Fitness
0.4312
Generation
14
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: cumret_252d > -0.1997
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0304 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_1d > -0.0578):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.5% | 71.9% | 9.6% | 19.1% |
| Total Return | 77.9% | 407.7% | 40.1% | 1203.2% |
| Sharpe | 0.38 | 1.22 | 0.43 | 0.62 |
| Sortino | 0.44 | 1.50 | 0.52 | 0.74 |
| Calmar | 0.10 | 1.31 | 0.16 | 0.26 |
| Volatility | 36.3% | 58.3% | 39.6% | 42.5% |
| Max DD | -73.4% | -55.0% | -58.2% | -73.4% |
| Win Rate | 41.0% | 43.4% | 32.9% | 39.3% |
| Avg Win | 5.4% | 10.0% | 6.2% | 6.8% |
| Avg Loss | -2.8% | -3.7% | -2.3% | -2.8% |
| Payoff | 1.94 | 2.71 | 2.64 | 2.39 |
| Expectancy | 0.6% | 2.2% | 0.5% | 0.9% |
| Profit Factor | 1.35 | 2.07 | 1.29 | 1.55 |
| Trades | 271 | 113 | 143 | 527 |
| Avg Holding Days | 4.9 | 5.3 | 4.2 | 4.8 |
| Turnover | 68.0 | 75.3 | 77.7 | 71.9 |
| Exposure | 52.6% | 64.0% | 51.5% | 54.7% |
Growth of $100
LongTermTrend_V0304 vs TSLA Buy & Hold
LongTermTrend_V0304 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 | 14.6% | 0.86 | -21.8% | 13 |
| 2017 | 1.4% | 0.19 | -29.1% | 56 |
| 2018 | -48.4% | -2.19 | -49.8% | 23 |
| 2019 | 29.5% | 0.95 | -23.2% | 17 |
| 2020 | 359.7% | 2.28 | -55.0% | 34 |
| 2021 | 15.3% | 0.54 | -40.1% | 54 |
| 2022 | -19.0% | -0.39 | -36.0% | 25 |
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 | 3.1% | 0.10 | 30% |
| hidden test | EXPENSIVE | 83 | 104.9% | 1.99 | 71% |
| hidden test | EXTREME | 48 | 134.4% | 2.30 | 81% |
| hidden test | HIGH VOLATILITY | 254 | 16.5% | 0.32 | 49% |
| hidden test | LOW VOLATILITY | 429 | 37.3% | 1.18 | 55% |
| hidden test | MEDIUM VOLATILITY | 248 | -17.8% | -0.46 | 49% |
| hidden test | NORMAL | 800 | 0.8% | 0.02 | 48% |
| hidden test | SIDEWAYS | 293 | -29.9% | -0.85 | 53% |
| hidden test | UPTREND | 371 | 63.9% | 1.35 | 65% |
| train | DOWNTREND | 518 | -15.6% | -0.74 | 18% |
| train | EXPENSIVE | 311 | 71.0% | 1.58 | 80% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 24.6% | 0.51 | 48% |
| train | LOW VOLATILITY | 745 | 25.5% | 1.01 | 59% |
| train | MEDIUM VOLATILITY | 568 | -15.1% | -0.47 | 50% |
| train | NORMAL | 1,601 | -22.0% | -0.74 | 44% |
| train | SIDEWAYS | 592 | -19.2% | -0.59 | 46% |
| train | UPTREND | 902 | 52.2% | 1.17 | 76% |
| validation | DOWNTREND | 125 | 47.2% | 2.26 | 13% |
| validation | EXPENSIVE | 138 | 54.9% | 0.79 | 77% |
| validation | EXTREME | 144 | 321.5% | 3.74 | 95% |
| validation | HIGH VOLATILITY | 258 | 71.8% | 0.90 | 62% |
| validation | LOW VOLATILITY | 183 | 15.7% | 0.57 | 64% |
| validation | MEDIUM VOLATILITY | 315 | 103.1% | 2.07 | 65% |
| validation | NORMAL | 474 | -0.0% | -0.00 | 51% |
| validation | SIDEWAYS | 206 | -67.9% | -1.41 | 58% |
| validation | UPTREND | 425 | 145.8% | 2.12 | 82% |
Trades (full period)
latest 100 of 528
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.31% | 20 | OPEN |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.29% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -1.19% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.99% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -2.17% | 15 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.41% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.64% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-05 | 2025-11-07 | $462.07 | $429.52 | 0.17% | 3 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-09-11 | 2025-10-15 | $368.81 | $435.15 | 23.18% | 25 | |
| 2025-08-25 | 2025-09-10 | $346.60 | $347.79 | 1.84% | 12 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-07 | 2025-08-18 | $322.27 | $335.16 | 3.12% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-23 | 2025-06-24 | $348.68 | $340.47 | 8.02% | 2 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -2.44% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-05-05 | 2025-06-06 | $280.26 | $295.14 | -1.07% | 24 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-03-03 | 2025-03-04 | $284.65 | $272.04 | -3.04% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -3.24% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-04 | 2025-02-05 | $392.21 | $378.17 | 2.02% | 2 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-29 | 2025-01-30 | $389.10 | $400.28 | -2.46% | 2 | |
| 2025-01-27 | 2025-01-28 | $397.15 | $398.09 | -2.52% | 2 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2025-01-10 | 2025-01-13 | $394.74 | $403.31 | -0.25% | 2 | |
| 2024-11-06 | 2025-01-08 | $288.53 | $394.94 | 56.55% | 43 | |
| 2024-09-20 | 2024-10-11 | $238.25 | $217.80 | -2.31% | 16 | |
| 2024-09-04 | 2024-09-18 | $219.41 | $227.20 | 7.99% | 11 | |
| 2024-06-25 | 2024-08-01 | $187.35 | $216.86 | 26.86% | 27 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 |