Strategy Zoo / S0064
LongTermTrend_V0064
ARCHIVEDhybridstructuraladded entry filter: ret_5d < 0.0403; restricted to trend regimes ['DOWNTREND']
Fitness
0.3360
Generation
3
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0008 OR MACDMomentum_V0005
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0064 [hybrid]
require regime.trend in ['DOWNTREND']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or (macd_hist > 0.0 and close > sma_50)) and ret_5d < 0.0403):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.8% | 7.2% | -0.3% | 4.5% |
| Total Return | 57.2% | 23.3% | -1.3% | 91.5% |
| Sharpe | 0.68 | 0.91 | -0.01 | 0.57 |
| Sortino | 0.22 | 0.26 | -0.00 | 0.20 |
| Calmar | 0.53 | 1.47 | -0.04 | 0.41 |
| Volatility | 8.9% | 8.0% | 7.3% | 8.3% |
| Max DD | -11.0% | -4.9% | -9.4% | -11.0% |
| Win Rate | 60.0% | 100.0% | 40.0% | 57.1% |
| Avg Win | 9.3% | 23.3% | 4.4% | 9.6% |
| Avg Loss | -5.5% | 0.0% | -2.9% | -4.6% |
| Payoff | 1.70 | 5.00 | 1.49 | 2.09 |
| Expectancy | 3.4% | 23.3% | -0.0% | 3.5% |
| Profit Factor | 2.55 | 5.00 | 1.00 | 2.78 |
| Trades | 15 | 1 | 5 | 21 |
| Avg Holding Days | 5.5 | 11.0 | 7.2 | 6.2 |
| Turnover | 3.8 | 0.7 | 3.0 | 2.9 |
| Exposure | 3.4% | 1.3% | 3.4% | 3.0% |
Growth of $100
LongTermTrend_V0064 vs TSLA Buy & Hold
LongTermTrend_V0064 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 | 26.1% | 2.97 | -0.8% | 3 |
| 2017 | -2.6% | -1.04 | -2.6% | 1 |
| 2018 | 6.1% | 0.57 | -7.5% | 2 |
| 2019 | 15.3% | 1.80 | -2.1% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 23.4% | 1.59 | -4.9% | 1 |
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 | -4.9% | -0.40 | 10% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -3.4% | -0.28 | 7% |
| hidden test | LOW VOLATILITY | 429 | 1.3% | 0.38 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | 0.9% | 0.17 | 3% |
| hidden test | NORMAL | 800 | -0.1% | -0.01 | 4% |
| hidden test | SIDEWAYS | 293 | 4.2% | 0.76 | 1% |
| hidden test | UPTREND | 371 | 0.0% | 0.00 | 0% |
| train | DOWNTREND | 518 | 5.2% | 0.37 | 11% |
| train | EXPENSIVE | 311 | 0.0% | 0.00 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.3% | 0.35 | 2% |
| train | LOW VOLATILITY | 745 | 9.6% | 1.06 | 4% |
| train | MEDIUM VOLATILITY | 568 | 4.8% | 0.60 | 4% |
| train | NORMAL | 1,601 | 7.6% | 0.77 | 4% |
| train | SIDEWAYS | 592 | 16.1% | 1.67 | 2% |
| train | UPTREND | 902 | -0.0% | -0.53 | 0% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.1% | 1.17 | 1% |
| validation | MEDIUM VOLATILITY | 315 | 16.9% | 1.37 | 3% |
| validation | NORMAL | 474 | 11.6% | 1.16 | 2% |
| validation | SIDEWAYS | 206 | -0.1% | -0.58 | 0% |
| validation | UPTREND | 425 | 0.0% | 0.00 | 0% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.40 | — | -0.86% | 1 | OPEN |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.93% | 7 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2024-05-07 | 2024-05-29 | $177.81 | $176.19 | -4.53% | 16 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.31% | 15 | |
| 2018-06-06 | 2018-06-12 | $21.30 | $22.85 | 13.85% | 5 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2017-12-26 | 2017-12-27 | $21.15 | $20.78 | -2.63% | 2 | |
| 2016-12-15 | 2016-12-28 | $13.17 | $14.65 | 10.27% | 9 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-14 | 2016-03-21 | $14.34 | $15.89 | 11.94% | 6 | |
| 2015-12-18 | 2015-12-29 | $15.36 | $15.81 | -2.10% | 7 | |
| 2015-12-04 | 2015-12-14 | $15.36 | $14.57 | -6.93% | 7 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-04-21 | 2015-04-28 | $13.96 | $15.37 | 12.58% | 6 | |
| 2015-02-10 | 2015-02-18 | $14.42 | $13.63 | -6.23% | 6 | |
| 2012-11-02 | 2012-11-06 | $1.93 | $2.08 | 7.48% | 3 | |
| 2012-09-24 | 2012-09-26 | $2.04 | $1.84 | -8.04% | 3 | |
| 2012-09-17 | 2012-09-18 | $2.17 | $2.09 | 6.87% | 2 |