Fitness
0.5842
Generation
13
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
entry from LongTermTrend_V0219, exit from PriceMomentum_V0206
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0277 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_1d > 0.0715 and ret_20d > 0.0326):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.0% | 65.7% | 0.9% | 26.2% |
| Total Return | 531.2% | 354.6% | 3.4% | 2954.3% |
| Sharpe | 1.02 | 1.24 | 0.18 | 0.86 |
| Sortino | 0.81 | 1.25 | 0.14 | 0.70 |
| Calmar | 0.92 | 1.31 | 0.02 | 0.43 |
| Volatility | 25.9% | 51.3% | 30.0% | 33.6% |
| Max DD | -28.2% | -50.3% | -43.0% | -60.6% |
| Win Rate | 62.5% | 33.3% | 33.3% | 42.3% |
| Avg Win | 65.3% | 104.6% | 17.2% | 68.5% |
| Avg Loss | -9.2% | -7.0% | -6.7% | -7.3% |
| Payoff | 7.07 | 10.00 | 2.58 | 9.36 |
| Expectancy | 37.4% | 30.2% | 1.3% | 24.8% |
| Profit Factor | 10.00 | 7.46 | 1.29 | 6.87 |
| Trades | 8 | 9 | 9 | 26 |
| Avg Holding Days | 52.5 | 40.2 | 26.6 | 41.1 |
| Turnover | 2.1 | 6.0 | 4.9 | 3.5 |
| Exposure | 22.8% | 46.7% | 24.7% | 28.2% |
Growth of $100
LongTermTrend_V0277 vs TSLA Buy & Hold
LongTermTrend_V0277 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 9.4% | 0.57 | -14.8% | 1 |
| 2018 | -15.8% | -0.71 | -27.4% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 595.5% | 2.91 | -33.8% | 2 |
| 2021 | -18.5% | -0.45 | -32.6% | 3 |
| 2022 | -23.2% | -0.87 | -27.7% | 4 |
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 | 267 | 11.1% | 0.63 | 10% |
| hidden test | EXPENSIVE | 83 | 64.6% | 1.41 | 73% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 13.1% | 0.30 | 42% |
| hidden test | LOW VOLATILITY | 429 | 22.0% | 1.92 | 7% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.1% | -0.90 | 39% |
| hidden test | NORMAL | 800 | -11.1% | -0.45 | 16% |
| hidden test | SIDEWAYS | 293 | -6.0% | -0.22 | 20% |
| hidden test | UPTREND | 371 | 10.4% | 0.27 | 39% |
| train | DOWNTREND | 518 | -0.3% | -0.37 | 0% |
| train | EXPENSIVE | 311 | 37.7% | 1.04 | 52% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 54.7% | 1.51 | 28% |
| train | LOW VOLATILITY | 745 | 14.8% | 0.87 | 25% |
| train | MEDIUM VOLATILITY | 568 | 6.6% | 0.34 | 13% |
| train | NORMAL | 1,601 | -0.2% | -0.01 | 12% |
| train | SIDEWAYS | 592 | 1.7% | 0.15 | 5% |
| train | UPTREND | 902 | 57.9% | 1.54 | 48% |
| validation | DOWNTREND | 125 | 17.5% | 1.29 | 6% |
| validation | EXPENSIVE | 138 | 69.8% | 1.18 | 75% |
| validation | EXTREME | 144 | 352.1% | 4.02 | 98% |
| validation | HIGH VOLATILITY | 258 | 109.9% | 1.56 | 52% |
| validation | LOW VOLATILITY | 183 | -14.5% | -0.83 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 71.3% | 1.56 | 58% |
| validation | NORMAL | 474 | -25.7% | -0.94 | 23% |
| validation | SIDEWAYS | 206 | -26.0% | -0.90 | 25% |
| validation | UPTREND | 425 | 120.7% | 1.86 | 69% |
Trades (full period)
26 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -0.29% | 29 | |
| 2024-11-07 | 2025-01-30 | $296.91 | $400.28 | 34.59% | 56 | |
| 2024-09-20 | 2024-10-14 | $238.25 | $219.16 | -10.89% | 17 | |
| 2024-07-03 | 2024-08-05 | $246.39 | $198.88 | -10.37% | 23 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-01-27 | 2023-04-06 | $177.90 | $185.06 | 15.53% | 49 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.10% | 2 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-10-26 | 2021-12-14 | $339.48 | $319.50 | -5.89% | 35 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2020-11-18 | 2021-02-23 | $162.21 | $232.95 | 61.49% | 65 | |
| 2020-04-14 | 2020-10-29 | $47.33 | $136.94 | 211.27% | 140 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2014-06-17 | 2014-09-23 | $15.44 | $16.69 | 11.10% | 69 | |
| 2014-01-15 | 2014-03-28 | $10.94 | $14.16 | 28.30% | 51 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 4.27% | 47 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 |