Fitness
0.6399
Generation
43
Complexity
30
Created
2026-09-30
Lineage
Parents (1)
entry = LongTermTrend_V0733 OR PriceMomentum_V0817
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0949 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.0248 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) or (ret_20d > 0.05 and breakout_50 == 1)):
position = 1.0
if long and (ret_20d < -0.0017 or ret_60d < -0.0428):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.7% | 114.9% | 13.5% | 35.2% |
| Total Return | 413.6% | 892.2% | 60.1% | 8301.8% |
| Sharpe | 0.78 | 1.80 | 0.53 | 0.98 |
| Sortino | 0.83 | 1.98 | 0.54 | 1.05 |
| Calmar | 0.42 | 2.96 | 0.33 | 0.64 |
| Volatility | 33.4% | 49.3% | 36.0% | 37.8% |
| Max DD | -54.7% | -38.8% | -41.2% | -54.7% |
| Win Rate | 42.4% | 43.8% | 41.6% | 42.4% |
| Avg Win | 7.8% | 19.2% | 6.7% | 10.9% |
| Avg Loss | -2.9% | -3.1% | -3.1% | -3.0% |
| Payoff | 2.66 | 6.19 | 2.18 | 3.61 |
| Expectancy | 1.6% | 6.7% | 1.0% | 2.9% |
| Profit Factor | 1.96 | 4.81 | 1.55 | 2.66 |
| Trades | 132 | 48 | 77 | 257 |
| Avg Holding Days | 7.4 | 9.1 | 6.0 | 7.5 |
| Turnover | 33.2 | 32.0 | 41.4 | 35.0 |
| Exposure | 44.9% | 51.2% | 41.3% | 45.3% |
Growth of $100
LongTermTrend_V0949 vs TSLA Buy & Hold
LongTermTrend_V0949 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 | 12.4% | 0.78 | -16.7% | 14 |
| 2017 | 0.6% | 0.16 | -28.9% | 19 |
| 2018 | -19.6% | -0.61 | -30.7% | 18 |
| 2019 | 46.2% | 1.24 | -21.4% | 12 |
| 2020 | 660.9% | 3.18 | -33.7% | 10 |
| 2021 | 72.5% | 1.73 | -17.6% | 18 |
| 2022 | -27.6% | -1.11 | -32.6% | 20 |
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 | 274 | 8.9% | 0.47 | 16% |
| hidden test | EXPENSIVE | 83 | 86.9% | 1.65 | 75% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 20.4% | 0.42 | 45% |
| hidden test | LOW VOLATILITY | 434 | 57.1% | 2.24 | 38% |
| hidden test | MEDIUM VOLATILITY | 250 | -48.1% | -1.32 | 42% |
| hidden test | NORMAL | 807 | 2.4% | 0.07 | 36% |
| hidden test | SIDEWAYS | 293 | -33.1% | -0.95 | 46% |
| hidden test | UPTREND | 371 | 68.0% | 1.50 | 56% |
| train | DOWNTREND | 518 | -5.4% | -0.32 | 14% |
| train | EXPENSIVE | 311 | 56.1% | 1.45 | 73% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 47.5% | 1.09 | 39% |
| train | LOW VOLATILITY | 745 | 36.6% | 1.56 | 54% |
| train | MEDIUM VOLATILITY | 568 | -14.4% | -0.48 | 40% |
| train | NORMAL | 1,601 | -3.4% | -0.13 | 36% |
| train | SIDEWAYS | 592 | -2.0% | -0.08 | 34% |
| train | UPTREND | 902 | 62.4% | 1.44 | 70% |
| validation | DOWNTREND | 125 | 29.4% | 1.42 | 6% |
| validation | EXPENSIVE | 138 | 86.9% | 1.56 | 60% |
| validation | EXTREME | 144 | 358.5% | 4.38 | 91% |
| validation | HIGH VOLATILITY | 258 | 96.0% | 1.44 | 48% |
| validation | LOW VOLATILITY | 183 | 38.9% | 1.55 | 58% |
| validation | MEDIUM VOLATILITY | 315 | 111.6% | 2.62 | 50% |
| validation | NORMAL | 474 | 7.2% | 0.25 | 36% |
| validation | SIDEWAYS | 206 | -14.7% | -0.62 | 31% |
| validation | UPTREND | 425 | 156.2% | 2.51 | 74% |
Trades (full period)
latest 100 of 257
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.74% | 2 | |
| 2026-09-18 | 2026-09-24 | $364.27 | $377.94 | 3.59% | 5 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-07 | 2026-06-08 | $411.79 | $408.95 | -2.13% | 22 | |
| 2026-05-04 | 2026-05-06 | $392.51 | $398.73 | -0.57% | 3 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-08 | 2025-08-20 | $329.65 | $323.90 | 1.98% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-19 | 2025-06-12 | $342.09 | $319.11 | -6.92% | 18 | |
| 2025-05-14 | 2025-05-16 | $347.68 | $349.98 | 2.42% | 3 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-09-06 | 2024-10-03 | $210.73 | $240.66 | 7.96% | 20 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.96% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-09 | 2024-05-10 | $171.97 | $168.47 | -1.77% | 2 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-16 | 2023-11-24 | $233.59 | $235.45 | -3.75% | 6 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-06 | 2023-09-25 | $251.92 | $246.99 | -4.72% | 14 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-05-30 | 2023-07-24 | $201.16 | $269.06 | 34.34% | 38 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-22 | 2023-05-24 | $188.87 | $182.90 | 2.92% | 3 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -7.07% | 10 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-02-06 | 2023-03-08 | $194.76 | $182.00 | -1.39% | 22 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-03 | 2022-08-29 | $307.40 | $284.82 | -4.35% | 19 | |
| 2022-07-29 | 2022-08-02 | $297.15 | $300.59 | 5.62% | 3 | |
| 2022-07-27 | 2022-07-28 | $274.82 | $280.90 | 5.96% | 2 | |
| 2022-07-25 | 2022-07-26 | $268.43 | $258.86 | -1.60% | 2 | |
| 2022-07-21 | 2022-07-22 | $271.71 | $272.24 | 9.57% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-06-27 | 2022-06-28 | $244.92 | $232.66 | -0.52% | 2 | |
| 2022-04-14 | 2022-04-21 | $328.33 | $336.26 | -4.61% | 5 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-01 | 2022-04-11 | $361.53 | $325.31 | -5.03% | 7 | |
| 2022-03-29 | 2022-03-31 | $366.52 | $359.20 | -0.00% | 3 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 |