Fitness
0.6750
Generation
61
Complexity
28
Created
2026-10-08
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1338 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 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 and macd_hist > -2.6055 and breakout_20 == 1):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.7% | 96.0% | 24.3% | 33.3% |
| Total Return | 294.3% | 653.1% | 125.8% | 6804.7% |
| Sharpe | 0.74 | 1.79 | 0.87 | 1.05 |
| Sortino | 0.67 | 1.81 | 0.87 | 1.00 |
| Calmar | 0.44 | 3.72 | 0.71 | 0.79 |
| Volatility | 28.7% | 42.5% | 30.2% | 32.4% |
| Max DD | -42.3% | -25.8% | -34.3% | -42.3% |
| Win Rate | 44.1% | 54.2% | 48.0% | 47.2% |
| Avg Win | 13.5% | 22.6% | 14.1% | 16.4% |
| Avg Loss | -4.8% | -3.9% | -5.2% | -4.7% |
| Payoff | 2.79 | 5.84 | 2.71 | 3.47 |
| Expectancy | 3.2% | 10.5% | 4.1% | 5.3% |
| Profit Factor | 2.20 | 6.90 | 2.50 | 3.10 |
| Trades | 59 | 24 | 25 | 108 |
| Avg Holding Days | 12.1 | 12.4 | 13.3 | 12.5 |
| Turnover | 14.9 | 16.0 | 13.6 | 14.7 |
| Exposure | 32.9% | 36.1% | 32.6% | 33.5% |
Growth of $100
LongTermTrend_V1338 vs TSLA Buy & Hold
LongTermTrend_V1338 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% | 1.27 | -12.2% | 5 |
| 2017 | 34.9% | 1.56 | -14.9% | 11 |
| 2018 | -17.9% | -0.70 | -23.7% | 8 |
| 2019 | 28.3% | 0.93 | -18.4% | 4 |
| 2020 | 405.3% | 2.95 | -21.8% | 10 |
| 2021 | 37.7% | 1.20 | -16.8% | 9 |
| 2022 | 4.0% | 0.28 | -17.0% | 5 |
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 | 13.6% | 0.54 | 28% |
| hidden test | EXPENSIVE | 83 | 87.5% | 1.96 | 48% |
| hidden test | EXTREME | 48 | 133.3% | 2.99 | 40% |
| hidden test | HIGH VOLATILITY | 254 | 49.7% | 1.22 | 38% |
| hidden test | LOW VOLATILITY | 440 | 44.0% | 1.86 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.8% | -1.04 | 28% |
| hidden test | NORMAL | 813 | 13.7% | 0.50 | 31% |
| hidden test | SIDEWAYS | 295 | -11.4% | -0.43 | 35% |
| hidden test | UPTREND | 371 | 65.6% | 1.82 | 34% |
| train | DOWNTREND | 518 | -0.6% | -0.05 | 14% |
| train | EXPENSIVE | 311 | 52.1% | 1.57 | 50% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 39.1% | 0.99 | 32% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.41 | 41% |
| train | MEDIUM VOLATILITY | 568 | -8.3% | -0.36 | 24% |
| train | NORMAL | 1,601 | -1.5% | -0.06 | 27% |
| train | SIDEWAYS | 592 | -0.2% | -0.01 | 33% |
| train | UPTREND | 902 | 47.8% | 1.31 | 44% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 79.6% | 2.07 | 36% |
| validation | EXTREME | 144 | 275.2% | 3.69 | 66% |
| validation | HIGH VOLATILITY | 258 | 82.2% | 1.48 | 31% |
| validation | LOW VOLATILITY | 183 | 20.1% | 1.11 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 104.0% | 2.58 | 41% |
| validation | NORMAL | 474 | 14.8% | 0.55 | 27% |
| validation | SIDEWAYS | 206 | 10.7% | 0.40 | 26% |
| validation | UPTREND | 425 | 119.7% | 2.30 | 48% |
Trades (full period)
latest 100 of 109
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.85% | 1 | OPEN |
| 2026-09-23 | 2026-09-29 | $380.12 | $352.84 | -5.85% | 5 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2026-07-02 | 2026-07-15 | $393.45 | $394.46 | -7.04% | 9 | |
| 2026-04-20 | 2026-05-21 | $392.50 | $417.85 | 3.94% | 24 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -5.16% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 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 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 23.41% | 24 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-06-18 | 2024-07-22 | $184.86 | $251.51 | 27.36% | 23 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 26.47% | 16 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-09 | 2020-06-25 | $62.71 | $65.73 | 0.95% | 13 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 109.25% | 48 | |
| 2019-10-14 | 2019-11-21 | $17.13 | $23.66 | 41.81% | 29 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.52% | 18 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 10.15% | 19 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-02-27 | 2018-03-06 | $23.40 | $21.88 | -6.92% | 6 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -1.18% | 13 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.17% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-03-27 | 2017-04-21 | $18.01 | $20.37 | 14.73% | 19 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 25.53% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 | |
| 2015-12-31 | 2016-01-06 | $16.00 | $14.60 | -6.34% | 4 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -8.69% | 9 | |
| 2015-09-17 | 2015-09-30 | $17.47 | $16.56 | -6.14% | 10 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.46% | 2 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.81% | 13 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.51% | 2 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 9.86% | 16 | |
| 2014-06-17 | 2014-07-07 | $15.44 | $14.84 | 1.86% | 14 | |
| 2014-02-10 | 2014-03-11 | $13.10 | $15.63 | 27.79% | 21 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-13 | 2014-01-10 | $9.84 | $9.71 | -0.16% | 19 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 |