Strategy Zoo / S0021
LongTermTrend_V0021
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0008, exit from VolContraction_V0016
Fitness
0.4691
Generation
1
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
seed strategy
seed strategy
Children (4)
Strategy Logic (pseudocode)
# LongTermTrend_V0021 [hybrid]
if flat and (close > sma_200 and sma_200_slope > 0.0):
position = 1.0
if long and vol_pctile > 0.8:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.4% | 85.4% | -14.7% | 12.9% |
| Total Return | 64.0% | 536.9% | -44.5% | 496.7% |
| Sharpe | 0.35 | 1.33 | -0.15 | 0.49 |
| Sortino | 0.43 | 1.97 | -0.18 | 0.63 |
| Calmar | 0.09 | 1.27 | -0.25 | 0.16 |
| Volatility | 40.3% | 59.5% | 43.7% | 45.7% |
| Max DD | -71.7% | -67.5% | -59.6% | -81.7% |
| Win Rate | 53.1% | 57.4% | 50.0% | 54.1% |
| Avg Win | 6.1% | 11.5% | 6.3% | 8.4% |
| Avg Loss | -5.1% | -5.3% | -9.0% | -5.8% |
| Payoff | 1.19 | 2.15 | 0.70 | 1.47 |
| Expectancy | 0.8% | 4.3% | -1.4% | 1.9% |
| Profit Factor | 1.35 | 2.89 | 0.70 | 1.73 |
| Trades | 96 | 61 | 24 | 181 |
| Avg Holding Days | 15.5 | 11.1 | 24.8 | 15.4 |
| Turnover | 24.2 | 40.7 | 13.0 | 24.7 |
| Exposure | 70.4% | 81.6% | 61.2% | 70.4% |
Growth of $100
LongTermTrend_V0021 vs TSLA Buy & Hold
LongTermTrend_V0021 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 | -37.3% | -1.72 | -46.7% | 1 |
| 2017 | 40.8% | 1.17 | -22.3% | 6 |
| 2018 | -25.9% | -1.09 | -42.2% | 8 |
| 2019 | 0.4% | 0.19 | -44.4% | 7 |
| 2020 | 730.3% | 3.43 | -39.1% | 50 |
| 2021 | 67.5% | 1.23 | -36.2% | 9 |
| 2022 | -61.6% | -1.59 | -66.7% | 2 |
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 | 267 | -47.0% | -1.16 | 44% |
| hidden test | EXPENSIVE | 83 | 144.7% | 2.12 | 86% |
| hidden test | EXTREME | 48 | 95.4% | 1.74 | 79% |
| hidden test | HIGH VOLATILITY | 254 | 41.5% | 0.79 | 29% |
| hidden test | LOW VOLATILITY | 429 | -10.6% | -0.29 | 77% |
| hidden test | MEDIUM VOLATILITY | 248 | -48.2% | -1.07 | 67% |
| hidden test | NORMAL | 800 | -28.2% | -0.71 | 58% |
| hidden test | SIDEWAYS | 293 | -40.5% | -0.94 | 73% |
| hidden test | UPTREND | 371 | 49.7% | 1.07 | 65% |
| train | DOWNTREND | 518 | -62.2% | -1.75 | 61% |
| train | EXPENSIVE | 311 | 84.3% | 1.68 | 92% |
| train | EXTREME | 100 | 278.9% | 4.48 | 70% |
| train | HIGH VOLATILITY | 699 | 15.1% | 0.32 | 43% |
| train | LOW VOLATILITY | 745 | 38.8% | 1.23 | 89% |
| train | MEDIUM VOLATILITY | 568 | -18.9% | -0.46 | 79% |
| train | NORMAL | 1,601 | -15.9% | -0.44 | 66% |
| train | SIDEWAYS | 592 | 18.2% | 0.46 | 62% |
| train | UPTREND | 902 | 55.6% | 1.29 | 81% |
| validation | DOWNTREND | 125 | -74.6% | -1.82 | 42% |
| validation | EXPENSIVE | 138 | 152.9% | 2.55 | 88% |
| validation | EXTREME | 144 | 299.1% | 4.01 | 77% |
| validation | HIGH VOLATILITY | 258 | 152.2% | 2.12 | 58% |
| validation | LOW VOLATILITY | 183 | 54.6% | 1.51 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 33.8% | 0.57 | 91% |
| validation | NORMAL | 474 | -9.0% | -0.17 | 81% |
| validation | SIDEWAYS | 206 | -3.5% | -0.06 | 89% |
| validation | UPTREND | 425 | 164.6% | 2.51 | 89% |
Trades (full period)
latest 100 of 181
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-07-07 | 2026-07-24 | $293.94 | $313.03 | 1.17% | 265 | |
| 2025-06-25 | 2025-07-03 | $327.55 | $315.35 | -7.48% | 7 | |
| 2025-05-12 | 2025-06-24 | $318.38 | $340.47 | 16.68% | 30 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-01-22 | 2025-03-11 | $415.11 | $230.58 | -47.72% | 34 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.86% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 7.83% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.05% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2024-12-05 | 2025-01-03 | $369.49 | $410.44 | 5.76% | 20 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 14.54% | 2 | |
| 2024-10-07 | 2024-10-25 | $240.83 | $269.19 | 3.95% | 15 | |
| 2023-08-01 | 2024-04-30 | $261.07 | $183.28 | -27.59% | 189 | |
| 2022-08-04 | 2022-12-01 | $308.63 | $194.70 | -36.79% | 84 | |
| 2021-04-05 | 2022-05-12 | $230.35 | $242.67 | 10.70% | 281 | |
| 2021-03-31 | 2021-04-01 | $222.64 | $220.58 | 4.88% | 2 | |
| 2021-03-29 | 2021-03-30 | $203.76 | $211.87 | -1.40% | 2 | |
| 2021-03-25 | 2021-03-26 | $213.46 | $206.24 | 1.40% | 2 | |
| 2021-03-23 | 2021-03-24 | $220.72 | $210.09 | -1.37% | 2 | |
| 2021-03-19 | 2021-03-22 | $218.29 | $223.33 | 0.06% | 2 | |
| 2021-03-17 | 2021-03-18 | $233.94 | $217.72 | 3.48% | 2 | |
| 2021-03-15 | 2021-03-16 | $235.98 | $225.63 | 1.85% | 2 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 4.52% | 2 | |
| 2020-10-07 | 2021-03-10 | $141.77 | $222.69 | 62.39% | 106 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 4.26% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 4.84% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-09-04 | 2020-09-08 | $139.44 | $110.07 | 2.58% | 2 | |
| 2020-08-19 | 2020-09-03 | $125.24 | $135.67 | 18.30% | 12 | |
| 2020-08-03 | 2020-08-18 | $99.00 | $125.81 | 28.05% | 12 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-05-12 | 2020-07-27 | $53.96 | $102.64 | 74.31% | 53 | |
| 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 | |
| 2020-04-09 | 2020-04-13 | $38.20 | $43.40 | 4.20% | 2 | |
| 2020-04-07 | 2020-04-08 | $36.36 | $36.59 | 5.45% | 2 | |
| 2020-04-03 | 2020-04-06 | $32.00 | $34.42 | 5.41% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-24 | 2020-03-25 | $33.67 | $35.95 | 16.07% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-03-17 | 2020-03-18 | $28.68 | $24.08 | -3.54% | 2 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.92% | 2 | |
| 2020-03-09 | 2020-03-10 | $40.53 | $43.02 | -13.76% | 2 | |
| 2020-03-05 | 2020-03-06 | $48.30 | $46.90 | -3.53% | 2 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2020-02-26 | 2020-02-27 | $51.92 | $45.27 | -2.84% | 2 | |
| 2020-02-24 | 2020-02-25 | $55.59 | $53.33 | -7.65% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-18 | 2020-02-19 | $57.23 | $61.16 | 7.09% | 2 | |
| 2020-02-13 | 2020-02-14 | $53.60 | $53.34 | 4.58% | 2 | |
| 2020-02-11 | 2020-02-12 | $51.63 | $51.15 | 0.20% | 2 | |
| 2020-02-07 | 2020-02-10 | $49.87 | $51.42 | -0.32% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2019-11-21 | 2020-02-04 | $23.66 | $59.14 | 121.01% | 50 | |
| 2019-11-19 | 2019-11-20 | $23.97 | $23.48 | 2.52% | 2 | |
| 2019-02-06 | 2019-07-31 | $21.15 | $16.11 | -24.76% | 122 | |
| 2019-01-17 | 2019-01-18 | $23.15 | $20.15 | 0.16% | 2 | |
| 2019-01-15 | 2019-01-16 | $22.96 | $23.07 | 2.80% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2019-01-09 | 2019-01-10 | $22.57 | $23.00 | 0.75% | 2 | |
| 2019-01-07 | 2019-01-08 | $22.33 | $22.36 | 5.23% | 2 | |
| 2019-01-02 | 2019-01-03 | $20.67 | $20.02 | -7.01% | 2 | |
| 2018-12-28 | 2018-12-31 | $22.26 | $22.19 | 5.41% | 2 | |
| 2018-11-27 | 2018-12-27 | $22.93 | $21.08 | -5.94% | 21 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-03-13 | 2018-03-28 | $22.79 | $17.19 | -19.36% | 12 | |
| 2018-03-01 | 2018-03-02 | $22.06 | $22.34 | -3.73% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -2.00% | 2 | |
| 2018-02-23 | 2018-02-26 | $23.47 | $23.83 | 1.50% | 2 |