Fitness
0.5975
Generation
73
Complexity
26
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1592 [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)))) and breakout_50 == 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 | 15.6% | 71.0% | 18.3% | 26.2% |
| Total Return | 218.0% | 399.6% | 88.3% | 2979.6% |
| Sharpe | 0.70 | 1.63 | 0.84 | 0.98 |
| Sortino | 0.53 | 1.40 | 0.61 | 0.76 |
| Calmar | 0.40 | 3.14 | 0.78 | 0.67 |
| Volatility | 25.2% | 37.1% | 23.2% | 27.6% |
| Max DD | -38.9% | -22.6% | -23.6% | -38.9% |
| Win Rate | 50.0% | 50.0% | 50.0% | 50.0% |
| Avg Win | 13.8% | 24.7% | 13.4% | 17.1% |
| Avg Loss | -5.3% | -2.5% | -4.2% | -4.4% |
| Payoff | 2.60 | 9.83 | 3.16 | 3.91 |
| Expectancy | 4.2% | 11.1% | 4.6% | 6.4% |
| Profit Factor | 2.60 | 9.83 | 3.16 | 3.91 |
| Trades | 38 | 18 | 16 | 72 |
| Avg Holding Days | 12.2 | 12.4 | 9.8 | 11.8 |
| Turnover | 9.6 | 12.0 | 8.8 | 9.8 |
| Exposure | 21.6% | 27.1% | 15.3% | 21.2% |
Growth of $100
LongTermTrend_V1592 vs TSLA Buy & Hold
LongTermTrend_V1592 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 | 6.3% | 0.61 | -6.6% | 3 |
| 2017 | 26.8% | 1.54 | -8.9% | 6 |
| 2018 | -24.3% | -1.28 | -29.1% | 6 |
| 2019 | 37.4% | 1.32 | -13.7% | 2 |
| 2020 | 246.7% | 2.53 | -20.5% | 8 |
| 2021 | 43.8% | 1.42 | -16.8% | 7 |
| 2022 | -3.6% | -0.15 | -14.9% | 3 |
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 | 279 | 2.0% | 0.95 | 1% |
| hidden test | EXPENSIVE | 83 | 87.5% | 1.96 | 48% |
| hidden test | EXTREME | 48 | 133.3% | 2.99 | 40% |
| hidden test | HIGH VOLATILITY | 254 | 31.3% | 1.01 | 19% |
| hidden test | LOW VOLATILITY | 443 | 23.3% | 1.29 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | 0.7% | 0.03 | 13% |
| hidden test | NORMAL | 817 | 5.9% | 0.34 | 11% |
| hidden test | SIDEWAYS | 298 | 1.0% | 0.06 | 13% |
| hidden test | UPTREND | 371 | 47.5% | 1.42 | 28% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 28.3% | 0.93 | 37% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 29.4% | 0.83 | 23% |
| train | LOW VOLATILITY | 745 | 18.4% | 1.17 | 27% |
| train | MEDIUM VOLATILITY | 568 | 2.0% | 0.10 | 13% |
| train | NORMAL | 1,601 | -1.4% | -0.08 | 16% |
| train | SIDEWAYS | 592 | -4.0% | -0.23 | 13% |
| train | UPTREND | 902 | 43.0% | 1.24 | 39% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 73.7% | 2.07 | 33% |
| validation | EXTREME | 144 | 207.9% | 3.11 | 55% |
| validation | HIGH VOLATILITY | 258 | 65.1% | 1.36 | 20% |
| validation | LOW VOLATILITY | 183 | 29.3% | 1.65 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 74.6% | 2.11 | 32% |
| validation | NORMAL | 474 | 11.8% | 0.56 | 17% |
| validation | SIDEWAYS | 206 | -10.1% | -0.97 | 8% |
| validation | UPTREND | 425 | 106.8% | 2.21 | 43% |
Trades (full period)
73 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.80% | 5 | OPEN |
| 2026-05-11 | 2026-05-21 | $445.00 | $417.85 | -2.78% | 9 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 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 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 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 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -5.15% | 3 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-02-08 | 2023-02-23 | $201.29 | $202.07 | 1.86% | 11 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 5.28% | 16 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -6.26% | 10 | |
| 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 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 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 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 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 | |
| 2020-05-11 | 2020-05-14 | $54.09 | $53.56 | -3.67% | 4 | |
| 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 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-10-30 | 2018-11-21 | $21.99 | $22.55 | 3.57% | 17 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 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 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 19.13% | 29 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2016-03-18 | 2016-04-01 | $15.52 | $15.84 | 1.30% | 10 | |
| 2015-12-31 | 2016-01-06 | $16.00 | $14.60 | -6.34% | 4 | |
| 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 | |
| 2015-04-23 | 2015-05-22 | $14.57 | $16.52 | 11.71% | 22 | |
| 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 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -1.24% | 13 | |
| 2014-02-10 | 2014-03-11 | $13.10 | $15.63 | 27.79% | 21 | |
| 2014-01-22 | 2014-02-06 | $11.90 | $11.89 | -1.48% | 12 | |
| 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 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 110.35% | 45 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 6.59% | 16 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.89% | 18 | |
| 2012-07-16 | 2012-07-23 | $2.40 | $2.04 | -7.36% | 6 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-21 | 2012-02-29 | $2.30 | $2.23 | -3.51% | 7 |