 31.0% |
| Avg Win | 27.7% | 25.7% | 11.6% | 26.7% |
| Avg Loss | -5.2% | -5.2% | -3.1% | -4.1% |
| Payoff | 5.29 | 4.96 | 3.76 | 6.46 |
| Expectancy | 11.2% | 6.9% | -1.2% | 5.4% |
| Profit Factor | 5.29 | 3.19 | 0.56 | 2.91 |
| Trades | 12 | 23 | 23 | 58 |
| Avg Holding Days | 18.2 | 10.9 | 7.7 | 11.7 |
| Turnover | 3.1 | 15.3 | 12.3 | 7.9 |
| Exposure | 12.0% | 30.0% | 16.2% | 16.8% |
Growth of $100
PriceMomentum_V1403 vs TSLA Buy & Hold
PriceMomentum_V1403 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 | -8.0% | -1.40 | -8.0% | 2 |
| 2017 | -15.6% | -1.00 | -19.0% | 2 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 24.5% | 1.71 | -8.5% | 0 |
| 2020 | 216.4% | 1.99 | -37.0% | 14 |
| 2021 | 14.6% | 0.62 | -17.6% | 8 |
| 2022 | -21.6% | -1.74 | -21.5% | 1 |
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 | -18.0% | -0.47 | 45% |
| hidden test | EXTREME | 48 | 110.1% | 1.84 | 85% |
| hidden test | HIGH VOLATILITY | 254 | -7.4% | -0.20 | 24% |
| hidden test | LOW VOLATILITY | 441 | 11.1% | 0.80 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -33.8% | -1.29 | 21% |
| hidden test | NORMAL | 814 | -11.3% | -0.59 | 9% |
| hidden test | SIDEWAYS | 296 | -22.3% | -1.30 | 6% |
| hidden test | UPTREND | 371 | 3.2% | 0.09 | 37% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -1.0% | -0.03 | 32% |
| train | EXTREME | 100 | 358.0% | 4.90 | 91% |
| train | HIGH VOLATILITY | 699 | 35.1% | 1.14 | 14% |
| train | LOW VOLATILITY | 745 | 13.3% | 0.97 | 12% |
| train | MEDIUM VOLATILITY | 568 | -0.4% | -0.02 | 9% |
| train | NORMAL | 1,601 | -0.8% | -0.13 | 3% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 37.9% | 1.16 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 9.3% | 0.17 | 59% |
| validation | EXTREME | 144 | 266.7% | 3.34 | 72% |
| validation | HIGH VOLATILITY | 258 | 55.3% | 0.84 | 42% |
| validation | LOW VOLATILITY | 183 | 9.4% | 0.61 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 60.2% | 1.78 | 32% |
| validation | NORMAL | 474 | -10.0% | -0.54 | 9% |
| validation | SIDEWAYS | 206 | -10.6% | -1.54 | 1% |
| validation | UPTREND | 425 | 87.4% | 1.47 | 53% |
Trades (full period)
58 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-01 | 2025-10-23 | $459.46 | $448.98 | -1.49% | 17 | |
| 2025-06-05 | 2025-06-12 | $284.70 | $319.11 | -1.91% | 6 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2025-01-29 | 2025-01-30 | $389.10 | $400.28 | -2.46% | 2 | |
| 2025-01-27 | 2025-01-28 | $397.15 | $398.09 | -2.52% | 2 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 32.69% | 43 | |
| 2024-07-09 | 2024-08-02 | $262.33 | $207.67 | -14.43% | 19 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-07-25 | 2023-08-02 | $265.28 | $254.11 | -3.16% | 7 | |
| 2023-06-14 | 2023-07-24 | $256.79 | $269.06 | 0.30% | 27 | |
| 2023-04-17 | 2023-04-20 | $187.04 | $162.99 | -2.58% | 4 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -7.07% | 10 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -1.15% | 2 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-12-03 | 2021-02-09 | $197.79 | $283.15 | 51.49% | 46 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-27 | 2020-10-29 | $141.56 | $136.94 | -3.59% | 3 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-01 | 2020-10-14 | $149.39 | $153.77 | 3.91% | 10 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 4.84% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-06-04 | 2020-08-10 | $57.63 | $94.57 | 64.19% | 47 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.92% | 2 | |
| 2020-03-09 | 2020-03-10 | $40.53 | $43.02 | -13.76% | 2 | |
| 2020-03-05 | 2020-03-06 | $48.30 | $46.90 | -3.53% | 2 | |
| 2019-11-08 | 2020-03-04 | $22.48 | $49.97 | 121.74% | 79 | |
| 2017-06-07 | 2017-07-06 | $23.98 | $20.59 | -7.48% | 21 | |
| 2017-02-13 | 2017-02-28 | $18.71 | $16.67 | -8.72% | 11 | |
| 2016-05-09 | 2016-05-10 | $13.93 | $13.91 | -2.99% | 2 | |
| 2016-05-05 | 2016-05-06 | $14.10 | $14.33 | -5.15% | 2 | |
| 2015-06-24 | 2015-07-27 | $17.68 | $16.87 | -1.04% | 23 | |
| 2014-04-09 | 2014-04-10 | $14.46 | $13.61 | 0.48% | 2 | |
| 2014-04-04 | 2014-04-07 | $14.15 | $13.83 | -6.04% | 2 | |
| 2014-04-02 | 2014-04-03 | $15.35 | $15.03 | 5.93% | 2 | |
| 2014-02-14 | 2014-03-26 | $13.22 | $14.20 | 10.20% | 28 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 62.94% | 82 | |
| 2013-04-30 | 2013-06-26 | $3.60 | $7.05 | 86.01% | 41 | |
| 2012-04-12 | 2012-04-13 | $2.23 | $2.24 | 0.86% | 2 |