Fitness
0.6334
Generation
73
Complexity
17
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1589 [hybrid]
if flat and (((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.1083 and cumret_252d > -0.0062)) or ret_20d > 0.184) and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.9% | 71.8% | 3.5% | 17.6% |
| Total Return | 83.4% | 407.3% | 13.7% | 989.4% |
| Sharpe | 0.50 | 2.19 | 0.27 | 0.87 |
| Sortino | 0.37 | 2.38 | 0.18 | 0.69 |
| Calmar | 0.18 | 4.70 | 0.11 | 0.41 |
| Volatility | 18.9% | 26.3% | 20.8% | 21.1% |
| Max DD | -42.8% | -15.3% | -32.0% | -42.8% |
| Win Rate | 45.0% | 85.7% | 40.0% | 51.4% |
| Avg Win | 12.6% | 34.1% | 16.9% | 22.7% |
| Avg Loss | -5.5% | -6.6% | -7.6% | -6.3% |
| Payoff | 2.30 | 5.19 | 2.21 | 3.62 |
| Expectancy | 2.6% | 28.3% | 2.2% | 8.6% |
| Profit Factor | 1.88 | 10.00 | 1.48 | 3.82 |
| Trades | 20 | 7 | 10 | 37 |
| Avg Holding Days | 29.9 | 45.3 | 23.8 | 32.4 |
| Turnover | 5.4 | 4.2 | 5.6 | 5.2 |
| Exposure | 22.5% | 26.7% | 17.3% | 22.1% |
Growth of $100
PriceMomentum_V1589 vs TSLA Buy & Hold
PriceMomentum_V1589 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 | 2.2% | 0.28 | -6.6% | 1 |
| 2017 | -4.6% | -0.17 | -22.8% | 4 |
| 2018 | -13.5% | -1.20 | -17.7% | 4 |
| 2019 | 8.9% | 0.54 | -14.4% | 1 |
| 2020 | 209.0% | 3.36 | -14.8% | 3 |
| 2021 | 68.2% | 2.23 | -10.9% | 2 |
| 2022 | -4.9% | -0.33 | -12.0% | 2 |
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 | 279 | 0.8% | 0.95 | 0% |
| hidden test | EXPENSIVE | 83 | 71.3% | 2.35 | 39% |
| hidden test | EXTREME | 48 | 84.2% | 2.50 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 4.1% | 0.23 | 12% |
| hidden test | LOW VOLATILITY | 443 | 28.7% | 1.43 | 21% |
| hidden test | MEDIUM VOLATILITY | 251 | -33.6% | -1.38 | 16% |
| hidden test | NORMAL | 817 | -5.7% | -0.31 | 14% |
| hidden test | SIDEWAYS | 298 | -17.9% | -1.01 | 15% |
| hidden test | UPTREND | 371 | 28.1% | 0.96 | 32% |
| train | DOWNTREND | 518 | -2.4% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 18.8% | 0.71 | 41% |
| train | EXTREME | 100 | 171.9% | 4.95 | 50% |
| train | HIGH VOLATILITY | 699 | 10.2% | 0.57 | 12% |
| train | LOW VOLATILITY | 745 | 26.9% | 1.33 | 38% |
| train | MEDIUM VOLATILITY | 568 | -14.6% | -0.81 | 15% |
| train | NORMAL | 1,601 | -2.6% | -0.17 | 17% |
| train | SIDEWAYS | 592 | -11.9% | -0.98 | 6% |
| train | UPTREND | 902 | 30.1% | 1.15 | 46% |
| validation | DOWNTREND | 125 | 11.6% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 64.3% | 2.04 | 33% |
| validation | EXTREME | 144 | 171.6% | 4.47 | 39% |
| validation | HIGH VOLATILITY | 258 | 39.1% | 1.43 | 15% |
| validation | LOW VOLATILITY | 183 | 50.5% | 2.40 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 76.9% | 2.74 | 28% |
| validation | NORMAL | 474 | 21.0% | 1.13 | 21% |
| validation | SIDEWAYS | 206 | -6.5% | -0.73 | 8% |
| validation | UPTREND | 425 | 102.2% | 3.01 | 43% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-08-27 | 2025-10-23 | $349.60 | $448.98 | 22.22% | 41 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 2.21% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 15.98% | 44 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -14.50% | 13 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -1.29% | 22 | |
| 2023-12-28 | 2024-01-08 | $253.18 | $240.45 | -9.35% | 7 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 27.25% | 35 | |
| 2023-02-08 | 2023-03-08 | $201.29 | $182.00 | -3.78% | 20 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 1.78% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -6.57% | 17 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 51.14% | 84 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 43.83% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 11.99% | 28 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 46.69% | 64 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 94.46% | 89 | |
| 2019-07-25 | 2019-08-06 | $15.25 | $15.38 | -13.84% | 9 | |
| 2018-11-01 | 2018-12-19 | $22.95 | $22.20 | 1.75% | 33 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -8.45% | 9 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -2.94% | 13 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.48% | 7 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.15% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -2.09% | 36 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 9.89% | 37 | |
| 2016-03-18 | 2016-05-03 | $15.52 | $15.49 | 2.20% | 32 | |
| 2015-04-28 | 2015-07-27 | $15.37 | $16.87 | 17.14% | 63 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 12.89% | 45 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 17.86% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 49.14% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-21 | 2012-12-31 | $2.16 | $2.26 | 0.46% | 27 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -3.64% | 5 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -0.25% | 35 |