Fitness
0.6770
Generation
15
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0165 AND PriceMomentum_V0003
Children (11)
Strategy Logic (pseudocode)
# LongTermTrend_V0323 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.6% | 108.7% | 14.1% | 33.9% |
| Total Return | 377.9% | 808.9% | 62.6% | 7171.2% |
| Sharpe | 0.79 | 1.73 | 0.58 | 1.00 |
| Sortino | 0.78 | 1.85 | 0.48 | 0.96 |
| Calmar | 0.36 | 3.22 | 0.45 | 0.57 |
| Volatility | 30.8% | 49.7% | 31.0% | 35.6% |
| Max DD | -59.5% | -33.7% | -31.6% | -59.5% |
| Win Rate | 41.4% | 51.9% | 41.7% | 44.0% |
| Avg Win | 16.8% | 24.9% | 12.0% | 18.6% |
| Avg Loss | -4.8% | -4.4% | -3.9% | -4.5% |
| Payoff | 3.49 | 5.61 | 3.05 | 4.12 |
| Expectancy | 4.1% | 10.8% | 2.7% | 5.7% |
| Profit Factor | 2.47 | 6.05 | 2.18 | 3.24 |
| Trades | 58 | 27 | 24 | 109 |
| Avg Holding Days | 13.7 | 15.1 | 12.7 | 13.9 |
| Turnover | 14.7 | 18.0 | 13.3 | 14.9 |
| Exposure | 37.1% | 50.3% | 32.2% | 38.6% |
Growth of $100
LongTermTrend_V0323 vs TSLA Buy & Hold
LongTermTrend_V0323 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 | 18.0% | 1.06 | -16.8% | 4 |
| 2017 | 21.3% | 0.97 | -15.1% | 10 |
| 2018 | -38.7% | -1.77 | -38.8% | 11 |
| 2019 | 10.6% | 0.49 | -25.6% | 5 |
| 2020 | 550.7% | 2.96 | -33.7% | 8 |
| 2021 | 27.1% | 0.85 | -29.1% | 14 |
| 2022 | 5.4% | 0.33 | -19.9% | 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 | 267 | -14.9% | -0.79 | 17% |
| hidden test | EXPENSIVE | 83 | 61.7% | 1.46 | 54% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | -6.0% | -0.15 | 30% |
| hidden test | LOW VOLATILITY | 429 | 54.7% | 2.26 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -21.0% | -0.67 | 31% |
| hidden test | NORMAL | 800 | 3.5% | 0.13 | 28% |
| hidden test | SIDEWAYS | 293 | -0.1% | -0.00 | 30% |
| hidden test | UPTREND | 371 | 55.9% | 1.38 | 45% |
| train | DOWNTREND | 518 | 1.4% | 0.17 | 6% |
| train | EXPENSIVE | 311 | 48.7% | 1.34 | 66% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 57.8% | 1.40 | 37% |
| train | LOW VOLATILITY | 745 | 25.0% | 1.17 | 44% |
| train | MEDIUM VOLATILITY | 568 | -18.1% | -0.71 | 28% |
| train | NORMAL | 1,601 | -4.2% | -0.18 | 28% |
| train | SIDEWAYS | 592 | -5.9% | -0.24 | 32% |
| train | UPTREND | 902 | 57.1% | 1.40 | 58% |
| validation | DOWNTREND | 125 | 52.3% | 2.56 | 9% |
| validation | EXPENSIVE | 138 | 77.2% | 1.44 | 57% |
| validation | EXTREME | 144 | 340.3% | 4.09 | 92% |
| validation | HIGH VOLATILITY | 258 | 107.2% | 1.59 | 49% |
| validation | LOW VOLATILITY | 183 | 21.4% | 0.94 | 49% |
| validation | MEDIUM VOLATILITY | 315 | 106.0% | 2.43 | 52% |
| validation | NORMAL | 474 | 11.2% | 0.37 | 36% |
| validation | SIDEWAYS | 206 | -12.4% | -0.41 | 38% |
| validation | UPTREND | 425 | 143.5% | 2.33 | 68% |
Trades (full period)
latest 100 of 110
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.15% | 19 | OPEN |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 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 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-08-25 | 2025-09-10 | $346.60 | $347.79 | 1.84% | 12 | |
| 2025-08-11 | 2025-08-18 | $339.03 | $335.16 | 0.08% | 6 | |
| 2025-05-06 | 2025-06-06 | $275.35 | $295.14 | 1.38% | 23 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-23 | 2024-10-11 | $250.00 | $217.80 | 0.02% | 15 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-06-27 | 2024-08-01 | $197.42 | $216.86 | 17.94% | 25 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.72% | 5 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 2.24% | 19 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -9.90% | 11 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-24 | 2023-07-21 | $182.90 | $260.02 | 41.23% | 40 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 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 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-15 | 2021-10-06 | $251.94 | $260.92 | 4.64% | 16 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-23 | 2021-08-27 | $235.43 | $237.31 | 2.87% | 5 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-04 | 2021-08-18 | $236.97 | $229.66 | -6.39% | 11 | |
| 2021-07-21 | 2021-07-23 | $218.43 | $214.46 | -1.90% | 3 | |
| 2021-06-24 | 2021-07-20 | $226.61 | $220.17 | -1.77% | 18 | |
| 2021-06-18 | 2021-06-23 | $207.77 | $218.86 | 0.95% | 4 | |
| 2021-06-14 | 2021-06-16 | $205.90 | $201.62 | -1.92% | 3 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 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 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-11-29 | 2019-12-06 | $22.00 | $22.39 | -0.48% | 6 | |
| 2019-10-23 | 2019-11-25 | $16.98 | $22.42 | 30.05% | 24 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -9.40% | 9 | |
| 2019-07-16 | 2019-07-29 | $16.83 | $15.72 | -10.22% | 10 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -5.15% | 4 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-08-27 | 2018-08-30 | $21.28 | $20.21 | -5.71% | 4 | |
| 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 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-11 | $22.25 | $22.53 | -0.68% | 3 | |
| 2017-12-22 | 2017-12-26 | $21.68 | $21.15 | -2.15% | 2 | |
| 2017-12-12 | 2017-12-21 | $22.74 | $22.11 | -0.18% | 8 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-29 | 2017-09-01 | $23.16 | $23.69 | 2.76% | 4 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.58% | 2 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2016-12-21 | 2017-02-24 | $13.85 | $17.13 | 22.36% | 44 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -7.66% | 6 | |
| 2016-04-22 | 2016-05-02 | $16.92 | $16.12 | -3.22% | 7 | |
| 2016-03-04 | 2016-04-20 | $13.40 | $16.66 | 26.13% | 33 | |
| 2015-12-01 | 2015-12-04 | $15.81 | $15.36 | 0.86% | 4 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-04-24 | 2015-06-11 | $14.56 | $16.76 | 14.46% | 34 | |
| 2015-04-13 | 2015-04-17 | $13.99 | $13.79 | -2.19% | 5 | |
| 2014-11-25 | 2014-11-26 | $16.54 | $16.56 | 0.35% | 2 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-05-29 | $14.02 | $14.02 | -0.82% | 2 | |
| 2014-01-15 | 2014-03-25 | $10.94 | $14.70 | 36.25% | 48 | |
| 2014-01-06 | 2014-01-10 | $9.80 | $9.71 | -1.56% | 5 | |
| 2013-12-13 | 2014-01-03 | $9.84 | $9.97 | 1.58% | 14 | |
| 2013-10-14 | 2013-10-18 | $11.98 | $12.23 | 2.09% | 5 | |
| 2013-10-07 | 2013-10-10 | $12.20 | $11.53 | -6.93% | 4 | |
| 2013-07-01 | 2013-10-04 | $7.81 | $12.07 | 61.12% | 68 |