Fitness
0.7582
Generation
74
Complexity
14
Created
2026-10-15
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V1608 [hybrid]
if flat and ((ret_20d > 0.1231 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 | 14.7% | 99.2% | 6.3% | 26.1% |
| Total Return | 199.0% | 690.2% | 25.7% | 2957.4% |
| Sharpe | 0.71 | 2.12 | 0.36 | 1.00 |
| Sortino | 0.58 | 2.47 | 0.28 | 0.88 |
| Calmar | 0.59 | 4.65 | 0.21 | 0.88 |
| Volatility | 22.9% | 35.5% | 26.4% | 26.9% |
| Max DD | -24.7% | -21.4% | -29.8% | -29.8% |
| Win Rate | 60.9% | 58.3% | 46.7% | 56.0% |
| Avg Win | 11.0% | 41.7% | 10.3% | 20.2% |
| Avg Loss | -5.7% | -4.4% | -4.8% | -5.1% |
| Payoff | 1.94 | 9.49 | 2.13 | 3.99 |
| Expectancy | 4.5% | 22.5% | 2.2% | 9.1% |
| Profit Factor | 3.02 | 10.00 | 1.87 | 5.07 |
| Trades | 23 | 12 | 15 | 50 |
| Avg Holding Days | 31.2 | 30.3 | 22.5 | 29.3 |
| Turnover | 6.5 | 8.8 | 8.0 | 7.3 |
| Exposure | 29.5% | 36.6% | 27.5% | 30.5% |
Growth of $100
PriceMomentum_V1608 vs TSLA Buy & Hold
PriceMomentum_V1608 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 | 7.9% | 0.46 | -16.6% | 4 |
| 2018 | -6.8% | -0.43 | -12.4% | 3 |
| 2019 | 29.1% | 1.32 | -14.3% | 1 |
| 2020 | 379.6% | 3.72 | -14.9% | 4 |
| 2021 | 45.5% | 1.30 | -18.2% | 5 |
| 2022 | 8.8% | 0.46 | -14.8% | 3 |
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 | 9.5% | 0.59 | 14% |
| hidden test | EXPENSIVE | 83 | 52.5% | 1.62 | 47% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | 2.8% | 0.10 | 18% |
| hidden test | LOW VOLATILITY | 445 | 44.3% | 1.98 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.2% | -1.44 | 34% |
| hidden test | NORMAL | 818 | 0.4% | 0.01 | 25% |
| hidden test | SIDEWAYS | 300 | -12.1% | -0.49 | 26% |
| hidden test | UPTREND | 371 | 27.3% | 0.83 | 39% |
| train | DOWNTREND | 518 | 4.1% | 0.52 | 4% |
| train | EXPENSIVE | 311 | 32.0% | 0.97 | 49% |
| train | EXTREME | 100 | 175.9% | 4.74 | 55% |
| train | HIGH VOLATILITY | 699 | 13.1% | 0.60 | 15% |
| train | LOW VOLATILITY | 745 | 35.6% | 1.54 | 46% |
| train | MEDIUM VOLATILITY | 568 | -4.8% | -0.20 | 25% |
| train | NORMAL | 1,601 | 3.4% | 0.18 | 24% |
| train | SIDEWAYS | 592 | 1.0% | 0.05 | 17% |
| train | UPTREND | 902 | 33.5% | 1.11 | 52% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 95.9% | 2.25 | 51% |
| validation | EXTREME | 144 | 239.8% | 4.93 | 52% |
| validation | HIGH VOLATILITY | 258 | 49.5% | 1.45 | 21% |
| validation | LOW VOLATILITY | 183 | 34.9% | 1.79 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 119.6% | 2.79 | 51% |
| validation | NORMAL | 474 | 19.1% | 0.71 | 28% |
| validation | SIDEWAYS | 206 | -11.3% | -0.51 | 28% |
| validation | UPTREND | 425 | 126.2% | 2.92 | 50% |
Trades (full period)
50 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-06 | 2026-06-08 | $398.73 | $408.95 | 0.22% | 23 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -4.44% | 4 | |
| 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 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2023-11-27 | 2024-01-08 | $236.08 | $240.45 | 0.67% | 29 | |
| 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 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 40.57% | 54 | |
| 2021-07-01 | 2021-07-23 | $225.97 | $214.46 | -4.67% | 16 | |
| 2021-04-19 | 2021-05-04 | $238.21 | $224.53 | -7.61% | 12 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -0.50% | 5 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 12.97% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 109.31% | 89 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 2.15% | 26 | |
| 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 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.94% | 23 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 0.87% | 36 | |
| 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 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-04-24 | 2015-07-27 | $14.56 | $16.87 | 21.17% | 65 | |
| 2014-11-17 | 2014-12-02 | $16.93 | $15.43 | -10.63% | 11 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-01-21 | 2014-03-26 | $11.78 | $14.20 | 23.02% | 46 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -7.85% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 14.89% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 44.76% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-14 | 2012-12-31 | $2.09 | $2.26 | 4.88% | 32 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-02-06 | 2012-04-10 | $2.12 | $2.16 | 2.42% | 45 |