Fitness
0.4192
Generation
59
Complexity
11
Created
2026-10-08
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1293 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_1d > -0.0578 and cumret_252d > -0.4102) and ret_20d > 0.05):
position = 1.0
if long and ret_60d < 0.2018:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.9% | 47.5% | 3.9% | 17.5% |
| Total Return | 182.7% | 220.7% | 15.6% | 979.3% |
| Sharpe | 0.60 | 1.00 | 0.28 | 0.63 |
| Sortino | 0.59 | 1.06 | 0.25 | 0.60 |
| Calmar | 0.29 | 0.92 | 0.10 | 0.34 |
| Volatility | 28.6% | 52.8% | 31.7% | 35.6% |
| Max DD | -47.9% | -51.5% | -40.3% | -51.5% |
| Win Rate | 44.9% | 49.3% | 48.9% | 46.8% |
| Avg Win | 5.5% | 7.2% | 3.2% | 5.5% |
| Avg Loss | -2.3% | -2.3% | -2.6% | -2.4% |
| Payoff | 2.37 | 3.14 | 1.25 | 2.33 |
| Expectancy | 1.2% | 2.4% | 0.3% | 1.3% |
| Profit Factor | 1.93 | 3.05 | 1.19 | 2.05 |
| Trades | 198 | 75 | 90 | 363 |
| Avg Holding Days | 4.2 | 6.1 | 4.2 | 4.7 |
| Turnover | 49.7 | 50.0 | 48.1 | 49.3 |
| Exposure | 33.6% | 50.5% | 30.9% | 36.4% |
Growth of $100
LongTermTrend_V1293 vs TSLA Buy & Hold
LongTermTrend_V1293 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 | -12.2% | -0.83 | -24.3% | 20 |
| 2017 | 13.9% | 0.67 | -15.6% | 29 |
| 2018 | -12.0% | -0.66 | -20.8% | 29 |
| 2019 | 3.7% | 0.28 | -26.5% | 20 |
| 2020 | 285.9% | 2.11 | -51.5% | 14 |
| 2021 | -7.3% | 0.00 | -35.9% | 37 |
| 2022 | -13.9% | -0.58 | -16.0% | 24 |
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 | -14.1% | -0.96 | 8% |
| hidden test | EXPENSIVE | 83 | 71.6% | 1.50 | 76% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 10.5% | 0.25 | 35% |
| hidden test | LOW VOLATILITY | 440 | 17.6% | 0.80 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -8.0% | -0.24 | 36% |
| hidden test | NORMAL | 813 | -7.9% | -0.30 | 22% |
| hidden test | SIDEWAYS | 295 | -3.0% | -0.13 | 18% |
| hidden test | UPTREND | 371 | 35.5% | 0.80 | 58% |
| train | DOWNTREND | 518 | -0.5% | -0.08 | 4% |
| train | EXPENSIVE | 311 | 48.3% | 1.25 | 65% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 48.4% | 1.32 | 30% |
| train | LOW VOLATILITY | 745 | 14.5% | 0.70 | 41% |
| train | MEDIUM VOLATILITY | 568 | -18.3% | -0.71 | 28% |
| train | NORMAL | 1,601 | -14.0% | -0.74 | 23% |
| train | SIDEWAYS | 592 | -19.4% | -1.08 | 16% |
| train | UPTREND | 902 | 51.0% | 1.29 | 62% |
| validation | DOWNTREND | 125 | 16.5% | 2.22 | 3% |
| validation | EXPENSIVE | 138 | -11.7% | -0.18 | 81% |
| validation | EXTREME | 144 | 329.3% | 3.84 | 92% |
| validation | HIGH VOLATILITY | 258 | 72.5% | 0.99 | 53% |
| validation | LOW VOLATILITY | 183 | 20.7% | 0.84 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 55.5% | 1.26 | 52% |
| validation | NORMAL | 474 | -12.3% | -0.42 | 29% |
| validation | SIDEWAYS | 206 | -13.9% | -0.70 | 20% |
| validation | UPTREND | 425 | 95.9% | 1.39 | 79% |
Trades (full period)
latest 100 of 363
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 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 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 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 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-09-12 | 2025-11-19 | $395.94 | $403.99 | 8.59% | 49 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 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 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-05-27 | 2025-06-09 | $362.89 | $308.58 | -13.19% | 10 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 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 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-11-07 | 2025-02-10 | $296.91 | $350.73 | 25.08% | 63 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 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 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-29 | 2024-08-02 | $232.10 | $207.67 | -1.53% | 5 | |
| 2024-07-01 | 2024-07-26 | $209.86 | $219.80 | 11.09% | 19 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -3.73% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-06-05 | 2023-08-18 | $217.61 | $215.49 | 2.25% | 53 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-17 | 2023-02-22 | $208.31 | $200.86 | -2.50% | 3 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-13 | 2023-02-14 | $194.64 | $209.25 | -1.34% | 2 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-02-07 | 2023-02-08 | $196.81 | $201.29 | 0.85% | 2 | |
| 2023-02-03 | 2023-02-06 | $189.98 | $194.76 | 0.71% | 2 | |
| 2023-02-01 | 2023-02-02 | $181.41 | $188.27 | 4.52% | 2 | |
| 2022-08-15 | 2022-08-25 | $309.32 | $296.07 | -1.17% | 9 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 |