Fitness
0.6937
Generation
76
Complexity
14
Created
2026-10-15
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0494
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1658 [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 > 0.0494 and ret_1d > 0.0542):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.1% | 108.2% | 11.0% | 31.3% |
| Total Return | 303.1% | 801.9% | 48.0% | 5441.3% |
| Sharpe | 0.92 | 1.87 | 0.65 | 1.13 |
| Sortino | 0.59 | 1.49 | 0.39 | 0.71 |
| Calmar | 0.88 | 3.21 | 0.52 | 0.93 |
| Volatility | 21.5% | 44.7% | 18.7% | 27.3% |
| Max DD | -21.6% | -33.7% | -21.0% | -33.7% |
| Win Rate | 33.3% | 100.0% | 66.7% | 58.3% |
| Avg Win | 117.6% | 118.9% | 25.8% | 95.1% |
| Avg Loss | -2.5% | 0.0% | -4.7% | -3.0% |
| Payoff | 10.00 | 5.00 | 5.47 | 10.00 |
| Expectancy | 37.5% | 118.9% | 15.7% | 54.2% |
| Profit Factor | 10.00 | 5.00 | 10.00 | 10.00 |
| Trades | 6 | 3 | 3 | 12 |
| Avg Holding Days | 38.0 | 74.7 | 32.0 | 46.6 |
| Turnover | 1.6 | 2.0 | 1.6 | 1.6 |
| Exposure | 11.5% | 29.2% | 9.8% | 14.7% |
Growth of $100
LongTermTrend_V1658 vs TSLA Buy & Hold
LongTermTrend_V1658 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 | -2.2% | -0.11 | -10.5% | 2 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 702.5% | 3.20 | -33.7% | 2 |
| 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 | 34.0% | 0.79 | 66% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 27.8% | 1.06 | 15% |
| hidden test | LOW VOLATILITY | 445 | 18.6% | 2.09 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.2% | -0.69 | 15% |
| hidden test | NORMAL | 818 | -1.7% | -0.79 | 0% |
| hidden test | SIDEWAYS | 300 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 31.1% | 1.04 | 25% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 21.5% | 0.64 | 48% |
| train | EXTREME | 100 | 357.6% | 4.95 | 80% |
| train | HIGH VOLATILITY | 699 | 43.3% | 1.36 | 18% |
| train | LOW VOLATILITY | 745 | 5.9% | 0.65 | 6% |
| train | MEDIUM VOLATILITY | 568 | 8.6% | 0.52 | 10% |
| train | NORMAL | 1,601 | -1.8% | -0.73 | 0% |
| train | SIDEWAYS | 592 | 5.5% | 0.64 | 6% |
| train | UPTREND | 902 | 40.2% | 1.29 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.6% | 1.16 | 60% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 138.4% | 2.10 | 43% |
| validation | LOW VOLATILITY | 183 | 9.0% | 0.60 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 81.3% | 2.48 | 29% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 4.9% | 0.29 | 5% |
| validation | UPTREND | 425 | 145.8% | 2.51 | 49% |
Trades (full period)
12 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 96.07% | 54 | |
| 2017-08-04 | 2017-09-26 | $23.79 | $23.02 | -0.80% | 37 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-26 | 2014-01-07 | $10.37 | $9.96 | -3.10% | 8 | |
| 2013-12-13 | 2013-12-20 | $9.84 | $9.55 | -4.77% | 6 | |
| 2013-04-30 | 2013-10-24 | $3.60 | $11.54 | 198.81% | 125 |