Fitness
0.3124
Generation
52
Complexity
28
Created
2026-10-03
Lineage
Parents (1)
swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1148 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) 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 sma_20 < close):
position = 1.0
if long and (macd_hist < 0.0 or vol_chg < 0.7647):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.0% | 36.3% | -5.3% | 8.1% |
| Total Return | 47.9% | 153.5% | -18.5% | 213.8% |
| Sharpe | 0.32 | 1.04 | -0.13 | 0.42 |
| Sortino | 0.32 | 1.08 | -0.11 | 0.41 |
| Calmar | 0.10 | 1.13 | -0.15 | 0.17 |
| Volatility | 25.6% | 36.2% | 22.6% | 27.5% |
| Max DD | -48.0% | -32.2% | -36.3% | -48.0% |
| Win Rate | 50.0% | 55.9% | 49.4% | 51.4% |
| Avg Win | 2.5% | 3.3% | 2.4% | 2.7% |
| Avg Loss | -2.1% | -2.8% | -2.5% | -2.3% |
| Payoff | 1.18 | 1.18 | 0.97 | 1.14 |
| Expectancy | 0.2% | 0.6% | -0.1% | 0.2% |
| Profit Factor | 1.18 | 1.50 | 0.95 | 1.21 |
| Trades | 374 | 177 | 162 | 714 |
| Avg Holding Days | 2.2 | 2.2 | 2.1 | 2.2 |
| Turnover | 93.7 | 118.0 | 86.8 | 97.0 |
| Exposure | 23.0% | 27.1% | 18.8% | 22.8% |
Growth of $100
LongTermTrend_V1148 vs TSLA Buy & Hold
LongTermTrend_V1148 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 | 16.0% | 1.18 | -9.6% | 30 |
| 2017 | -5.2% | -0.30 | -13.1% | 54 |
| 2018 | -20.3% | -0.90 | -32.1% | 39 |
| 2019 | 6.0% | 0.37 | -22.8% | 36 |
| 2020 | 207.2% | 2.37 | -20.2% | 86 |
| 2021 | -6.6% | -0.13 | -20.7% | 65 |
| 2022 | -15.0% | -0.76 | -21.3% | 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 | 277 | -5.7% | -0.29 | 13% |
| hidden test | EXPENSIVE | 83 | -5.1% | -0.20 | 30% |
| hidden test | EXTREME | 48 | 12.4% | 0.32 | 19% |
| hidden test | HIGH VOLATILITY | 254 | 8.8% | 0.31 | 22% |
| hidden test | LOW VOLATILITY | 436 | 13.3% | 0.73 | 19% |
| hidden test | MEDIUM VOLATILITY | 251 | -43.0% | -1.85 | 16% |
| hidden test | NORMAL | 810 | -3.6% | -0.17 | 18% |
| hidden test | SIDEWAYS | 293 | -20.0% | -1.05 | 21% |
| hidden test | UPTREND | 371 | 12.6% | 0.47 | 22% |
| train | DOWNTREND | 518 | -6.0% | -0.43 | 10% |
| train | EXPENSIVE | 311 | -2.3% | -0.08 | 34% |
| train | EXTREME | 100 | 233.9% | 3.71 | 55% |
| train | HIGH VOLATILITY | 699 | 23.6% | 0.67 | 24% |
| train | LOW VOLATILITY | 745 | 6.0% | 0.36 | 25% |
| train | MEDIUM VOLATILITY | 568 | -8.2% | -0.38 | 20% |
| train | NORMAL | 1,601 | -4.0% | -0.20 | 19% |
| train | SIDEWAYS | 592 | 5.5% | 0.25 | 23% |
| train | UPTREND | 902 | 17.9% | 0.55 | 30% |
| validation | DOWNTREND | 125 | 6.3% | 0.35 | 5% |
| validation | EXPENSIVE | 138 | 30.1% | 0.85 | 32% |
| validation | EXTREME | 144 | 198.4% | 3.11 | 49% |
| validation | HIGH VOLATILITY | 258 | 33.5% | 0.69 | 25% |
| validation | LOW VOLATILITY | 183 | -6.5% | -0.33 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 66.4% | 2.13 | 28% |
| validation | NORMAL | 474 | -9.2% | -0.43 | 19% |
| validation | SIDEWAYS | 206 | 6.0% | 0.26 | 20% |
| validation | UPTREND | 425 | 62.0% | 1.39 | 37% |
Trades (full period)
latest 100 of 714
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.97% | 2 | |
| 2026-09-10 | 2026-09-11 | $363.56 | $365.44 | -1.35% | 2 | |
| 2026-09-04 | 2026-09-09 | $354.08 | $367.81 | -2.38% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 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 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 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 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 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 | |
| 2025-12-29 | 2025-12-30 | $459.64 | $454.43 | -3.47% | 2 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-12 | 2025-12-15 | $458.96 | $475.31 | 2.50% | 2 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 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 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-16 | 2025-09-18 | $421.62 | $416.85 | 3.65% | 3 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 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 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 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 | |
| 2025-05-14 | 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 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 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 | |
| 2024-11-27 | 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 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-11 | 2024-11-14 | $350.00 | $311.18 | 2.61% | 4 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-11-05 | 2024-11-06 | $251.44 | $288.53 | 3.34% | 2 | |
| 2024-11-01 | 2024-11-04 | $248.98 | $242.84 | -0.55% | 2 | |
| 2024-10-25 | 2024-10-31 | $269.19 | $249.85 | -1.32% | 5 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 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 | 2024-09-10 | $210.73 | $226.17 | -6.24% | 3 | |
| 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 | |
| 2024-07-18 | 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 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-01 | 2024-07-05 | $209.86 | $251.52 | 24.27% | 4 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 |