Fitness
0.6995
Generation
76
Complexity
13
Created
2026-10-15
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1657 [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_20d < -0.0017 or vol_60 > 0.9195):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.8% | 104.5% | 13.9% | 38.0% |
| Total Return | 702.5% | 754.8% | 63.3% | 11434.5% |
| Sharpe | 0.97 | 1.74 | 0.55 | 1.06 |
| Sortino | 1.02 | 1.84 | 0.52 | 1.08 |
| Calmar | 0.55 | 3.09 | 0.41 | 0.71 |
| Volatility | 32.3% | 47.8% | 34.1% | 36.4% |
| Max DD | -53.8% | -33.8% | -34.3% | -53.8% |
| Win Rate | 48.8% | 54.5% | 34.8% | 48.2% |
| Avg Win | 17.7% | 15.0% | 18.6% | 18.8% |
| Avg Loss | -5.4% | -3.8% | -5.2% | -4.8% |
| Payoff | 3.29 | 3.99 | 3.55 | 3.95 |
| Expectancy | 5.9% | 6.5% | 3.0% | 6.6% |
| Profit Factor | 3.14 | 4.79 | 1.89 | 3.67 |
| Trades | 43 | 44 | 23 | 110 |
| Avg Holding Days | 20.2 | 9.5 | 17.3 | 15.8 |
| Turnover | 10.9 | 29.3 | 12.2 | 14.9 |
| Exposure | 43.4% | 49.6% | 39.5% | 43.7% |
Growth of $100
LongTermTrend_V1657 vs TSLA Buy & Hold
LongTermTrend_V1657 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 | 21.5% | 1.21 | -15.9% | 3 |
| 2017 | 3.6% | 0.27 | -27.4% | 7 |
| 2018 | -32.1% | -1.29 | -35.1% | 8 |
| 2019 | 67.3% | 1.75 | -20.0% | 2 |
| 2020 | 357.2% | 2.59 | -33.8% | 34 |
| 2021 | 83.2% | 1.83 | -17.6% | 5 |
| 2022 | -2.0% | 0.07 | -21.6% | 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 | -13.2% | -0.60 | 24% |
| hidden test | EXPENSIVE | 83 | 72.5% | 1.61 | 65% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 17.9% | 0.40 | 42% |
| hidden test | LOW VOLATILITY | 445 | 54.1% | 2.16 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.8% | -1.19 | 42% |
| hidden test | NORMAL | 818 | 3.8% | 0.12 | 35% |
| hidden test | SIDEWAYS | 300 | 3.9% | 0.13 | 38% |
| hidden test | UPTREND | 371 | 55.0% | 1.26 | 53% |
| train | DOWNTREND | 518 | 10.2% | 0.79 | 12% |
| train | EXPENSIVE | 311 | 55.7% | 1.42 | 73% |
| train | EXTREME | 100 | 393.1% | 5.33 | 94% |
| train | HIGH VOLATILITY | 699 | 58.1% | 1.38 | 38% |
| train | LOW VOLATILITY | 745 | 36.5% | 1.55 | 53% |
| train | MEDIUM VOLATILITY | 568 | -8.8% | -0.32 | 37% |
| train | NORMAL | 1,601 | 3.8% | 0.15 | 35% |
| train | SIDEWAYS | 592 | -4.4% | -0.17 | 37% |
| train | UPTREND | 902 | 66.6% | 1.57 | 66% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 70.3% | 1.42 | 54% |
| validation | EXTREME | 144 | 278.7% | 3.53 | 76% |
| validation | HIGH VOLATILITY | 258 | 73.6% | 1.16 | 41% |
| validation | LOW VOLATILITY | 183 | 52.3% | 2.28 | 57% |
| validation | MEDIUM VOLATILITY | 315 | 108.4% | 2.52 | 52% |
| validation | NORMAL | 474 | 27.2% | 0.87 | 40% |
| validation | SIDEWAYS | 206 | -8.6% | -0.30 | 38% |
| validation | UPTREND | 425 | 139.3% | 2.36 | 67% |
Trades (full period)
latest 100 of 110
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-20 | 2025-06-12 | $343.82 | $319.11 | -4.77% | 17 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-06 | 2025-05-15 | $275.35 | $342.82 | 23.81% | 8 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-17 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-23 | 2023-07-24 | $185.77 | $269.06 | 37.39% | 42 | |
| 2023-02-01 | 2023-03-08 | $181.41 | $182.00 | 8.15% | 25 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 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 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-06-15 | 2020-08-10 | $66.06 | $94.57 | 55.02% | 40 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 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 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-05-13 | 2020-05-14 | $52.73 | $53.56 | -2.48% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-05-07 | 2020-05-08 | $52.00 | $54.63 | -0.52% | 2 | |
| 2020-05-05 | 2020-05-06 | $51.21 | $52.17 | 0.72% | 2 | |
| 2020-05-01 | 2020-05-04 | $46.75 | $50.75 | -10.49% | 2 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-27 | 2020-04-28 | $53.25 | $51.27 | 9.94% | 2 | |
| 2020-04-23 | 2020-04-24 | $47.04 | $48.34 | -3.81% | 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 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 191.11% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-06-20 | 2019-08-02 | $14.64 | $15.62 | 3.07% | 31 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -6.28% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.50% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.63% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-12-01 | 2015-12-07 | $15.81 | $15.41 | -0.14% | 5 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-13 | 2015-07-09 | $13.99 | $17.19 | 20.65% | 62 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-08-01 | 2013-10-22 | $9.04 | $11.44 | 28.28% | 58 | |
| 2013-07-25 | 2013-07-31 | $8.27 | $8.95 | 8.04% | 5 |