Fitness
0.5798
Generation
16
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1208
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0356 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.1208 and ret_20d > 0.0326 and ema_20 > sma_100):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.4% | 79.3% | 7.3% | 26.5% |
| Total Return | 311.3% | 476.7% | 29.8% | 3069.0% |
| Sharpe | 0.74 | 1.46 | 0.38 | 0.85 |
| Sortino | 0.68 | 1.34 | 0.29 | 0.74 |
| Calmar | 0.34 | 1.70 | 0.21 | 0.47 |
| Volatility | 30.0% | 47.7% | 30.6% | 34.5% |
| Max DD | -56.9% | -46.6% | -34.2% | -56.9% |
| Win Rate | 45.0% | 66.7% | 40.0% | 48.7% |
| Avg Win | 26.8% | 52.7% | 24.1% | 41.3% |
| Avg Loss | -7.9% | -16.4% | -9.1% | -9.5% |
| Payoff | 3.39 | 3.21 | 2.66 | 4.33 |
| Expectancy | 7.7% | 29.7% | 4.2% | 15.2% |
| Profit Factor | 2.78 | 6.42 | 1.77 | 4.12 |
| Trades | 20 | 9 | 10 | 39 |
| Avg Holding Days | 32.9 | 34.8 | 26.3 | 33.6 |
| Turnover | 5.1 | 6.0 | 5.4 | 5.3 |
| Exposure | 35.4% | 40.2% | 27.2% | 34.3% |
Growth of $100
LongTermTrend_V0356 vs TSLA Buy & Hold
LongTermTrend_V0356 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 | -21.2% | -1.26 | -29.2% | 2 |
| 2017 | 10.6% | 0.54 | -17.1% | 4 |
| 2018 | -26.5% | -1.12 | -31.2% | 3 |
| 2019 | 50.9% | 1.45 | -19.5% | 1 |
| 2020 | 478.9% | 2.81 | -33.7% | 4 |
| 2021 | 66.4% | 1.75 | -17.6% | 2 |
| 2022 | -42.7% | -2.37 | -42.6% | 3 |
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 | 2.2% | 0.42 | 1% |
| hidden test | EXPENSIVE | 83 | 56.7% | 1.26 | 67% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 7.2% | 0.19 | 27% |
| hidden test | LOW VOLATILITY | 429 | 42.1% | 2.03 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -35.9% | -1.02 | 37% |
| hidden test | NORMAL | 800 | -3.9% | -0.15 | 21% |
| hidden test | SIDEWAYS | 293 | -31.9% | -1.48 | 16% |
| hidden test | UPTREND | 371 | 53.2% | 1.20 | 55% |
| train | DOWNTREND | 518 | 1.7% | 0.24 | 3% |
| train | EXPENSIVE | 311 | 34.8% | 0.94 | 64% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 39.5% | 0.99 | 34% |
| train | LOW VOLATILITY | 745 | 28.0% | 1.27 | 43% |
| train | MEDIUM VOLATILITY | 568 | -7.0% | -0.28 | 27% |
| train | NORMAL | 1,601 | -2.7% | -0.12 | 26% |
| train | SIDEWAYS | 592 | -20.9% | -1.05 | 18% |
| train | UPTREND | 902 | 62.1% | 1.50 | 66% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.9% | 1.17 | 59% |
| validation | EXTREME | 144 | 319.7% | 3.89 | 91% |
| validation | HIGH VOLATILITY | 258 | 81.1% | 1.22 | 48% |
| validation | LOW VOLATILITY | 183 | 30.5% | 1.64 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 83.4% | 2.06 | 42% |
| validation | NORMAL | 474 | -4.4% | -0.17 | 19% |
| validation | SIDEWAYS | 206 | -26.9% | -1.15 | 10% |
| validation | UPTREND | 425 | 137.2% | 2.24 | 67% |
Trades (full period)
39 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-26 | 2026-06-08 | $433.59 | $408.95 | -8.40% | 10 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-29 | 2025-11-14 | $333.87 | $404.35 | 15.95% | 55 | |
| 2025-05-28 | 2025-06-13 | $356.90 | $325.31 | -12.24% | 13 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-23 | 2023-08-02 | $185.77 | $254.11 | 37.95% | 49 | |
| 2023-02-21 | 2023-03-08 | $197.37 | $182.00 | -10.07% | 12 | |
| 2022-08-15 | 2022-08-29 | $309.32 | $284.82 | -4.17% | 11 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 51.15% | 54 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-09-16 | 2020-03-04 | $16.19 | $49.97 | 203.43% | 118 | |
| 2019-07-25 | 2019-08-12 | $15.25 | $15.27 | -11.47% | 13 | |
| 2018-11-07 | 2018-12-19 | $23.21 | $22.20 | -1.38% | 29 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-15 | 2018-07-06 | $23.88 | $20.59 | -13.75% | 15 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.94% | 23 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-29 | 2017-03-08 | $14.31 | $16.46 | 12.90% | 47 | |
| 2016-06-09 | 2016-06-23 | $15.29 | $13.09 | -16.67% | 11 | |
| 2016-03-22 | 2016-05-04 | $15.62 | $14.84 | -2.71% | 31 | |
| 2015-09-23 | 2015-10-02 | $17.40 | $16.50 | -8.25% | 8 | |
| 2015-04-27 | 2015-07-28 | $15.44 | $17.65 | 15.61% | 65 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-19 | 2014-07-17 | $15.19 | $14.36 | -4.58% | 20 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-29 | 2013-02-26 | $2.53 | $2.30 | -9.78% | 20 | |
| 2012-11-14 | 2013-01-11 | $2.09 | $2.19 | 5.86% | 40 | |
| 2012-02-07 | 2012-04-10 | $2.11 | $2.16 | 4.04% | 44 |