Fitness
0.7462
Generation
76
Complexity
2
Created
2026-10-15
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (4)
Strategy Logic (pseudocode)
# PriceMomentum_V1650 [hybrid]
if flat and ret_20d > 0.073:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.5% | 131.9% | 24.8% | 44.7% |
| Total Return | 686.4% | 1147.2% | 130.4% | 23164.8% |
| Sharpe | 0.96 | 1.93 | 0.80 | 1.17 |
| Sortino | 1.03 | 2.06 | 0.76 | 1.21 |
| Calmar | 0.57 | 3.91 | 0.61 | 0.87 |
| Volatility | 32.4% | 50.0% | 35.6% | 37.5% |
| Max DD | -51.6% | -33.7% | -40.8% | -51.6% |
| Win Rate | 42.9% | 60.0% | 47.4% | 47.4% |
| Avg Win | 22.0% | 43.4% | 19.1% | 29.9% |
| Avg Loss | -5.6% | -6.4% | -6.2% | -5.9% |
| Payoff | 3.95 | 6.79 | 3.07 | 5.11 |
| Expectancy | 6.2% | 23.5% | 5.8% | 11.1% |
| Profit Factor | 2.96 | 10.00 | 2.76 | 4.60 |
| Trades | 42 | 15 | 19 | 76 |
| Avg Holding Days | 21.4 | 27.8 | 21.4 | 23.3 |
| Turnover | 10.6 | 10.0 | 10.1 | 10.3 |
| Exposure | 44.9% | 53.2% | 40.8% | 45.5% |
Growth of $100
PriceMomentum_V1650 vs TSLA Buy & Hold
PriceMomentum_V1650 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 | 17.5% | 0.96 | -19.8% | 4 |
| 2017 | 5.5% | 0.34 | -26.3% | 7 |
| 2018 | -30.4% | -1.21 | -34.9% | 8 |
| 2019 | 68.5% | 1.77 | -20.0% | 2 |
| 2020 | 592.9% | 3.04 | -33.7% | 5 |
| 2021 | 73.5% | 1.69 | -17.6% | 5 |
| 2022 | -0.6% | 0.12 | -21.6% | 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 | 8.0% | 0.27 | 30% |
| hidden test | EXPENSIVE | 83 | 83.9% | 2.01 | 58% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 29.7% | 0.61 | 46% |
| hidden test | LOW VOLATILITY | 445 | 55.7% | 2.12 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.0% | -0.61 | 38% |
| hidden test | NORMAL | 818 | 13.8% | 0.41 | 38% |
| hidden test | SIDEWAYS | 300 | 2.9% | 0.10 | 39% |
| hidden test | UPTREND | 371 | 64.6% | 1.50 | 50% |
| train | DOWNTREND | 518 | 5.7% | 0.39 | 18% |
| train | EXPENSIVE | 311 | 56.3% | 1.44 | 72% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 60.7% | 1.45 | 39% |
| train | LOW VOLATILITY | 745 | 32.7% | 1.36 | 55% |
| train | MEDIUM VOLATILITY | 568 | -7.8% | -0.28 | 38% |
| train | NORMAL | 1,601 | 2.8% | 0.11 | 36% |
| train | SIDEWAYS | 592 | -6.6% | -0.26 | 35% |
| train | UPTREND | 902 | 70.1% | 1.66 | 67% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 81.4% | 1.52 | 57% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 95.9% | 1.42 | 50% |
| validation | LOW VOLATILITY | 183 | 56.1% | 2.31 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 120.9% | 2.75 | 54% |
| validation | NORMAL | 474 | 25.0% | 0.80 | 40% |
| validation | SIDEWAYS | 206 | 1.6% | 0.05 | 38% |
| validation | UPTREND | 425 | 157.9% | 2.55 | 72% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-09-30 | $362.86 | $354.81 | 2.03% | 28 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-07 | 2025-08-20 | $322.27 | $323.90 | 2.73% | 10 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -0.93% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-02-27 | 2024-03-06 | $199.73 | $176.54 | -9.54% | 7 | |
| 2023-11-20 | 2024-01-05 | $235.60 | $237.49 | 1.35% | 32 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-19 | 2023-07-24 | $180.14 | $269.06 | 46.70% | 44 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-18 | 2021-07-23 | $207.77 | $214.46 | 5.09% | 25 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-06 | 2021-04-08 | $230.54 | $227.93 | -3.10% | 3 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 191.11% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-06-19 | 2019-08-02 | $15.10 | $15.62 | 3.85% | 32 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-22 | 2018-08-31 | $21.44 | $20.11 | -6.01% | 8 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-01-29 | 2018-02-07 | $23.30 | $23.00 | -2.78% | 8 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-30 | 2017-09-05 | $23.55 | $23.31 | 2.11% | 4 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-02 | 2017-07-06 | $22.66 | $20.59 | -4.09% | 24 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 24.02% | 51 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.63% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-11-27 | 2015-12-07 | $15.44 | $15.41 | 0.12% | 7 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -5.55% | 8 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-09 | 2015-07-09 | $14.01 | $17.19 | 22.53% | 64 | |
| 2015-02-20 | 2015-02-25 | $14.47 | $13.58 | -3.78% | 4 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-06 | 2014-09-16 | $16.60 | $17.38 | 6.24% | 29 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-16 | 2014-01-14 | $9.86 | $10.75 | -5.82% | 20 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-25 | 2013-02-22 | $2.47 | $2.41 | -5.14% | 20 | |
| 2012-11-07 | 2012-12-31 | $2.10 | $2.26 | 6.43% | 37 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -7.93% | 5 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -8.62% | 8 | |
| 2012-07-02 | 2012-07-20 | $2.03 | $2.12 | 2.92% | 14 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -0.92% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-03 | 2012-03-23 | $2.08 | $2.27 | 13.49% | 35 |