Strategy Zoo / S0069

LongTermTrend_V0069

ARCHIVEDtrend_following

structuralswapped indicator sma_200_slope -> dist_sma_50; replaced exit rule with: sma_10 > close

Fitness

0.3868

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0033S0033 · gen 1ARCHIVEDstructural

added entry filter: roc_20 > 1.7469; replaced exit rule with: breakout_20 == 1

Children (1)

LongTermTrend_V0094S0094 · gen 4REJECTEDstructural

Strategy Logic (pseudocode)

# LongTermTrend_V0069  [trend_following]
if flat and (close > sma_200 and dist_sma_50 > 0.2552 and roc_20 > 1.7469):
    position = 1.0
if long and sma_10 > close:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	10.0%	35.6%	10.2%	15.1%
Total Return	113.4%	149.4%	43.2%	684.9%
Sharpe	0.61	0.97	0.63	0.70
Sortino	0.30	0.64	0.29	0.35
Calmar	0.31	0.78	0.63	0.33
Volatility	18.3%	39.4%	17.9%	24.1%
Max DD	-32.4%	-45.8%	-16.3%	-45.8%
Win Rate	61.5%	40.0%	75.0%	57.5%
Avg Win	15.9%	34.4%	5.6%	16.9%
Avg Loss	-4.9%	-7.6%	-3.7%	-6.1%
Payoff	3.22	4.53	1.50	2.76
Expectancy	7.9%	9.2%	3.3%	7.1%
Profit Factor	5.15	3.02	4.49	3.73
Trades	13	15	12	40
Avg Holding Days	10.2	12.1	8.6	10.6
Turnover	3.4	10.0	6.5	5.5
Exposure	6.2%	22.0%	9.8%	10.4%

Growth of $100

LongTermTrend_V0069 vs TSLA Buy & Hold

LongTermTrend_V0069 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	2.6%	0.38	-6.6%	1
2017	0.0%	0.00	0.0%	0
2018	0.0%	0.00	0.0%	0
2019	10.6%	0.78	-8.5%	1
2020	147.3%	1.75	-45.8%	11
2021	13.9%	0.67	-16.9%	2
2022	-14.8%	-1.70	-14.8%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-10.4%	-0.42	31%
hidden test	EXTREME	48	181.2%	3.58	50%
hidden test	HIGH VOLATILITY	254	4.4%	0.20	13%
hidden test	LOW VOLATILITY	429	25.9%	2.15	8%
hidden test	MEDIUM VOLATILITY	248	-6.8%	-0.33	10%
hidden test	NORMAL	800	3.4%	0.27	5%
hidden test	SIDEWAYS	293	2.5%	0.52	2%
hidden test	UPTREND	371	26.5%	0.94	23%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-11.2%	-0.51	9%
train	EXTREME	100	222.6%	3.31	66%
train	HIGH VOLATILITY	699	18.3%	0.64	12%
train	LOW VOLATILITY	745	-0.5%	-0.10	2%
train	MEDIUM VOLATILITY	568	17.5%	1.40	5%
train	NORMAL	1,601	2.2%	0.37	2%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	24.7%	0.90	14%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	14.0%	0.29	40%
validation	EXTREME	144	212.7%	2.95	67%
validation	HIGH VOLATILITY	258	35.8%	0.63	27%
validation	LOW VOLATILITY	183	21.5%	1.65	7%
validation	MEDIUM VOLATILITY	315	50.1%	1.60	27%
validation	NORMAL	474	-7.6%	-0.54	3%
validation	SIDEWAYS	206	-12.6%	-1.61	2%
validation	UPTREND	425	74.2%	1.42	38%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2025-10-03	$425.86	$429.83	3.21%	13
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-05-14	2025-05-27	$347.68	$362.89	1.38%	9
2024-12-24	2024-12-30	$462.28	$417.41	0.05%	4
2024-12-02	2024-12-23	$357.09	$430.60	21.75%	16
2024-11-11	2024-11-29	$350.00	$345.16	3.43%	14
2024-07-23	2024-07-24	$246.38	$215.99	-2.24%	2
2024-07-19	2024-07-22	$239.20	$251.51	-4.22%	2
2024-07-03	2024-07-18	$246.39	$249.23	7.25%	11
2023-06-30	2023-07-21	$261.77	$260.02	1.89%	15
2023-06-28	2023-06-29	$256.24	$257.50	2.21%	2
2023-06-09	2023-06-26	$244.40	$241.05	9.04%	11
2022-08-04	2022-08-08	$308.63	$290.42	-6.44%	3
2022-04-05	2022-04-07	$363.75	$352.42	-8.89%	3
2021-10-26	2021-11-10	$339.48	$355.98	-0.33%	12
2020-11-25	2021-01-29	$191.33	$264.51	50.13%	44
2020-09-16	2020-09-24	$147.25	$129.26	-15.60%	7
2020-09-08	2020-09-09	$110.07	$122.09	-21.24%	2
2020-08-14	2020-09-04	$110.05	$139.44	25.29%	16
2020-08-04	2020-08-05	$99.13	$99.00	-0.07%	2
2020-07-30	2020-07-31	$99.17	$95.38	-0.97%	2
2020-07-27	2020-07-29	$102.64	$99.94	4.00%	3
2020-07-02	2020-07-24	$80.58	$94.47	34.88%	16
2020-06-02	2020-06-25	$58.77	$65.73	6.77%	18
2020-05-11	2020-05-29	$54.09	$55.67	-1.86%	14
2020-02-27	2020-02-28	$45.27	$44.53	-13.00%	2
2019-12-24	2020-02-26	$28.35	$51.92	90.43%	43
2019-10-25	2019-11-25	$21.88	$22.42	10.92%	22
2016-04-05	2016-04-19	$17.03	$16.49	2.59%	11
2014-03-11	2014-03-12	$15.63	$16.10	-2.05%	2
2014-02-21	2014-03-10	$13.97	$15.92	17.02%	12
2014-01-24	2014-02-04	$11.64	$11.92	-2.62%	8
2013-08-26	2013-09-09	$10.95	$10.71	2.97%	10
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
2013-08-06	2013-08-08	$9.48	$10.23	-7.41%	3
2013-06-25	2013-07-17	$6.83	$8.02	7.24%	16
2013-06-13	2013-06-24	$6.55	$6.77	1.66%	8
2013-06-07	2013-06-12	$6.80	$6.52	-3.15%	4
2013-06-05	2013-06-06	$6.36	$6.49	0.36%	2
2013-04-23	2013-06-04	$3.40	$6.32	84.11%	30