Fitness
0.7375
Generation
65
Complexity
14
Created
2026-10-10
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (8)
Strategy Logic (pseudocode)
# PriceMomentum_V1423 [hybrid]
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_1d > -0.0578) and ret_20d > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 109.5% | 2.4% | 26.4% |
| Total Return | 205.4% | 819.4% | 9.4% | 3061.7% |
| Sharpe | 0.66 | 2.18 | 0.23 | 0.94 |
| Sortino | 0.63 | 2.76 | 0.20 | 0.94 |
| Calmar | 0.33 | 5.52 | 0.06 | 0.58 |
| Volatility | 26.3% | 37.0% | 28.6% | 29.4% |
| Max DD | -45.6% | -19.8% | -42.3% | -45.6% |
| Win Rate | 39.5% | 62.5% | 41.7% | 44.9% |
| Avg Win | 14.5% | 32.3% | 10.4% | 20.8% |
| Avg Loss | -4.9% | -5.6% | -5.7% | -5.2% |
| Payoff | 2.96 | 5.80 | 1.83 | 3.96 |
| Expectancy | 2.8% | 18.1% | 1.0% | 6.4% |
| Profit Factor | 1.93 | 9.67 | 1.31 | 3.23 |
| Trades | 38 | 16 | 24 | 78 |
| Avg Holding Days | 23.0 | 27.3 | 17.3 | 22.8 |
| Turnover | 10.5 | 11.1 | 11.8 | 10.9 |
| Exposure | 36.3% | 44.9% | 34.0% | 37.5% |
Growth of $100
PriceMomentum_V1423 vs TSLA Buy & Hold
PriceMomentum_V1423 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 | 9.9% | 0.75 | -11.7% | 2 |
| 2017 | 0.7% | 0.15 | -29.0% | 7 |
| 2018 | -16.4% | -1.04 | -20.3% | 6 |
| 2019 | 37.8% | 1.25 | -15.0% | 2 |
| 2020 | 369.5% | 3.63 | -14.9% | 6 |
| 2021 | 70.6% | 1.67 | -18.2% | 5 |
| 2022 | 10.3% | 0.50 | -15.4% | 5 |
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 | -5.5% | -0.27 | 22% |
| hidden test | EXPENSIVE | 83 | 53.8% | 1.37 | 58% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -5.6% | -0.20 | 20% |
| hidden test | LOW VOLATILITY | 442 | 56.3% | 2.17 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -69.1% | -2.07 | 40% |
| hidden test | NORMAL | 815 | -3.4% | -0.13 | 31% |
| hidden test | SIDEWAYS | 297 | -13.0% | -0.49 | 34% |
| hidden test | UPTREND | 371 | 31.2% | 0.89 | 42% |
| train | DOWNTREND | 518 | -7.9% | -0.57 | 13% |
| train | EXPENSIVE | 311 | 40.3% | 1.17 | 57% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 20.3% | 0.73 | 17% |
| train | LOW VOLATILITY | 745 | 39.3% | 1.61 | 55% |
| train | MEDIUM VOLATILITY | 568 | -14.9% | -0.55 | 36% |
| train | NORMAL | 1,601 | 1.6% | 0.07 | 31% |
| train | SIDEWAYS | 592 | -3.5% | -0.17 | 28% |
| train | UPTREND | 902 | 45.7% | 1.35 | 55% |
| validation | DOWNTREND | 125 | 45.7% | 2.29 | 11% |
| validation | EXPENSIVE | 138 | 80.7% | 1.86 | 56% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 56.9% | 1.65 | 23% |
| validation | LOW VOLATILITY | 183 | 43.7% | 1.68 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 121.9% | 2.79 | 54% |
| validation | NORMAL | 474 | 29.1% | 0.98 | 39% |
| validation | SIDEWAYS | 206 | 6.8% | 0.26 | 37% |
| validation | UPTREND | 425 | 127.0% | 2.87 | 59% |
Trades (full period)
78 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-09-30 | $362.86 | $354.81 | 2.03% | 28 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -1.39% | 2 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-05 | 2025-08-20 | $308.72 | $323.90 | 6.27% | 12 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | -3.16% | 28 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -0.83% | 4 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -2.09% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 17.66% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | 0.04% | 22 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 1.19% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2024-03-04 | 2024-03-07 | $188.14 | $178.65 | -13.06% | 4 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.47% | 34 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 41.88% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -0.79% | 6 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.31% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 20.42% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 143.83% | 97 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 2.15% | 26 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2017-01-04 | 2017-02-28 | $15.13 | $16.67 | 13.25% | 38 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-03-07 | 2016-05-03 | $13.69 | $15.49 | 13.29% | 41 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -2.57% | 19 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-09 | 2015-07-27 | $14.01 | $16.87 | 27.55% | 76 | |
| 2015-02-10 | 2015-02-25 | $14.42 | $13.58 | -6.34% | 11 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.74% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 25.41% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 69.25% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-10-09 | 2012-10-12 | $1.89 | $1.84 | -3.38% | 4 | |
| 2012-10-03 | 2012-10-08 | $1.95 | $1.95 | -1.34% | 4 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -7.93% | 5 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -4.74% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 4.63% | 47 |