Fitness
0.6193
Generation
68
Complexity
15
Created
2026-10-13
Lineage
Parents (1)
entry = LongTermTrend_V1319 AND PriceMomentum_V1300
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1492 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (((((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05 and dist_sma_20 > -0.0187) and ret_20d > 0.05):
position = 1.0
if long and ret_60d < 0.4711:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.0% | 77.8% | -1.4% | 23.9% |
| Total Return | 328.5% | 462.4% | -5.1% | 2254.7% |
| Sharpe | 0.96 | 1.51 | 0.01 | 0.93 |
| Sortino | 0.68 | 1.21 | 0.00 | 0.60 |
| Calmar | 1.06 | 1.92 | -0.03 | 0.58 |
| Volatility | 21.1% | 44.7% | 17.3% | 27.0% |
| Max DD | -18.9% | -40.5% | -41.0% | -41.0% |
| Win Rate | 52.3% | 67.6% | 35.0% | 53.5% |
| Avg Win | 6.1% | 10.7% | 4.9% | 7.6% |
| Avg Loss | -1.8% | -1.9% | -2.9% | -2.0% |
| Payoff | 3.47 | 5.52 | 1.72 | 3.78 |
| Expectancy | 2.4% | 6.6% | -0.1% | 3.1% |
| Profit Factor | 3.80 | 10.00 | 0.92 | 4.36 |
| Trades | 88 | 34 | 20 | 142 |
| Avg Holding Days | 3.5 | 7.2 | 5.0 | 4.7 |
| Turnover | 22.2 | 22.7 | 10.6 | 19.3 |
| Exposure | 11.5% | 27.8% | 8.3% | 14.1% |
Growth of $100
LongTermTrend_V1492 vs TSLA Buy & Hold
LongTermTrend_V1492 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 0.5% | 0.11 | -11.3% | 46 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 401.3% | 2.55 | -40.5% | 33 |
| 2021 | 7.7% | 0.48 | -10.9% | 1 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -86.1% | -2.72 | 35% |
| hidden test | EXTREME | 48 | 184.5% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 19.5% | 0.73 | 18% |
| hidden test | LOW VOLATILITY | 443 | 15.0% | 1.88 | 2% |
| hidden test | MEDIUM VOLATILITY | 250 | -46.0% | -2.70 | 9% |
| hidden test | NORMAL | 816 | -2.0% | -0.81 | 0% |
| hidden test | SIDEWAYS | 298 | -3.4% | -1.34 | 1% |
| hidden test | UPTREND | 371 | 3.0% | 0.11 | 21% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 26.5% | 0.82 | 45% |
| train | EXTREME | 100 | 359.8% | 5.02 | 86% |
| train | HIGH VOLATILITY | 699 | 42.2% | 1.34 | 17% |
| train | LOW VOLATILITY | 745 | 9.8% | 0.96 | 9% |
| train | MEDIUM VOLATILITY | 568 | 7.3% | 0.49 | 8% |
| train | NORMAL | 1,601 | -2.0% | -0.79 | 0% |
| train | SIDEWAYS | 592 | 0.3% | 0.06 | 3% |
| train | UPTREND | 902 | 45.2% | 1.45 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 6.2% | 0.11 | 62% |
| validation | EXTREME | 144 | 351.4% | 4.19 | 85% |
| validation | HIGH VOLATILITY | 258 | 119.1% | 1.77 | 42% |
| validation | LOW VOLATILITY | 183 | 3.5% | 0.30 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 62.6% | 1.98 | 27% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 14.4% | 1.28 | 2% |
| validation | UPTREND | 425 | 113.2% | 1.92 | 48% |
Trades (full period)
latest 100 of 142
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 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 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-01 | 2025-10-06 | $459.46 | $453.25 | -3.54% | 4 | |
| 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 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 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 | |
| 2025-05-21 | 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 | |
| 2024-11-18 | 2025-02-06 | $338.74 | $374.32 | 17.68% | 54 | |
| 2024-11-07 | 2024-11-15 | $296.91 | $320.72 | 7.64% | 7 | |
| 2020-12-17 | 2021-02-19 | $218.63 | $260.43 | 26.19% | 43 | |
| 2020-12-15 | 2020-12-16 | $211.08 | $207.59 | -1.23% | 2 | |
| 2020-12-11 | 2020-12-14 | $203.33 | $213.28 | -2.92% | 2 | |
| 2020-12-02 | 2020-12-10 | $189.61 | $209.02 | 3.16% | 7 | |
| 2020-11-30 | 2020-12-01 | $189.20 | $194.92 | -3.30% | 2 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.78% | 2 | |
| 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 | |
| 2020-06-09 | 2020-10-06 | $62.71 | $137.99 | 123.61% | 84 | |
| 2020-06-05 | 2020-06-08 | $59.04 | $63.33 | 2.26% | 2 | |
| 2020-06-03 | 2020-06-04 | $58.86 | $57.63 | -0.04% | 2 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 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 | |
| 2020-05-18 | 2020-05-19 | $54.24 | $53.87 | 1.61% | 2 | |
| 2020-05-14 | 2020-05-15 | $53.56 | $53.28 | 1.36% | 2 | |
| 2020-05-12 | 2020-05-13 | $53.96 | $52.73 | -0.43% | 2 | |
| 2020-05-08 | 2020-05-11 | $54.63 | $54.09 | 4.84% | 2 | |
| 2020-05-06 | 2020-05-07 | $52.17 | $52.00 | 1.67% | 2 | |
| 2020-05-04 | 2020-05-05 | $50.75 | $51.21 | 8.33% | 2 | |
| 2020-04-30 | 2020-05-01 | $52.13 | $46.75 | -2.52% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.91% | 2 | |
| 2020-04-24 | 2020-04-27 | $48.34 | $53.25 | 2.56% | 2 | |
| 2020-04-22 | 2020-04-23 | $48.81 | $47.04 | 6.40% | 2 | |
| 2020-04-20 | 2020-04-21 | $49.76 | $45.78 | -1.20% | 2 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2019-12-17 | 2020-03-16 | $25.27 | $29.67 | 42.99% | 61 | |
| 2017-09-20 | 2017-09-21 | $24.93 | $24.43 | -0.52% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-08-31 | 2017-09-01 | $23.73 | $23.69 | 0.57% | 2 | |
| 2017-08-29 | 2017-08-30 | $23.16 | $23.55 | 0.29% | 2 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.58% | 2 | |
| 2017-08-18 | 2017-08-21 | $23.16 | $22.52 | -1.47% | 2 | |
| 2017-08-16 | 2017-08-17 | $24.19 | $23.46 | -0.04% | 2 | |
| 2017-08-14 | 2017-08-15 | $24.25 | $24.16 | 1.46% | 2 | |
| 2017-08-10 | 2017-08-11 | $23.69 | $23.86 | -2.43% | 2 | |
| 2017-08-08 | 2017-08-09 | $24.35 | $24.24 | 2.63% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.04% | 2 | |
| 2017-06-28 | 2017-06-29 | $24.75 | $24.05 | 2.25% | 2 | |
| 2017-06-26 | 2017-06-27 | $25.17 | $24.16 | -1.75% | 2 | |
| 2017-06-22 | 2017-06-23 | $25.51 | $25.56 | 1.45% | 2 | |
| 2017-06-20 | 2017-06-21 | $24.82 | $25.09 | 0.46% | 2 | |
| 2017-06-15 | 2017-06-19 | $25.02 | $24.65 | -2.63% | 3 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 4.51% | 2 | |
| 2017-06-09 | 2017-06-12 | $23.82 | $23.93 | -3.62% | 2 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-06-05 | 2017-06-06 | $23.15 | $23.52 | 2.00% | 2 | |
| 2017-06-01 | 2017-06-02 | $22.69 | $22.66 | -0.39% | 2 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -3.63% | 2 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.56% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-04-18 | 2017-04-19 | $20.02 | $20.37 | -0.59% | 2 | |
| 2017-04-13 | 2017-04-17 | $20.27 | $20.10 | 2.21% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -1.38% | 2 | |
| 2017-04-07 | 2017-04-10 | $20.17 | $20.83 | 1.08% | 2 | |
| 2017-04-05 | 2017-04-06 | $19.67 | $19.91 | -3.06% | 2 | |
| 2017-04-03 | 2017-04-04 | $19.90 | $20.25 | 7.06% | 2 | |
| 2017-03-30 | 2017-03-31 | $18.53 | $18.55 | -0.01% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-21 | 2017-02-22 | $18.49 | $18.23 | 1.69% | 2 | |
| 2017-02-13 | 2017-02-17 | $18.71 | $18.15 | -0.30% | 5 | |
| 2017-02-09 | 2017-02-10 | $17.95 | $17.95 | 2.51% | 2 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.29% | 2 | |
| 2017-01-27 | 2017-01-30 | $16.86 | $16.71 | -0.03% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.25% | 2 |