Fitness
0.3036
Generation
47
Complexity
25
Created
2026-10-02
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1035 [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 > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and roc_20 < 3.1224):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.9% | 15.8% | 19.5% | 13.1% |
| Total Return | 96.9% | 55.3% | 94.5% | 512.1% |
| Sharpe | 0.54 | 0.71 | 0.80 | 0.66 |
| Sortino | 0.36 | 0.40 | 0.77 | 0.48 |
| Calmar | 0.33 | 0.58 | 0.86 | 0.33 |
| Volatility | 18.8% | 25.0% | 26.5% | 22.3% |
| Max DD | -26.6% | -27.1% | -22.6% | -39.2% |
| Win Rate | 40.0% | 14.3% | 44.4% | 38.2% |
| Avg Win | 14.2% | 85.5% | 15.2% | 19.8% |
| Avg Loss | -5.5% | -2.9% | -4.1% | -4.6% |
| Payoff | 2.59 | 10.00 | 3.68 | 4.26 |
| Expectancy | 2.4% | 9.7% | 4.5% | 4.7% |
| Profit Factor | 1.73 | 4.91 | 2.94 | 2.63 |
| Trades | 30 | 7 | 18 | 55 |
| Avg Holding Days | 13.3 | 13.3 | 14.4 | 13.9 |
| Turnover | 7.6 | 4.7 | 9.7 | 7.5 |
| Exposure | 18.8% | 11.4% | 25.7% | 19.1% |
Growth of $100
LongTermTrend_V1035 vs TSLA Buy & Hold
LongTermTrend_V1035 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 | 0.2% | 0.07 | -3.8% | 2 |
| 2017 | -2.3% | -0.07 | -17.9% | 5 |
| 2018 | 23.3% | 1.05 | -15.4% | 5 |
| 2019 | 38.5% | 1.26 | -17.8% | 3 |
| 2020 | 69.8% | 1.57 | -20.1% | 3 |
| 2021 | -4.1% | -0.43 | -8.7% | 2 |
| 2022 | -16.3% | -1.50 | -16.2% | 2 |
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 | 276 | -0.0% | -0.00 | 12% |
| hidden test | EXPENSIVE | 83 | 114.2% | 2.60 | 48% |
| hidden test | EXTREME | 48 | 69.5% | 2.33 | 13% |
| hidden test | HIGH VOLATILITY | 254 | 27.0% | 0.79 | 27% |
| hidden test | LOW VOLATILITY | 436 | 31.0% | 1.59 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.4% | -0.05 | 28% |
| hidden test | NORMAL | 809 | 8.9% | 0.37 | 24% |
| hidden test | SIDEWAYS | 293 | 2.7% | 0.10 | 35% |
| hidden test | UPTREND | 371 | 51.8% | 1.61 | 29% |
| train | DOWNTREND | 518 | -8.2% | -0.62 | 7% |
| train | EXPENSIVE | 311 | 28.5% | 1.81 | 18% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 14.0% | 0.61 | 17% |
| train | LOW VOLATILITY | 745 | 26.3% | 1.60 | 24% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -1.01 | 14% |
| train | NORMAL | 1,601 | 7.3% | 0.37 | 20% |
| train | SIDEWAYS | 592 | 21.5% | 1.03 | 26% |
| train | UPTREND | 902 | 13.4% | 0.67 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 17.1% | 0.87 | 12% |
| validation | EXTREME | 144 | 89.3% | 1.89 | 17% |
| validation | HIGH VOLATILITY | 258 | 38.1% | 1.01 | 9% |
| validation | LOW VOLATILITY | 183 | 4.1% | 0.25 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 9.0% | 0.66 | 7% |
| validation | NORMAL | 474 | -3.8% | -0.27 | 9% |
| validation | SIDEWAYS | 206 | -6.3% | -0.86 | 2% |
| validation | UPTREND | 425 | 34.6% | 1.05 | 19% |
Trades (full period)
55 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-09-10 | 2025-10-06 | $347.79 | $453.25 | 23.63% | 19 | |
| 2025-08-18 | 2025-08-22 | $335.16 | $340.01 | -3.35% | 5 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-02 | 2025-06-03 | $287.21 | $344.27 | 21.92% | 22 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-18 | 2024-10-04 | $227.20 | $250.08 | 5.40% | 13 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-05-08 | 2024-05-30 | $174.72 | $178.79 | -1.11% | 16 | |
| 2023-12-21 | 2024-01-02 | $254.50 | $248.42 | 0.34% | 7 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-10 | 2023-10-17 | $263.62 | $254.85 | -2.41% | 6 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 13.92% | 19 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.47% | 17 | |
| 2017-12-26 | 2017-12-27 | $21.15 | $20.78 | -2.63% | 2 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2015-12-28 | 2016-01-06 | $15.26 | $14.60 | -3.29% | 7 | |
| 2015-12-04 | 2015-12-14 | $15.36 | $14.57 | -6.93% | 7 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-04-17 | 2015-05-22 | $13.79 | $16.52 | 18.59% | 26 | |
| 2014-11-26 | 2014-12-01 | $16.56 | $15.44 | -1.64% | 3 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-05-29 | 2014-07-07 | $14.02 | $14.84 | 8.82% | 27 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-11-02 | 2012-12-14 | $1.93 | $2.25 | 14.68% | 30 | |
| 2012-09-17 | 2012-09-26 | $2.17 | $1.84 | -9.16% | 8 | |
| 2012-08-14 | 2012-08-29 | $1.96 | $1.89 | -8.15% | 12 | |
| 2012-07-19 | 2012-07-23 | $2.15 | $2.04 | -1.32% | 3 | |
| 2012-06-27 | 2012-07-03 | $2.13 | $2.04 | -4.02% | 5 | |
| 2012-01-31 | 2012-02-29 | $1.94 | $2.23 | 14.11% | 21 |