Fitness
0.6501
Generation
67
Complexity
26
Created
2026-10-10
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1466 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.1344 and cumret_252d > 0.2888 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 < -0.025):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.3% | 81.7% | 16.7% | 30.7% |
| Total Return | 368.3% | 499.7% | 78.8% | 5069.0% |
| Sharpe | 0.78 | 1.56 | 0.64 | 0.95 |
| Sortino | 0.77 | 1.70 | 0.67 | 0.97 |
| Calmar | 0.42 | 2.80 | 0.45 | 0.60 |
| Volatility | 30.9% | 44.5% | 32.0% | 34.4% |
| Max DD | -51.2% | -29.2% | -37.2% | -51.2% |
| Win Rate | 43.3% | 49.1% | 31.9% | 42.1% |
| Avg Win | 10.7% | 12.5% | 13.1% | 12.1% |
| Avg Loss | -4.1% | -3.6% | -3.6% | -3.8% |
| Payoff | 2.62 | 3.48 | 3.62 | 3.17 |
| Expectancy | 2.3% | 4.3% | 1.7% | 2.9% |
| Profit Factor | 2.00 | 3.35 | 1.70 | 2.31 |
| Trades | 97 | 53 | 47 | 197 |
| Avg Holding Days | 8.6 | 6.9 | 8.2 | 8.1 |
| Turnover | 24.4 | 35.3 | 25.3 | 26.8 |
| Exposure | 37.1% | 41.5% | 35.9% | 37.7% |
Growth of $100
LongTermTrend_V1466 vs TSLA Buy & Hold
LongTermTrend_V1466 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 | 26.7% | 1.48 | -12.2% | 4 |
| 2017 | 23.2% | 1.07 | -15.4% | 16 |
| 2018 | -22.5% | -0.90 | -29.7% | 12 |
| 2019 | 24.5% | 0.81 | -26.5% | 7 |
| 2020 | 376.4% | 2.76 | -24.2% | 25 |
| 2021 | 23.8% | 0.82 | -21.7% | 19 |
| 2022 | -2.2% | 0.05 | -17.6% | 8 |
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 | 10.3% | 0.43 | 25% |
| hidden test | EXPENSIVE | 83 | 81.0% | 1.77 | 52% |
| hidden test | EXTREME | 48 | 151.6% | 3.23 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 32.0% | 0.77 | 41% |
| hidden test | LOW VOLATILITY | 442 | 48.5% | 1.94 | 35% |
| hidden test | MEDIUM VOLATILITY | 250 | -40.6% | -1.29 | 34% |
| hidden test | NORMAL | 815 | 6.6% | 0.23 | 34% |
| hidden test | SIDEWAYS | 297 | -11.7% | -0.38 | 42% |
| hidden test | UPTREND | 371 | 54.0% | 1.44 | 40% |
| train | DOWNTREND | 518 | -14.4% | -0.88 | 18% |
| train | EXPENSIVE | 311 | 50.3% | 1.46 | 54% |
| train | EXTREME | 100 | 314.8% | 4.47 | 80% |
| train | HIGH VOLATILITY | 699 | 43.8% | 1.05 | 36% |
| train | LOW VOLATILITY | 745 | 33.4% | 1.57 | 44% |
| train | MEDIUM VOLATILITY | 568 | -12.6% | -0.49 | 30% |
| train | NORMAL | 1,601 | 0.7% | 0.03 | 31% |
| train | SIDEWAYS | 592 | 9.8% | 0.36 | 37% |
| train | UPTREND | 902 | 55.4% | 1.43 | 48% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 115.6% | 2.68 | 45% |
| validation | EXTREME | 144 | 233.1% | 3.03 | 74% |
| validation | HIGH VOLATILITY | 258 | 69.5% | 1.19 | 37% |
| validation | LOW VOLATILITY | 183 | 12.8% | 0.59 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 102.5% | 2.51 | 45% |
| validation | NORMAL | 474 | 6.4% | 0.23 | 31% |
| validation | SIDEWAYS | 206 | -3.1% | -0.11 | 30% |
| validation | UPTREND | 425 | 114.5% | 2.09 | 56% |
Trades (full period)
latest 100 of 198
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | 0.43% | 3 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 6.55% | 14 | |
| 2026-04-16 | 2026-04-24 | $388.90 | $376.30 | -4.84% | 7 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.31% | 10 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 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 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 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 | |
| 2024-06-24 | 2024-07-22 | $182.58 | $251.51 | 30.44% | 20 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 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 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-25 | $251.92 | $246.99 | -4.72% | 14 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -4.50% | 6 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 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 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.90% | 3 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 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 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 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 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 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 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -2.23% | 5 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 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 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 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 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-20 | 2020-05-21 | $54.37 | $55.17 | 0.73% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 |