Strategy Zoo / S0042
LongTermTrend_V0042
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0034 OR VolumeBreakout_V0025
Fitness
0.2548
Generation
2
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
changed rel_volume threshold 1.5 -> 1.6761
reduce exposure to 34% during EXTREME
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0042 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > 0.0) or (breakout_50 == 1 and rel_volume > 1.6761)):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.34Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.7% | 43.5% | -17.0% | 0.8% |
| Total Return | -26.0% | 195.8% | -49.8% | 13.2% |
| Sharpe | 0.04 | 1.06 | -0.42 | 0.20 |
| Sortino | 0.04 | 1.42 | -0.42 | 0.21 |
| Calmar | -0.05 | 0.74 | -0.33 | 0.01 |
| Volatility | 31.5% | 42.6% | 32.1% | 34.2% |
| Max DD | -77.7% | -59.0% | -50.9% | -79.4% |
| Win Rate | 37.0% | 36.4% | 30.2% | 35.1% |
| Avg Win | 6.3% | 13.3% | 4.6% | 8.1% |
| Avg Loss | -3.5% | -3.6% | -2.9% | -3.3% |
| Payoff | 1.81 | 3.71 | 1.61 | 2.45 |
| Expectancy | 0.1% | 2.5% | -0.6% | 0.7% |
| Profit Factor | 1.06 | 2.12 | 0.70 | 1.32 |
| Trades | 162 | 77 | 86 | 325 |
| Avg Holding Days | 6.8 | 7.6 | 5.4 | 6.8 |
| Turnover | 41.9 | 54.0 | 47.3 | 45.6 |
| Exposure | 45.8% | 55.3% | 37.0% | 45.6% |
Growth of $100
LongTermTrend_V0042 vs TSLA Buy & Hold
LongTermTrend_V0042 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 | -14.6% | -1.38 | -20.5% | 2 |
| 2017 | 9.0% | 0.43 | -35.8% | 30 |
| 2018 | -48.1% | -2.40 | -50.5% | 9 |
| 2019 | 13.5% | 0.65 | -23.7% | 6 |
| 2020 | 443.6% | 3.72 | -18.6% | 18 |
| 2021 | -12.0% | -0.07 | -58.6% | 36 |
| 2022 | -40.7% | -1.51 | -40.6% | 22 |
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 | -23.1% | -2.20 | 5% |
| hidden test | EXPENSIVE | 83 | 96.0% | 1.72 | 86% |
| hidden test | EXTREME | 48 | 155.3% | 4.25 | 39% |
| hidden test | HIGH VOLATILITY | 254 | 2.5% | 0.06 | 32% |
| hidden test | LOW VOLATILITY | 429 | -7.0% | -0.29 | 41% |
| hidden test | MEDIUM VOLATILITY | 248 | -41.2% | -1.24 | 35% |
| hidden test | NORMAL | 800 | -35.0% | -1.25 | 32% |
| hidden test | SIDEWAYS | 293 | -48.2% | -1.61 | 43% |
| hidden test | UPTREND | 371 | 20.7% | 0.49 | 55% |
| train | DOWNTREND | 518 | -27.3% | -1.66 | 3% |
| train | EXPENSIVE | 311 | 73.8% | 1.65 | 85% |
| train | EXTREME | 100 | 206.9% | 5.54 | 39% |
| train | HIGH VOLATILITY | 699 | 0.7% | 0.02 | 35% |
| train | LOW VOLATILITY | 745 | 24.3% | 0.98 | 55% |
| train | MEDIUM VOLATILITY | 568 | -28.4% | -0.94 | 47% |
| train | NORMAL | 1,601 | -25.7% | -0.94 | 39% |
| train | SIDEWAYS | 592 | -18.4% | -0.64 | 36% |
| train | UPTREND | 902 | 30.5% | 0.78 | 77% |
| validation | DOWNTREND | 125 | -14.2% | -2.08 | 2% |
| validation | EXPENSIVE | 138 | 158.9% | 2.75 | 85% |
| validation | EXTREME | 144 | 188.2% | 4.62 | 37% |
| validation | HIGH VOLATILITY | 258 | 51.8% | 1.17 | 35% |
| validation | LOW VOLATILITY | 183 | 2.4% | 0.08 | 73% |
| validation | MEDIUM VOLATILITY | 315 | 64.5% | 1.36 | 61% |
| validation | NORMAL | 474 | -31.4% | -0.85 | 52% |
| validation | SIDEWAYS | 206 | -67.4% | -1.69 | 57% |
| validation | UPTREND | 425 | 117.2% | 2.39 | 70% |
Trades (full period)
latest 100 of 325
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.06% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 3.24% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 2.19% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.17% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.11% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.52% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-23 | 2026-01-27 | $449.06 | $430.90 | -3.34% | 3 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.50% | 4 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -2.14% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.41% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.64% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 17.99% | 59 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -3.09% | 10 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-04-30 | 2025-06-06 | $282.16 | $295.14 | -2.71% | 27 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -4.63% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -6.53% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -1.28% | 2 | |
| 2025-01-31 | 2025-02-04 | $404.60 | $392.21 | -1.46% | 3 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 53.16% | 64 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.96% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -3.89% | 2 | |
| 2023-10-05 | 2023-10-19 | $260.05 | $220.11 | -7.26% | 11 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-29 | 2023-10-02 | $250.22 | $251.60 | 1.36% | 2 | |
| 2023-09-27 | 2023-09-28 | $240.50 | $246.38 | -1.68% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 2.39% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-01 | 2023-08-08 | $261.07 | $249.70 | -6.17% | 6 | |
| 2022-08-04 | 2022-09-06 | $308.63 | $274.42 | -12.27% | 23 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -4.81% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-02-22 | 2022-02-23 | $273.84 | $254.68 | -4.33% | 2 | |
| 2022-02-17 | 2022-02-18 | $292.12 | $285.66 | -5.29% | 2 | |
| 2022-02-15 | 2022-02-16 | $307.48 | $307.80 | 5.12% | 2 | |
| 2022-02-11 | 2022-02-14 | $286.67 | $291.92 | -5.12% | 2 | |
| 2022-02-09 | 2022-02-10 | $310.67 | $301.52 | 0.88% | 2 | |
| 2022-02-07 | 2022-02-08 | $302.45 | $307.33 | -1.93% | 2 | |
| 2022-02-03 | 2022-02-04 | $297.05 | $307.77 | -1.80% | 2 | |
| 2022-02-01 | 2022-02-02 | $310.42 | $301.89 | -0.78% | 2 |