Fitness
0.4561
Generation
46
Complexity
11
Created
2026-10-01
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0557
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1019 [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_1d < 0.0336:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.3% | 31.9% | -2.4% | 16.2% |
| Total Return | 338.0% | 129.3% | -8.8% | 815.4% |
| Sharpe | 0.89 | 0.93 | 0.01 | 0.69 |
| Sortino | 0.96 | 0.92 | 0.01 | 0.65 |
| Calmar | 0.60 | 0.97 | -0.06 | 0.39 |
| Volatility | 23.7% | 37.1% | 23.4% | 26.9% |
| Max DD | -34.0% | -32.8% | -42.1% | -42.1% |
| Win Rate | 52.1% | 53.8% | 45.7% | 51.3% |
| Avg Win | 2.7% | 3.5% | 3.1% | 3.0% |
| Avg Loss | -1.9% | -2.7% | -2.6% | -2.2% |
| Payoff | 1.44 | 1.29 | 1.20 | 1.33 |
| Expectancy | 0.5% | 0.6% | 0.0% | 0.4% |
| Profit Factor | 1.57 | 1.50 | 1.01 | 1.40 |
| Trades | 340 | 169 | 129 | 639 |
| Avg Holding Days | 2.1 | 2.3 | 2.2 | 2.2 |
| Turnover | 85.3 | 112.7 | 69.2 | 86.9 |
| Exposure | 19.3% | 28.8% | 16.9% | 20.7% |
Growth of $100
LongTermTrend_V1019 vs TSLA Buy & Hold
LongTermTrend_V1019 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 | 16.5% | 1.31 | -5.9% | 22 |
| 2017 | 22.0% | 1.15 | -10.2% | 59 |
| 2018 | -22.6% | -1.59 | -24.2% | 36 |
| 2019 | 9.6% | 0.72 | -11.0% | 25 |
| 2020 | 107.4% | 1.59 | -32.8% | 80 |
| 2021 | 21.1% | 0.89 | -20.8% | 62 |
| 2022 | -8.9% | -0.39 | -12.3% | 26 |
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 | 275 | -21.3% | -1.36 | 8% |
| hidden test | EXPENSIVE | 83 | -48.7% | -1.58 | 31% |
| hidden test | EXTREME | 48 | 96.4% | 2.07 | 38% |
| hidden test | HIGH VOLATILITY | 254 | -12.6% | -0.41 | 17% |
| hidden test | LOW VOLATILITY | 434 | 25.7% | 1.39 | 18% |
| hidden test | MEDIUM VOLATILITY | 251 | -30.6% | -1.38 | 15% |
| hidden test | NORMAL | 808 | -0.4% | -0.02 | 14% |
| hidden test | SIDEWAYS | 293 | -10.6% | -0.50 | 16% |
| hidden test | UPTREND | 371 | 24.9% | 0.85 | 25% |
| train | DOWNTREND | 518 | 0.4% | 0.07 | 3% |
| train | EXPENSIVE | 311 | 43.2% | 1.59 | 35% |
| train | EXTREME | 100 | 356.1% | 5.11 | 59% |
| train | HIGH VOLATILITY | 699 | 51.7% | 1.64 | 20% |
| train | LOW VOLATILITY | 745 | 6.3% | 0.39 | 22% |
| train | MEDIUM VOLATILITY | 568 | 3.3% | 0.16 | 15% |
| train | NORMAL | 1,601 | -4.0% | -0.26 | 14% |
| train | SIDEWAYS | 592 | -5.9% | -0.37 | 16% |
| train | UPTREND | 902 | 50.9% | 1.56 | 31% |
| validation | DOWNTREND | 125 | 15.9% | 2.12 | 4% |
| validation | EXPENSIVE | 138 | 19.3% | 0.41 | 35% |
| validation | EXTREME | 144 | 156.6% | 2.55 | 54% |
| validation | HIGH VOLATILITY | 258 | 29.6% | 0.59 | 29% |
| validation | LOW VOLATILITY | 183 | 12.8% | 0.70 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 51.5% | 1.57 | 30% |
| validation | NORMAL | 474 | 2.1% | 0.10 | 19% |
| validation | SIDEWAYS | 206 | -12.8% | -0.63 | 20% |
| validation | UPTREND | 425 | 63.1% | 1.34 | 40% |
Trades (full period)
latest 100 of 639
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 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 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-11 | 2026-05-13 | $445.00 | $445.27 | 0.99% | 3 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-18 | 2025-12-22 | $483.37 | $488.73 | 2.78% | 3 | |
| 2025-12-15 | 2025-12-17 | $475.31 | $467.26 | 6.53% | 3 | |
| 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 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.77% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-12 | 2025-09-17 | $395.94 | $425.86 | 14.10% | 4 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-12 | 2025-05-16 | $318.38 | $349.98 | 14.72% | 5 | |
| 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 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-24 | 2024-12-27 | $462.28 | $431.66 | 5.26% | 3 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-16 | 2024-12-19 | $463.02 | $436.17 | 0.70% | 4 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-02 | 2024-12-04 | $357.09 | $357.93 | 1.61% | 3 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-18 | 2024-11-20 | $338.74 | $342.03 | 7.67% | 3 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-11 | 2024-11-13 | $350.00 | $330.24 | 2.07% | 3 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-23 | 2024-09-25 | $250.00 | $257.02 | 6.52% | 3 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-29 | 2024-07-31 | $232.10 | $232.07 | 1.09% | 3 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-22 | 2024-07-24 | $251.51 | $215.99 | 2.80% | 3 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.09% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.35% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-09 | 2024-07-11 | $262.33 | $241.03 | 3.88% | 3 | |
| 2024-07-02 | 2024-07-08 | $231.26 | $252.94 | 19.62% | 4 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-21 | 2024-05-23 | $186.60 | $173.74 | 2.75% | 3 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 |