Fitness
0.5426
Generation
78
Complexity
16
Created
2026-10-16
Lineage
Parents (1)
changed ret_20d threshold -0.0674 -> -0.1275
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1697 [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 > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and (ret_20d < -0.006 or breakout_50 == 1):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.8% | 62.0% | -2.5% | 14.9% |
| Total Return | 95.4% | 324.8% | -8.9% | 678.0% |
| Sharpe | 0.48 | 1.62 | 0.03 | 0.67 |
| Sortino | 0.42 | 1.92 | 0.02 | 0.62 |
| Calmar | 0.22 | 3.10 | -0.07 | 0.38 |
| Volatility | 23.1% | 33.1% | 24.9% | 25.9% |
| Max DD | -39.4% | -20.0% | -32.9% | -39.4% |
| Win Rate | 74.8% | 77.0% | 68.9% | 74.1% |
| Avg Win | 2.7% | 4.1% | 3.3% | 3.2% |
| Avg Loss | -5.8% | -4.5% | -7.2% | -5.9% |
| Payoff | 0.47 | 0.91 | 0.46 | 0.55 |
| Expectancy | 0.6% | 2.1% | 0.0% | 0.9% |
| Profit Factor | 1.41 | 3.04 | 1.02 | 1.57 |
| Trades | 151 | 74 | 61 | 286 |
| Avg Holding Days | 5.7 | 5.8 | 6.3 | 5.9 |
| Turnover | 32.3 | 43.4 | 27.4 | 33.3 |
| Exposure | 29.1% | 37.4% | 27.8% | 30.5% |
Growth of $100
PriceMomentum_V1697 vs TSLA Buy & Hold
PriceMomentum_V1697 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 | 7.7% | 0.65 | -9.1% | 6 |
| 2017 | -16.4% | -0.65 | -27.4% | 27 |
| 2018 | -12.8% | -0.82 | -17.4% | 19 |
| 2019 | 9.1% | 0.55 | -14.5% | 11 |
| 2020 | 172.4% | 2.72 | -13.3% | 37 |
| 2021 | 24.0% | 0.82 | -18.4% | 24 |
| 2022 | 25.5% | 1.05 | -11.1% | 12 |
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 | -5.5% | -0.32 | 17% |
| hidden test | EXPENSIVE | 83 | 49.8% | 1.60 | 43% |
| hidden test | EXTREME | 48 | 78.1% | 3.29 | 27% |
| hidden test | HIGH VOLATILITY | 254 | -5.4% | -0.22 | 17% |
| hidden test | LOW VOLATILITY | 445 | 35.5% | 1.64 | 30% |
| hidden test | MEDIUM VOLATILITY | 251 | -55.1% | -1.86 | 34% |
| hidden test | NORMAL | 819 | -8.9% | -0.37 | 26% |
| hidden test | SIDEWAYS | 300 | -13.8% | -0.57 | 30% |
| hidden test | UPTREND | 371 | 17.0% | 0.57 | 34% |
| train | DOWNTREND | 518 | 2.4% | 0.23 | 9% |
| train | EXPENSIVE | 311 | 3.4% | 0.12 | 47% |
| train | EXTREME | 100 | 190.9% | 5.29 | 42% |
| train | HIGH VOLATILITY | 699 | 13.4% | 0.58 | 14% |
| train | LOW VOLATILITY | 745 | 22.0% | 1.00 | 43% |
| train | MEDIUM VOLATILITY | 568 | -6.1% | -0.25 | 30% |
| train | NORMAL | 1,601 | 1.3% | 0.06 | 25% |
| train | SIDEWAYS | 592 | -3.7% | -0.19 | 24% |
| train | UPTREND | 902 | 25.7% | 0.87 | 44% |
| validation | DOWNTREND | 125 | 40.7% | 2.07 | 9% |
| validation | EXPENSIVE | 138 | 23.0% | 0.57 | 48% |
| validation | EXTREME | 144 | 179.7% | 4.43 | 42% |
| validation | HIGH VOLATILITY | 258 | 35.5% | 1.18 | 19% |
| validation | LOW VOLATILITY | 183 | 33.9% | 1.45 | 49% |
| validation | MEDIUM VOLATILITY | 315 | 80.0% | 2.02 | 45% |
| validation | NORMAL | 474 | 24.3% | 0.89 | 33% |
| validation | SIDEWAYS | 206 | 15.8% | 0.64 | 35% |
| validation | UPTREND | 425 | 75.8% | 1.93 | 47% |
Trades (full period)
latest 100 of 286
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-15 | 2026-06-08 | $422.24 | $408.95 | -11.98% | 16 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-05-05 | 2026-05-11 | $389.37 | $445.00 | 8.91% | 5 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-13 | $445.91 | $401.99 | -7.00% | 6 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-03 | 2025-10-23 | $429.83 | $448.98 | 0.48% | 15 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-28 | 2025-09-12 | $345.98 | $395.94 | 5.28% | 11 | |
| 2025-08-25 | 2025-08-27 | $346.60 | $349.60 | 3.22% | 3 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-29 | 2025-06-12 | $358.43 | $319.11 | -15.73% | 11 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.20% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 1.94% | 2 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 2.54% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-12-19 | 2025-01-13 | $436.17 | $403.31 | -6.76% | 15 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.10% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.11% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 2.15% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 2.98% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.59% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 2 | |
| 2024-10-01 | 2024-10-14 | $258.02 | $219.16 | -16.92% | 10 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-06 | 2024-09-26 | $210.73 | $254.22 | 7.02% | 15 | |
| 2024-07-12 | 2024-08-02 | $248.23 | $207.67 | -3.90% | 16 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-11-17 | 2023-12-28 | $234.30 | $253.18 | 11.70% | 28 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-07-19 | 2023-07-24 | $291.26 | $269.06 | -11.54% | 4 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-25 | 2023-06-02 | $184.47 | $213.97 | 13.24% | 6 | |
| 2023-02-16 | 2023-03-08 | $202.04 | $182.00 | -10.81% | 14 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 2.51% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 1.15% | 2 | |
| 2023-01-27 | 2023-02-08 | $177.90 | $201.29 | 8.97% | 9 | |
| 2022-08-17 | 2022-08-29 | $304.00 | $284.82 | -6.21% | 9 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-14 | 2022-07-22 | $238.31 | $272.24 | 14.40% | 7 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-04-06 | 2022-04-21 | $348.59 | $336.26 | -10.63% | 11 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-22 | 2022-03-29 | $331.33 | $366.52 | 18.30% | 6 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-11-05 | 2021-12-01 | $407.36 | $365.00 | -13.61% | 18 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 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 | |
| 2021-01-27 | 2021-02-09 | $288.05 | $283.15 | -2.42% | 10 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 |