Strategy Zoo / S0061
LongTermTrend_V0061
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0021, exit from VolumeBreakout_V0056
Fitness
0.2558
Generation
3
Complexity
6
Created
2026-09-18
Lineage
Parents (2)
entry from LongTermTrend_V0008, exit from VolContraction_V0016
added exit filter: ret_20d > 0.0944
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0061 [hybrid]
if flat and (close > sma_200 and sma_200_slope > 0.0):
position = 1.0
if long and (breakout_252 == 1 or ret_20d > 0.0944):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.4% | 22.9% | -1.1% | 9.2% |
| Total Return | 104.5% | 85.8% | -3.9% | 264.7% |
| Sharpe | 0.42 | 0.64 | 0.20 | 0.42 |
| Sortino | 0.53 | 0.81 | 0.26 | 0.53 |
| Calmar | 0.12 | 0.40 | -0.02 | 0.12 |
| Volatility | 40.8% | 60.9% | 45.5% | 46.7% |
| Max DD | -77.3% | -57.1% | -48.3% | -77.3% |
| Win Rate | 58.5% | 56.6% | 61.4% | 58.4% |
| Avg Win | 3.2% | 4.6% | 3.9% | 3.8% |
| Avg Loss | -3.4% | -4.5% | -5.6% | -4.1% |
| Payoff | 0.96 | 1.03 | 0.70 | 0.92 |
| Expectancy | 0.5% | 0.7% | 0.2% | 0.5% |
| Profit Factor | 1.35 | 1.34 | 1.11 | 1.29 |
| Trades | 224 | 145 | 70 | 440 |
| Avg Holding Days | 7.0 | 4.3 | 9.1 | 6.4 |
| Turnover | 56.2 | 96.7 | 37.9 | 60.0 |
| Exposure | 66.8% | 63.9% | 60.7% | 64.7% |
Growth of $100
LongTermTrend_V0061 vs TSLA Buy & Hold
LongTermTrend_V0061 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 | -21.9% | -0.72 | -35.8% | 3 |
| 2017 | 4.5% | 0.30 | -18.9% | 40 |
| 2018 | -20.2% | -0.55 | -35.6% | 7 |
| 2019 | -9.4% | -0.11 | -48.5% | 8 |
| 2020 | 81.4% | 1.15 | -57.1% | 86 |
| 2021 | 46.8% | 1.02 | -37.2% | 41 |
| 2022 | -40.6% | -0.86 | -46.5% | 16 |
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 | -10.4% | -0.20 | 60% |
| hidden test | EXPENSIVE | 83 | 168.7% | 2.55 | 71% |
| hidden test | EXTREME | 48 | 81.8% | 1.74 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 83.0% | 1.37 | 44% |
| hidden test | LOW VOLATILITY | 429 | -18.5% | -0.53 | 70% |
| hidden test | MEDIUM VOLATILITY | 248 | -18.9% | -0.44 | 61% |
| hidden test | NORMAL | 800 | -11.9% | -0.28 | 59% |
| hidden test | SIDEWAYS | 293 | -26.6% | -0.67 | 65% |
| hidden test | UPTREND | 371 | 51.2% | 1.16 | 58% |
| train | DOWNTREND | 518 | -52.4% | -1.28 | 72% |
| train | EXPENSIVE | 311 | 58.4% | 1.33 | 69% |
| train | EXTREME | 100 | 284.6% | 4.48 | 54% |
| train | HIGH VOLATILITY | 699 | 43.9% | 0.84 | 60% |
| train | LOW VOLATILITY | 745 | 20.3% | 0.72 | 69% |
| train | MEDIUM VOLATILITY | 568 | -19.7% | -0.51 | 74% |
| train | NORMAL | 1,601 | -7.5% | -0.20 | 67% |
| train | SIDEWAYS | 592 | 36.0% | 0.88 | 67% |
| train | UPTREND | 902 | 44.9% | 1.11 | 64% |
| validation | DOWNTREND | 125 | -37.3% | -0.89 | 33% |
| validation | EXPENSIVE | 138 | -6.3% | -0.09 | 72% |
| validation | EXTREME | 144 | 184.5% | 2.47 | 58% |
| validation | HIGH VOLATILITY | 258 | 38.8% | 0.45 | 64% |
| validation | LOW VOLATILITY | 183 | 48.3% | 1.60 | 72% |
| validation | MEDIUM VOLATILITY | 315 | 34.2% | 0.70 | 59% |
| validation | NORMAL | 474 | 8.3% | 0.16 | 63% |
| validation | SIDEWAYS | 206 | -5.5% | -0.10 | 73% |
| validation | UPTREND | 425 | 83.4% | 1.24 | 68% |
Trades (full period)
latest 100 of 440
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | 2026-08-24 | $415.88 | $348.95 | -16.91% | 59 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-18 | 2026-05-22 | $409.99 | $426.01 | -1.24% | 5 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-29 | 2026-05-05 | $459.64 | $389.37 | -17.57% | 88 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-10 | 2025-12-15 | $413.49 | $475.31 | 5.16% | 46 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-02 | 2025-09-15 | $329.36 | $410.04 | 18.35% | 10 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -1.23% | 2 | |
| 2025-08-14 | 2025-08-27 | $335.58 | $349.60 | 3.41% | 10 | |
| 2025-06-10 | 2025-08-13 | $326.09 | $339.38 | 10.24% | 45 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-04-30 | 2025-05-06 | $282.16 | $275.35 | -4.23% | 5 | |
| 2025-01-07 | 2025-04-10 | $394.36 | $252.40 | -33.91% | 65 | |
| 2025-01-02 | 2025-01-06 | $379.28 | $411.05 | 1.42% | 3 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 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 | |
| 2024-10-09 | 2024-10-28 | $241.05 | $262.51 | 9.88% | 14 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2023-12-12 | 2024-04-30 | $237.01 | $183.28 | -19.22% | 96 | |
| 2023-12-04 | 2023-12-11 | $235.58 | $239.74 | 1.89% | 6 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-09-21 | 2023-11-20 | $255.70 | $235.60 | -10.95% | 43 | |
| 2023-09-19 | 2023-09-20 | $266.50 | $262.59 | 0.26% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-09-13 | 2023-09-14 | $271.30 | $276.04 | 1.23% | 2 | |
| 2023-08-01 | 2023-09-12 | $261.07 | $267.48 | 2.09% | 30 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-04-20 | 2022-06-24 | $325.73 | $245.71 | -31.55% | 46 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -5.03% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-04-01 | 2022-04-04 | $361.53 | $381.82 | 0.45% | 2 | |
| 2022-03-30 | 2022-03-31 | $364.66 | $359.20 | -0.71% | 2 | |
| 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 | |
| 2022-01-21 | 2022-03-23 | $314.63 | $333.04 | -0.43% | 43 | |
| 2022-01-19 | 2022-01-20 | $331.88 | $332.09 | -3.58% | 2 | |
| 2022-01-13 | 2022-01-18 | $343.85 | $343.50 | -5.31% | 3 | |
| 2022-01-05 | 2022-01-12 | $362.71 | $368.74 | -7.60% | 6 | |
| 2021-11-24 | 2022-01-04 | $372.00 | $383.20 | 7.97% | 28 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 4.14% | 2 | |
| 2021-11-08 | 2021-11-09 | $387.65 | $341.17 | -5.04% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 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 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 3.05% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 |