Strategy Zoo / S0076
LongTermTrend_V0076
ARCHIVEDtrend_followingstructuralswapped indicator sma_200_slope -> sma_50_slope; changed sma_50_slope threshold 0.008 -> 0.0042
Fitness
0.3706
Generation
3
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: close > sma_200; added exit filter: dist_sma_200 < 0.1009
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0076 [trend_following]
if flat and sma_50_slope > 0.0042:
position = 1.0
if long and (close < sma_200 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.4% | 35.9% | -12.8% | 9.8% |
| Total Return | 154.8% | 150.9% | -39.8% | 296.4% |
| Sharpe | 0.55 | 0.83 | -0.33 | 0.44 |
| Sortino | 0.44 | 0.85 | -0.27 | 0.37 |
| Calmar | 0.24 | 0.59 | -0.24 | 0.15 |
| Volatility | 28.6% | 56.1% | 28.7% | 36.0% |
| Max DD | -51.2% | -61.3% | -53.6% | -67.7% |
| Win Rate | 26.9% | 50.0% | 36.4% | 37.7% |
| Avg Win | 25.8% | 33.1% | 3.2% | 18.3% |
| Avg Loss | -2.9% | -5.9% | -4.0% | -3.7% |
| Payoff | 8.81 | 5.64 | 0.79 | 4.98 |
| Expectancy | 4.8% | 13.6% | -1.4% | 4.6% |
| Profit Factor | 3.25 | 5.64 | 0.45 | 3.01 |
| Trades | 26 | 18 | 33 | 77 |
| Avg Holding Days | 21.6 | 21.7 | 8.9 | 16.8 |
| Turnover | 6.6 | 12.0 | 17.9 | 10.5 |
| Exposure | 28.7% | 49.3% | 28.1% | 32.8% |
Growth of $100
LongTermTrend_V0076 vs TSLA Buy & Hold
LongTermTrend_V0076 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 | -7.0% | -1.10 | -10.2% | 8 |
| 2017 | 38.5% | 1.20 | -19.5% | 1 |
| 2018 | -20.8% | -2.09 | -20.7% | 6 |
| 2019 | 32.2% | 2.06 | -8.5% | 0 |
| 2020 | 258.8% | 2.00 | -61.3% | 1 |
| 2021 | -11.4% | -0.01 | -37.6% | 1 |
| 2022 | -33.4% | -1.88 | -34.8% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -43.7% | -0.94 | 76% |
| hidden test | EXTREME | 48 | 184.5% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -15.0% | -0.45 | 26% |
| hidden test | LOW VOLATILITY | 429 | 3.8% | 0.19 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.1% | -0.75 | 38% |
| hidden test | NORMAL | 800 | -17.7% | -0.79 | 19% |
| hidden test | SIDEWAYS | 293 | -7.0% | -0.40 | 11% |
| hidden test | UPTREND | 371 | -18.5% | -0.43 | 62% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 32.4% | 0.72 | 82% |
| train | EXTREME | 100 | 389.1% | 5.28 | 95% |
| train | HIGH VOLATILITY | 699 | 28.1% | 0.77 | 28% |
| train | LOW VOLATILITY | 745 | 14.3% | 0.79 | 25% |
| train | MEDIUM VOLATILITY | 568 | 2.5% | 0.09 | 34% |
| train | NORMAL | 1,601 | -10.8% | -0.67 | 14% |
| train | SIDEWAYS | 592 | -10.3% | -0.74 | 5% |
| train | UPTREND | 902 | 41.9% | 1.02 | 61% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 15.4% | 0.22 | 90% |
| validation | EXTREME | 144 | 314.7% | 3.82 | 78% |
| validation | HIGH VOLATILITY | 258 | 57.3% | 0.73 | 55% |
| validation | LOW VOLATILITY | 183 | -7.8% | -0.35 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 69.1% | 1.47 | 59% |
| validation | NORMAL | 474 | -26.0% | -0.68 | 29% |
| validation | SIDEWAYS | 206 | -49.8% | -1.39 | 30% |
| validation | UPTREND | 425 | 106.7% | 1.52 | 73% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-19 | 2026-02-05 | $426.07 | $397.21 | -2.79% | 96 | |
| 2025-07-09 | 2025-07-10 | $295.88 | $309.87 | -0.85% | 2 | |
| 2025-07-07 | 2025-07-08 | $293.94 | $297.81 | -6.98% | 2 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-06-30 | 2025-07-01 | $317.66 | $300.71 | -2.04% | 2 | |
| 2025-06-26 | 2025-06-27 | $325.78 | $323.63 | -0.74% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -2.44% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 3.46% | 2 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | -0.96% | 10 | |
| 2024-11-11 | 2025-02-26 | $350.00 | $290.80 | -5.92% | 72 | |
| 2024-08-05 | 2024-08-06 | $198.88 | $200.64 | -4.43% | 2 | |
| 2024-08-01 | 2024-08-02 | $216.86 | $207.67 | -6.75% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-05 | 2024-07-25 | $251.52 | $220.25 | -12.51% | 15 | |
| 2023-06-15 | 2023-08-21 | $255.90 | $231.28 | -16.25% | 46 | |
| 2023-04-13 | 2023-04-14 | $185.90 | $185.00 | 2.77% | 2 | |
| 2023-04-11 | 2023-04-12 | $186.79 | $180.54 | 1.03% | 2 | |
| 2023-04-06 | 2023-04-10 | $185.06 | $184.51 | -0.45% | 2 | |
| 2023-04-04 | 2023-04-05 | $192.58 | $185.52 | -1.32% | 2 | |
| 2023-03-31 | 2023-04-03 | $207.46 | $194.77 | 6.03% | 2 | |
| 2023-03-29 | 2023-03-30 | $193.88 | $195.28 | 2.28% | 2 | |
| 2023-03-27 | 2023-03-28 | $191.81 | $189.19 | 0.53% | 2 | |
| 2023-03-23 | 2023-03-24 | $192.22 | $190.41 | 0.36% | 2 | |
| 2023-03-21 | 2023-03-22 | $197.58 | $191.15 | 7.61% | 2 | |
| 2023-03-17 | 2023-03-20 | $180.13 | $183.25 | -2.37% | 2 | |
| 2023-03-15 | 2023-03-16 | $180.45 | $184.13 | -1.73% | 2 | |
| 2023-03-13 | 2023-03-14 | $174.48 | $183.26 | 0.40% | 2 | |
| 2023-03-09 | 2023-03-10 | $172.92 | $173.44 | -5.18% | 2 | |
| 2023-03-07 | 2023-03-08 | $187.71 | $182.00 | -3.34% | 2 | |
| 2023-03-03 | 2023-03-06 | $197.79 | $193.81 | 3.41% | 2 | |
| 2022-09-27 | 2022-09-28 | $282.94 | $287.81 | 2.31% | 2 | |
| 2022-09-23 | 2022-09-26 | $275.33 | $276.01 | -4.79% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.68% | 2 | |
| 2022-09-06 | 2022-09-07 | $274.42 | $283.70 | 1.36% | 2 | |
| 2022-09-01 | 2022-09-02 | $277.16 | $270.21 | 0.36% | 2 | |
| 2022-08-30 | 2022-08-31 | $277.70 | $275.61 | -2.70% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2021-10-26 | 2022-01-28 | $339.48 | $282.12 | -19.26% | 66 | |
| 2020-05-27 | 2021-05-11 | $54.68 | $205.73 | 283.32% | 242 | |
| 2019-10-30 | 2020-03-19 | $21.00 | $28.51 | 14.00% | 97 | |
| 2018-12-24 | 2018-12-26 | $19.69 | $21.74 | -7.82% | 2 | |
| 2018-12-20 | 2018-12-21 | $21.03 | $21.32 | -5.48% | 2 | |
| 2018-12-18 | 2018-12-19 | $22.47 | $22.20 | -3.47% | 2 | |
| 2018-08-16 | 2018-08-17 | $22.36 | $20.37 | -1.16% | 2 | |
| 2018-06-25 | 2018-06-26 | $22.20 | $22.80 | -0.39% | 2 | |
| 2018-06-21 | 2018-06-22 | $23.17 | $22.24 | -4.26% | 2 | |
| 2017-01-24 | 2017-10-23 | $16.97 | $22.47 | 38.36% | 190 | |
| 2016-05-10 | 2016-05-11 | $13.91 | $13.93 | -0.31% | 2 | |
| 2016-05-06 | 2016-05-09 | $14.33 | $13.93 | 1.41% | 2 | |
| 2016-05-04 | 2016-05-05 | $14.84 | $14.10 | -4.40% | 2 | |
| 2016-05-02 | 2016-05-03 | $16.12 | $15.49 | 0.23% | 2 | |
| 2016-04-25 | 2016-04-29 | $16.79 | $16.05 | -2.58% | 5 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.87% | 2 | |
| 2016-04-13 | 2016-04-20 | $16.97 | $16.66 | -0.38% | 6 | |
| 2016-04-11 | 2016-04-12 | $16.66 | $16.52 | -0.26% | 2 | |
| 2015-06-17 | 2015-08-07 | $17.36 | $16.17 | -2.95% | 37 | |
| 2015-06-08 | 2015-06-16 | $17.09 | $16.87 | 0.30% | 7 | |
| 2015-06-04 | 2015-06-05 | $16.39 | $16.61 | -1.43% | 2 | |
| 2015-06-02 | 2015-06-03 | $16.56 | $16.60 | -0.64% | 2 | |
| 2015-05-28 | 2015-06-01 | $16.76 | $16.63 | 1.16% | 3 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.31% | 2 | |
| 2015-05-21 | 2015-05-22 | $16.37 | $16.52 | 0.32% | 2 | |
| 2014-08-19 | 2014-10-13 | $17.12 | $14.97 | -9.04% | 39 | |
| 2014-02-03 | 2014-05-09 | $11.81 | $12.15 | -1.75% | 68 | |
| 2013-04-25 | 2013-11-27 | $3.47 | $8.46 | 138.47% | 152 | |
| 2012-03-16 | 2012-04-17 | $2.35 | $2.15 | -8.04% | 22 |