Fitness
0.5165
Generation
48
Complexity
26
Created
2026-10-02
Lineage
Parents (1)
changed cumret_252d threshold 0.2888 -> 0.0286
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1056 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0286 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)))):
position = 1.0
if long and (macd_hist < 0.0 or breakout_50 == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.1% | 64.4% | 11.3% | 20.6% |
| Total Return | 132.2% | 344.7% | 48.8% | 1482.2% |
| Sharpe | 0.49 | 1.42 | 0.50 | 0.73 |
| Sortino | 0.51 | 1.70 | 0.53 | 0.79 |
| Calmar | 0.20 | 2.82 | 0.43 | 0.37 |
| Volatility | 30.7% | 40.8% | 30.6% | 33.0% |
| Max DD | -56.0% | -22.9% | -25.9% | -56.0% |
| Win Rate | 62.3% | 65.4% | 54.5% | 61.7% |
| Avg Win | 3.4% | 4.0% | 4.4% | 3.7% |
| Avg Loss | -4.3% | -3.8% | -4.0% | -4.1% |
| Payoff | 0.79 | 1.06 | 1.11 | 0.91 |
| Expectancy | 0.5% | 1.3% | 0.6% | 0.7% |
| Profit Factor | 1.30 | 2.00 | 1.33 | 1.47 |
| Trades | 257 | 130 | 88 | 475 |
| Avg Holding Days | 3.8 | 3.4 | 4.9 | 3.9 |
| Turnover | 64.5 | 86.7 | 47.2 | 64.6 |
| Exposure | 35.7% | 41.3% | 36.7% | 37.1% |
Growth of $100
LongTermTrend_V1056 vs TSLA Buy & Hold
LongTermTrend_V1056 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 | 21.7% | 1.31 | -10.6% | 17 |
| 2017 | -9.6% | -0.33 | -27.2% | 41 |
| 2018 | -10.2% | -0.25 | -25.0% | 28 |
| 2019 | -2.7% | 0.08 | -29.8% | 19 |
| 2020 | 212.5% | 2.35 | -22.9% | 63 |
| 2021 | 20.6% | 0.75 | -16.9% | 45 |
| 2022 | 3.5% | 0.26 | -19.4% | 21 |
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 | 14.0% | 0.55 | 29% |
| hidden test | EXPENSIVE | 83 | 58.2% | 1.40 | 41% |
| hidden test | EXTREME | 48 | 78.1% | 2.37 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 20.8% | 0.51 | 40% |
| hidden test | LOW VOLATILITY | 436 | 32.2% | 1.38 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.8% | -0.66 | 34% |
| hidden test | NORMAL | 809 | 7.2% | 0.25 | 36% |
| hidden test | SIDEWAYS | 293 | -3.5% | -0.12 | 43% |
| hidden test | UPTREND | 371 | 31.2% | 0.91 | 37% |
| train | DOWNTREND | 518 | -7.9% | -0.43 | 18% |
| train | EXPENSIVE | 311 | 16.7% | 0.51 | 51% |
| train | EXTREME | 100 | 318.1% | 4.76 | 60% |
| train | HIGH VOLATILITY | 699 | 36.6% | 0.91 | 33% |
| train | LOW VOLATILITY | 745 | 22.9% | 1.05 | 40% |
| train | MEDIUM VOLATILITY | 568 | -21.3% | -0.80 | 33% |
| train | NORMAL | 1,601 | -4.0% | -0.15 | 31% |
| train | SIDEWAYS | 592 | 10.6% | 0.39 | 37% |
| train | UPTREND | 902 | 31.4% | 0.83 | 45% |
| validation | DOWNTREND | 125 | 35.6% | 1.42 | 18% |
| validation | EXPENSIVE | 138 | 44.2% | 1.03 | 43% |
| validation | EXTREME | 144 | 192.3% | 3.09 | 64% |
| validation | HIGH VOLATILITY | 258 | 37.6% | 0.74 | 36% |
| validation | LOW VOLATILITY | 183 | 25.7% | 1.16 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 93.4% | 2.36 | 44% |
| validation | NORMAL | 474 | 21.2% | 0.70 | 34% |
| validation | SIDEWAYS | 206 | 15.3% | 0.51 | 34% |
| validation | UPTREND | 425 | 85.3% | 1.76 | 52% |
Trades (full period)
latest 100 of 475
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-15 | 2026-05-21 | $422.24 | $417.85 | -6.07% | 5 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-04-16 | 2026-05-11 | $388.90 | $445.00 | 9.07% | 18 | |
| 2025-12-17 | 2025-12-30 | $467.26 | $454.43 | -6.37% | 9 | |
| 2025-12-04 | 2025-12-16 | $454.53 | $489.88 | 6.18% | 9 | |
| 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 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-09-08 | 2025-09-12 | $346.40 | $395.94 | 4.91% | 5 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-28 | 2025-09-03 | $345.98 | $334.09 | -5.98% | 4 | |
| 2025-08-25 | 2025-08-27 | $346.60 | $349.60 | 3.22% | 3 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-29 | 2025-06-03 | $358.43 | $344.27 | -4.17% | 4 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 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 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-19 | 2024-12-24 | $436.17 | $462.28 | -2.36% | 4 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -1.88% | 3 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-29 | 2024-11-07 | $259.52 | $296.91 | 9.69% | 8 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-01 | 2024-10-04 | $258.02 | $250.08 | -8.20% | 4 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-06 | 2024-09-26 | $210.73 | $254.22 | 11.43% | 15 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-11 | 2024-07-22 | $241.03 | $251.51 | -9.33% | 8 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-17 | 2024-06-27 | $187.44 | $197.42 | 10.10% | 8 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -2.05% | 2 | |
| 2023-12-15 | 2023-12-28 | $253.50 | $253.18 | 3.93% | 9 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-21 | 2023-06-27 | $259.46 | $250.21 | -12.35% | 5 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-22 | 2023-06-02 | $188.87 | $213.97 | 14.97% | 9 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-02-16 | 2023-02-23 | $202.04 | $202.07 | -6.44% | 5 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 6.06% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-01-27 | 2023-02-08 | $177.90 | $201.29 | 22.57% | 9 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-17 | 2022-08-19 | $304.00 | $296.67 | -1.40% | 3 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-08 | 2022-08-12 | $290.42 | $300.03 | -0.73% | 5 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-06-27 | 2022-07-22 | $244.92 | $272.24 | 10.36% | 19 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 |