Fitness
0.4391
Generation
55
Complexity
26
Created
2026-10-06
Lineage
Parents (1)
changed cumret_252d threshold 0.2888 -> 0.0286
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1208 [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 ret_20d > 0.0944):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.3% | 58.3% | -3.0% | 11.7% |
| Total Return | 39.9% | 296.4% | -10.8% | 407.6% |
| Sharpe | 0.29 | 1.40 | 0.04 | 0.51 |
| Sortino | 0.30 | 1.59 | 0.04 | 0.54 |
| Calmar | 0.08 | 1.77 | -0.08 | 0.21 |
| Volatility | 27.2% | 37.9% | 29.7% | 30.3% |
| Max DD | -54.9% | -33.0% | -39.6% | -54.9% |
| Win Rate | 52.8% | 58.6% | 49.0% | 53.6% |
| Avg Win | 2.7% | 3.7% | 3.2% | 3.1% |
| Avg Loss | -2.6% | -3.1% | -3.1% | -2.9% |
| Payoff | 1.02 | 1.19 | 1.05 | 1.08 |
| Expectancy | 0.2% | 0.9% | 0.0% | 0.3% |
| Profit Factor | 1.14 | 1.68 | 1.00 | 1.24 |
| Trades | 369 | 181 | 149 | 700 |
| Avg Holding Days | 2.6 | 2.4 | 2.9 | 2.6 |
| Turnover | 92.4 | 120.7 | 79.7 | 95.1 |
| Exposure | 29.6% | 33.5% | 30.0% | 30.5% |
Growth of $100
LongTermTrend_V1208 vs TSLA Buy & Hold
LongTermTrend_V1208 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 | 16.6% | 1.25 | -5.8% | 29 |
| 2017 | 1.3% | 0.16 | -14.5% | 62 |
| 2018 | -22.1% | -0.82 | -28.5% | 32 |
| 2019 | 27.1% | 0.99 | -22.6% | 31 |
| 2020 | 126.6% | 1.84 | -33.0% | 95 |
| 2021 | 42.8% | 1.49 | -15.1% | 54 |
| 2022 | 4.3% | 0.29 | -17.3% | 30 |
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 | 278 | 1.3% | 0.06 | 21% |
| hidden test | EXPENSIVE | 83 | 12.1% | 0.27 | 37% |
| hidden test | EXTREME | 48 | 59.2% | 1.90 | 31% |
| hidden test | HIGH VOLATILITY | 254 | -21.6% | -0.53 | 31% |
| hidden test | LOW VOLATILITY | 438 | 32.5% | 1.57 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -30.1% | -1.01 | 30% |
| hidden test | NORMAL | 811 | -3.2% | -0.12 | 29% |
| hidden test | SIDEWAYS | 293 | -25.5% | -0.81 | 38% |
| hidden test | UPTREND | 371 | 22.5% | 0.67 | 31% |
| train | DOWNTREND | 518 | -11.3% | -0.67 | 16% |
| train | EXPENSIVE | 311 | 23.4% | 0.83 | 42% |
| train | EXTREME | 100 | 195.3% | 3.33 | 47% |
| train | HIGH VOLATILITY | 699 | 18.6% | 0.52 | 26% |
| train | LOW VOLATILITY | 745 | 17.5% | 0.91 | 33% |
| train | MEDIUM VOLATILITY | 568 | -18.1% | -0.78 | 29% |
| train | NORMAL | 1,601 | -6.9% | -0.29 | 26% |
| train | SIDEWAYS | 592 | 10.5% | 0.48 | 30% |
| train | UPTREND | 902 | 17.1% | 0.50 | 37% |
| validation | DOWNTREND | 125 | 30.2% | 1.21 | 14% |
| validation | EXPENSIVE | 138 | 15.4% | 0.36 | 32% |
| validation | EXTREME | 144 | 183.0% | 3.21 | 47% |
| validation | HIGH VOLATILITY | 258 | 37.4% | 0.76 | 28% |
| validation | LOW VOLATILITY | 183 | 22.3% | 1.10 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 83.9% | 2.37 | 33% |
| validation | NORMAL | 474 | 24.6% | 0.89 | 30% |
| validation | SIDEWAYS | 206 | 33.8% | 1.40 | 25% |
| validation | UPTREND | 425 | 69.2% | 1.51 | 43% |
Trades (full period)
latest 100 of 700
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-14 | 2026-09-17 | $358.97 | $366.20 | -2.21% | 4 | |
| 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 | 2026-09-03 | $356.09 | $376.37 | -3.17% | 3 | |
| 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 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.36% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-18 | 2026-05-21 | $409.99 | $417.85 | -1.38% | 4 | |
| 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 | |
| 2026-04-16 | 2026-05-05 | $388.90 | $389.37 | -0.06% | 14 | |
| 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 | |
| 2025-12-04 | 2025-12-15 | $454.53 | $475.31 | 2.53% | 8 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 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 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -5.26% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 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 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 12.63% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -1.23% | 2 | |
| 2025-08-25 | 2025-08-27 | $346.60 | $349.60 | 3.22% | 3 | |
| 2025-08-14 | 2025-08-22 | $335.58 | $340.01 | -5.87% | 7 | |
| 2025-08-08 | 2025-08-13 | $329.65 | $339.38 | 5.55% | 4 | |
| 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 | |
| 2025-06-05 | 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 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-09 | 2025-05-12 | $298.26 | $318.38 | 4.51% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-01 | 2025-05-06 | $280.52 | $275.35 | -0.87% | 4 | |
| 2025-04-28 | 2025-04-30 | $285.88 | $282.16 | 2.28% | 3 | |
| 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 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 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 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-25 | 2024-11-07 | $269.19 | $296.91 | 10.55% | 10 | |
| 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 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-16 | 2024-09-23 | $226.78 | $250.00 | 3.25% | 6 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.54% | 2 | |
| 2024-09-06 | 2024-09-11 | $210.73 | $228.13 | -1.94% | 4 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 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 | |
| 2024-05-24 | 2024-05-30 | $179.24 | $178.79 | 1.21% | 4 |