Strategy Zoo / S0033
LongTermTrend_V0033
ARCHIVEDtrend_followingstructuraladded entry filter: roc_20 > 1.7469; replaced exit rule with: breakout_20 == 1
Fitness
0.3768
Generation
1
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (2)
Strategy Logic (pseudocode)
# LongTermTrend_V0033 [trend_following]
if flat and (close > sma_200 and sma_200_slope > 0.0 and roc_20 > 1.7469):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 41.9% | 5.3% | 17.7% |
| Total Return | 206.3% | 185.9% | 20.9% | 989.9% |
| Sharpe | 0.54 | 0.87 | 0.33 | 0.58 |
| Sortino | 0.65 | 1.13 | 0.40 | 0.70 |
| Calmar | 0.26 | 0.70 | 0.10 | 0.28 |
| Volatility | 41.3% | 62.6% | 43.3% | 46.9% |
| Max DD | -58.2% | -59.9% | -52.0% | -62.9% |
| Win Rate | 80.1% | 82.2% | 82.9% | 81.2% |
| Avg Win | 2.9% | 4.3% | 3.7% | 3.5% |
| Avg Loss | -6.7% | -9.4% | -13.1% | -8.4% |
| Payoff | 0.44 | 0.46 | 0.29 | 0.41 |
| Expectancy | 1.0% | 1.8% | 0.9% | 1.2% |
| Profit Factor | 1.76 | 2.11 | 1.38 | 1.78 |
| Trades | 136 | 73 | 41 | 250 |
| Avg Holding Days | 10.0 | 9.1 | 13.7 | 10.3 |
| Turnover | 34.2 | 48.7 | 22.2 | 34.1 |
| Exposure | 60.8% | 77.8% | 55.7% | 63.0% |
Growth of $100
LongTermTrend_V0033 vs TSLA Buy & Hold
LongTermTrend_V0033 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 | -17.9% | -0.67 | -35.8% | 3 |
| 2017 | -6.5% | -0.03 | -27.8% | 24 |
| 2018 | -6.7% | 0.04 | -27.9% | 10 |
| 2019 | 15.0% | 0.78 | -18.8% | 8 |
| 2020 | 245.1% | 1.97 | -59.9% | 38 |
| 2021 | 10.2% | 0.44 | -36.5% | 25 |
| 2022 | -34.0% | -0.57 | -44.7% | 8 |
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 | 1.6% | 0.04 | 36% |
| hidden test | EXPENSIVE | 83 | 168.1% | 2.64 | 75% |
| hidden test | EXTREME | 48 | 101.3% | 1.91 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 64.7% | 1.10 | 43% |
| hidden test | LOW VOLATILITY | 429 | -8.2% | -0.26 | 62% |
| hidden test | MEDIUM VOLATILITY | 248 | 1.8% | 0.04 | 57% |
| hidden test | NORMAL | 800 | -6.8% | -0.17 | 52% |
| hidden test | SIDEWAYS | 293 | -24.0% | -0.59 | 64% |
| hidden test | UPTREND | 371 | 53.9% | 1.22 | 63% |
| train | DOWNTREND | 518 | -30.9% | -0.80 | 44% |
| train | EXPENSIVE | 311 | 40.3% | 0.83 | 81% |
| train | EXTREME | 100 | 382.1% | 5.52 | 75% |
| train | HIGH VOLATILITY | 699 | 62.4% | 1.15 | 59% |
| train | LOW VOLATILITY | 745 | 10.9% | 0.41 | 58% |
| train | MEDIUM VOLATILITY | 568 | -11.5% | -0.30 | 67% |
| train | NORMAL | 1,601 | -3.5% | -0.10 | 56% |
| train | SIDEWAYS | 592 | 27.4% | 0.67 | 62% |
| train | UPTREND | 902 | 49.8% | 1.16 | 70% |
| validation | DOWNTREND | 125 | -23.3% | -0.53 | 41% |
| validation | EXPENSIVE | 138 | 12.1% | 0.16 | 90% |
| validation | EXTREME | 144 | 260.4% | 3.58 | 80% |
| validation | HIGH VOLATILITY | 258 | 80.8% | 0.93 | 81% |
| validation | LOW VOLATILITY | 183 | 45.6% | 1.37 | 84% |
| validation | MEDIUM VOLATILITY | 315 | 38.5% | 0.75 | 71% |
| validation | NORMAL | 474 | 4.6% | 0.08 | 74% |
| validation | SIDEWAYS | 206 | -17.4% | -0.30 | 85% |
| validation | UPTREND | 425 | 112.6% | 1.63 | 85% |
Trades (full period)
latest 100 of 250
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-15 | 2026-07-02 | $422.24 | $393.45 | -4.26% | 33 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-18 | 2026-04-20 | $483.37 | $392.50 | -14.43% | 83 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 4.20% | 5 | |
| 2025-11-05 | 2025-12-08 | $462.07 | $439.58 | 2.22% | 23 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-27 | 2025-09-12 | $349.60 | $395.94 | 4.66% | 12 | |
| 2025-08-13 | 2025-08-26 | $339.38 | $351.67 | 1.49% | 10 | |
| 2025-05-29 | 2025-08-12 | $358.43 | $340.84 | -5.20% | 52 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -35.39% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 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 | 2024-10-28 | $240.83 | $262.51 | 7.42% | 16 | |
| 2023-12-29 | 2024-02-29 | $248.48 | $201.88 | -20.36% | 42 | |
| 2023-12-21 | 2023-12-28 | $254.50 | $253.18 | 5.58% | 5 | |
| 2023-12-18 | 2023-12-20 | $252.08 | $247.14 | 1.26% | 3 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-17 | 2023-11-29 | $234.30 | $244.14 | 5.41% | 8 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-13 | 2023-09-15 | $271.30 | $274.39 | 3.00% | 3 | |
| 2023-08-01 | 2023-09-12 | $261.07 | $267.48 | 2.09% | 30 | |
| 2022-08-16 | 2022-09-20 | $306.56 | $308.73 | -0.28% | 25 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -31.20% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -21.40% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -2.65% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-13 | 2021-09-16 | $247.67 | $252.33 | 2.45% | 4 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-01 | 2021-09-08 | $244.70 | $251.29 | 2.13% | 5 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-09 | 2021-08-13 | $237.92 | $239.06 | 3.11% | 5 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-06-30 | 2021-08-02 | $226.57 | $236.56 | 0.74% | 23 | |
| 2021-06-25 | 2021-06-29 | $223.96 | $226.92 | 1.11% | 3 | |
| 2021-04-15 | 2021-06-24 | $246.28 | $226.61 | -10.51% | 50 | |
| 2021-01-27 | 2021-04-14 | $288.05 | $244.08 | -13.85% | 54 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-16 | 2020-11-18 | $146.56 | $162.21 | -1.82% | 24 | |
| 2020-09-02 | 2020-10-15 | $149.12 | $149.63 | -3.09% | 31 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 2.01% | 5 | |
| 2020-05-12 | 2020-05-22 | $53.96 | $54.46 | 1.81% | 9 | |
| 2020-05-01 | 2020-05-11 | $46.75 | $54.09 | 4.58% | 7 |