Fitness
0.6874
Generation
52
Complexity
15
Created
2026-10-03
Lineage
Parents (1)
entry = LongTermTrend_V0605 OR PriceMomentum_V1003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1147 [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) or ret_20d > 0.184) and breakout_20 == 1):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.3% | 114.2% | 16.0% | 37.4% |
| Total Return | 507.0% | 882.7% | 74.1% | 10588.5% |
| Sharpe | 0.89 | 1.79 | 0.61 | 1.06 |
| Sortino | 0.88 | 1.87 | 0.54 | 1.03 |
| Calmar | 0.55 | 3.39 | 0.47 | 0.81 |
| Volatility | 30.7% | 49.5% | 33.4% | 36.0% |
| Max DD | -46.1% | -33.7% | -34.0% | -46.1% |
| Win Rate | 46.4% | 70.0% | 37.5% | 48.1% |
| Avg Win | 24.7% | 51.5% | 22.3% | 34.3% |
| Avg Loss | -6.6% | -11.0% | -6.0% | -6.9% |
| Payoff | 3.73 | 4.66 | 3.69 | 4.97 |
| Expectancy | 7.9% | 32.7% | 4.6% | 12.9% |
| Profit Factor | 3.23 | 10.00 | 2.21 | 4.62 |
| Trades | 28 | 10 | 16 | 54 |
| Avg Holding Days | 29.3 | 39.1 | 22.1 | 29.9 |
| Turnover | 7.1 | 6.7 | 8.6 | 7.3 |
| Exposure | 41.7% | 50.4% | 35.9% | 42.0% |
Growth of $100
LongTermTrend_V1147 vs TSLA Buy & Hold
LongTermTrend_V1147 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 | 3.3% | 0.26 | -25.9% | 3 |
| 2017 | 1.3% | 0.18 | -29.0% | 6 |
| 2018 | -21.6% | -0.82 | -28.5% | 4 |
| 2019 | 39.9% | 1.51 | -13.9% | 1 |
| 2020 | 537.0% | 2.93 | -33.7% | 3 |
| 2021 | 68.2% | 1.63 | -19.0% | 4 |
| 2022 | -12.1% | -0.35 | -21.5% | 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 | 277 | -1.4% | -0.07 | 18% |
| hidden test | EXPENSIVE | 83 | 83.9% | 2.01 | 58% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 33.1% | 0.74 | 38% |
| hidden test | LOW VOLATILITY | 436 | 46.4% | 1.94 | 33% |
| hidden test | MEDIUM VOLATILITY | 251 | -37.5% | -1.10 | 38% |
| hidden test | NORMAL | 810 | 4.3% | 0.14 | 32% |
| hidden test | SIDEWAYS | 293 | -13.6% | -0.47 | 35% |
| hidden test | UPTREND | 371 | 63.7% | 1.49 | 50% |
| train | DOWNTREND | 518 | 7.0% | 0.60 | 10% |
| train | EXPENSIVE | 311 | 52.2% | 1.34 | 71% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 49.1% | 1.25 | 37% |
| train | LOW VOLATILITY | 745 | 37.6% | 1.60 | 52% |
| train | MEDIUM VOLATILITY | 568 | -13.3% | -0.50 | 33% |
| train | NORMAL | 1,601 | 0.3% | 0.01 | 33% |
| train | SIDEWAYS | 592 | -6.0% | -0.25 | 31% |
| train | UPTREND | 902 | 60.7% | 1.51 | 67% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 69.1% | 1.29 | 51% |
| validation | EXTREME | 144 | 344.2% | 4.13 | 92% |
| validation | HIGH VOLATILITY | 258 | 90.2% | 1.34 | 47% |
| validation | LOW VOLATILITY | 183 | 48.1% | 2.05 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 110.5% | 2.57 | 52% |
| validation | NORMAL | 474 | 16.4% | 0.55 | 37% |
| validation | SIDEWAYS | 206 | -2.4% | -0.08 | 35% |
| validation | UPTREND | 425 | 153.0% | 2.47 | 71% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-26 | 2025-10-23 | $351.67 | $448.98 | 26.40% | 42 | |
| 2025-08-12 | 2025-08-20 | $340.84 | $323.90 | -3.06% | 7 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 9.23% | 23 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-29 | 2024-01-08 | $244.14 | $240.45 | -3.93% | 27 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-30 | 2023-07-24 | $201.16 | $269.06 | 34.34% | 38 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-07-02 | 2019-08-06 | $14.97 | $15.38 | 0.30% | 25 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -3.67% | 19 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-04-13 | 2015-07-27 | $13.99 | $16.87 | 25.59% | 74 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-17 | 2014-07-16 | $15.44 | $14.48 | -2.43% | 21 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 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 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 11.85% | 47 |