Fitness
0.6617
Generation
79
Complexity
13
Created
2026-10-16
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1718 [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 breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.1% | 92.8% | 9.8% | 29.5% |
| Total Return | 332.2% | 616.4% | 42.2% | 4432.7% |
| Sharpe | 0.92 | 1.76 | 0.59 | 1.09 |
| Sortino | 0.63 | 1.34 | 0.36 | 0.71 |
| Calmar | 0.69 | 2.75 | 0.46 | 0.87 |
| Volatility | 22.6% | 42.5% | 18.9% | 27.2% |
| Max DD | -29.2% | -33.7% | -21.2% | -33.7% |
| Win Rate | 37.5% | 100.0% | 50.0% | 53.3% |
| Avg Win | 97.0% | 96.8% | 25.8% | 81.9% |
| Avg Loss | -3.7% | 0.0% | -4.3% | -3.9% |
| Payoff | 10.00 | 5.00 | 5.96 | 10.00 |
| Expectancy | 34.1% | 96.8% | 10.8% | 41.9% |
| Profit Factor | 10.00 | 5.00 | 5.96 | 10.00 |
| Trades | 8 | 3 | 4 | 15 |
| Avg Holding Days | 35.5 | 68.3 | 25.5 | 40.1 |
| Turnover | 2.1 | 2.0 | 2.1 | 2.0 |
| Exposure | 14.2% | 26.7% | 10.3% | 15.8% |
Growth of $100
LongTermTrend_V1718 vs TSLA Buy & Hold
LongTermTrend_V1718 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 | -17.5% | -0.73 | -27.1% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 538.0% | 3.00 | -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 | 279 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 30.5% | 0.70 | 71% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 26.4% | 1.00 | 16% |
| hidden test | LOW VOLATILITY | 445 | 18.6% | 2.09 | 4% |
| hidden test | MEDIUM VOLATILITY | 251 | -17.6% | -0.79 | 17% |
| hidden test | NORMAL | 819 | -2.6% | -0.98 | 0% |
| hidden test | SIDEWAYS | 300 | -1.0% | -0.31 | 1% |
| hidden test | UPTREND | 371 | 29.2% | 0.97 | 25% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 10.6% | 0.29 | 58% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 43.4% | 1.34 | 19% |
| train | LOW VOLATILITY | 745 | 11.3% | 1.05 | 11% |
| train | MEDIUM VOLATILITY | 568 | 5.4% | 0.29 | 13% |
| train | NORMAL | 1,601 | -1.9% | -0.83 | 0% |
| train | SIDEWAYS | 592 | 0.4% | 0.65 | 0% |
| train | UPTREND | 902 | 46.1% | 1.37 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.6% | 1.16 | 60% |
| validation | EXTREME | 144 | 333.7% | 4.20 | 82% |
| validation | HIGH VOLATILITY | 258 | 113.2% | 1.83 | 35% |
| 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 | -4.4% | -1.57 | 1% |
| validation | UPTREND | 425 | 135.0% | 2.39 | 47% |
Trades (full period)
15 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 | |
| 2025-05-15 | 2025-05-22 | $342.82 | $341.04 | -3.95% | 6 | |
| 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 | |
| 2020-05-11 | 2020-09-30 | $54.09 | $143.00 | 155.20% | 100 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 96.07% | 54 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-04-11 | 2017-07-07 | $20.58 | $20.88 | -1.34% | 61 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2017-02-07 | 2017-02-28 | $17.17 | $16.67 | -4.67% | 15 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-04-17 | 2013-10-24 | $3.03 | $11.54 | 260.10% | 134 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |