Strategy Zoo / S0083
LongTermTrend_V0083
ARCHIVEDtrend_followingcrossoverentry = LongTermTrend_V0029 AND LongTermTrend_V0046
Fitness
0.4932
Generation
4
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
removed entry condition: close > sma_200; added exit filter: dist_sma_200 < 0.1009
added entry filter: rel_volume > 1.1075
Children (2)
Strategy Logic (pseudocode)
# LongTermTrend_V0083 [trend_following]
if flat and (sma_200_slope > 0.0 and (close > sma_200 and sma_200_slope > 0.0 and rel_volume > 1.1075)):
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 | 11.8% | 74.0% | 1.9% | 19.8% |
| Total Return | 143.3% | 426.9% | 7.1% | 1313.0% |
| Sharpe | 0.50 | 1.21 | 0.20 | 0.65 |
| Sortino | 0.47 | 1.41 | 0.18 | 0.63 |
| Calmar | 0.22 | 1.22 | 0.04 | 0.33 |
| Volatility | 32.4% | 61.8% | 27.8% | 39.3% |
| Max DD | -52.4% | -60.7% | -44.3% | -60.7% |
| Win Rate | 39.7% | 45.0% | 44.4% | 42.6% |
| Avg Win | 11.9% | 72.6% | 3.7% | 21.0% |
| Avg Loss | -3.4% | -4.5% | -2.4% | -3.2% |
| Payoff | 3.50 | 10.00 | 1.55 | 6.64 |
| Expectancy | 2.7% | 30.2% | 0.3% | 7.1% |
| Profit Factor | 2.31 | 10.00 | 1.24 | 4.93 |
| Trades | 68 | 20 | 27 | 115 |
| Avg Holding Days | 11.2 | 24.4 | 10.5 | 13.6 |
| Turnover | 17.2 | 13.3 | 14.6 | 15.7 |
| Exposure | 35.7% | 61.8% | 27.6% | 39.0% |
Growth of $100
LongTermTrend_V0083 vs TSLA Buy & Hold
LongTermTrend_V0083 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 | -1.3% | -1.18 | -1.3% | 2 |
| 2017 | 27.9% | 0.92 | -19.5% | 8 |
| 2018 | -27.0% | -1.95 | -28.1% | 11 |
| 2019 | 15.4% | 1.13 | -9.3% | 1 |
| 2020 | 585.4% | 2.65 | -60.7% | 1 |
| 2021 | 4.5% | 0.34 | -36.6% | 13 |
| 2022 | -38.1% | -1.51 | -38.0% | 6 |
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 | -7.7% | -1.32 | 1% |
| hidden test | EXPENSIVE | 83 | 36.9% | 0.71 | 90% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 30.2% | 1.04 | 20% |
| hidden test | LOW VOLATILITY | 429 | 15.1% | 0.68 | 26% |
| hidden test | MEDIUM VOLATILITY | 248 | -35.8% | -1.04 | 38% |
| hidden test | NORMAL | 800 | -8.3% | -0.43 | 17% |
| hidden test | SIDEWAYS | 293 | -23.5% | -0.92 | 26% |
| hidden test | UPTREND | 371 | 38.5% | 1.03 | 49% |
| train | DOWNTREND | 518 | -8.4% | -1.12 | 1% |
| train | EXPENSIVE | 311 | 68.0% | 1.37 | 93% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 38.1% | 0.92 | 34% |
| train | LOW VOLATILITY | 745 | 15.3% | 0.72 | 34% |
| train | MEDIUM VOLATILITY | 568 | -9.3% | -0.30 | 39% |
| train | NORMAL | 1,601 | -18.7% | -0.88 | 21% |
| train | SIDEWAYS | 592 | -12.1% | -0.49 | 20% |
| train | UPTREND | 902 | 49.1% | 1.13 | 66% |
| validation | DOWNTREND | 125 | -0.2% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 137.1% | 1.58 | 72% |
| validation | LOW VOLATILITY | 183 | 13.7% | 0.57 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 58.6% | 1.14 | 67% |
| validation | NORMAL | 474 | -22.3% | -0.52 | 39% |
| validation | SIDEWAYS | 206 | -40.7% | -0.86 | 44% |
| validation | UPTREND | 425 | 152.3% | 2.02 | 88% |
Trades (full period)
latest 100 of 115
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.06% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 2.19% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2025-09-12 | 2026-02-05 | $395.94 | $397.21 | 9.87% | 101 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-05-14 | 2025-06-05 | $347.68 | $284.70 | -0.80% | 16 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-03-03 | 2025-03-04 | $284.65 | $272.04 | -3.04% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -3.24% | 2 | |
| 2024-11-07 | 2025-02-26 | $296.91 | $290.80 | 4.74% | 74 | |
| 2023-12-14 | 2023-12-21 | $251.05 | $254.50 | 3.08% | 6 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 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 | |
| 2023-08-22 | 2023-10-20 | $233.19 | $211.99 | -5.02% | 43 | |
| 2023-08-18 | 2023-08-21 | $215.49 | $231.28 | -1.90% | 2 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -13.29% | 4 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-01-31 | 2022-02-04 | $312.24 | $307.77 | 5.09% | 5 | |
| 2021-09-27 | 2022-01-28 | $263.79 | $282.12 | 6.85% | 87 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-07-30 | 2021-08-02 | $229.07 | $236.56 | 1.25% | 2 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 | |
| 2021-07-06 | 2021-07-07 | $219.86 | $214.88 | -3.04% | 2 | |
| 2021-06-28 | 2021-06-30 | $229.57 | $226.57 | 1.12% | 3 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-05-12 | 2021-05-13 | $196.63 | $190.56 | -4.62% | 2 | |
| 2020-03-20 | 2021-05-11 | $28.50 | $205.73 | 634.01% | 288 | |
| 2019-11-25 | 2020-03-19 | $22.42 | $28.51 | 8.25% | 79 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-12-31 | 2019-01-02 | $22.19 | $20.67 | -0.52% | 2 | |
| 2018-12-27 | 2018-12-28 | $21.08 | $22.26 | -3.25% | 2 | |
| 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 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -6.17% | 11 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.26% | 2 | |
| 2018-02-23 | 2018-02-26 | $23.47 | $23.83 | 1.50% | 2 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-26 | 2018-01-29 | $22.86 | $23.30 | 1.34% | 2 | |
| 2018-01-17 | 2018-01-18 | $23.14 | $22.97 | 1.89% | 2 | |
| 2018-01-12 | 2018-01-16 | $22.41 | $22.67 | -0.71% | 2 | |
| 2018-01-09 | 2018-01-10 | $22.25 | $22.32 | -1.01% | 2 | |
| 2017-12-20 | 2017-12-21 | $21.93 | $22.11 | -0.84% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 3.48% | 2 | |
| 2017-11-02 | 2017-11-03 | $19.95 | $20.41 | -6.99% | 2 | |
| 2017-10-30 | 2017-10-31 | $21.34 | $22.10 | -0.45% | 2 | |
| 2017-10-26 | 2017-10-27 | $21.74 | $21.39 | -0.10% | 2 | |
| 2017-02-10 | 2017-10-23 | $17.95 | $22.47 | 27.94% | 177 | |
| 2017-01-06 | 2017-01-09 | $15.27 | $15.42 | 0.80% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 4.40% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.10% | 2 | |
| 2016-08-24 | 2016-08-25 | $14.84 | $14.73 | -1.19% | 2 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.61% | 2 | |
| 2015-10-07 | 2015-10-08 | $15.46 | $15.11 | -4.13% | 2 | |
| 2015-10-05 | 2015-10-06 | $16.41 | $16.10 | -0.77% | 2 | |
| 2015-10-01 | 2015-10-02 | $15.99 | $16.50 | -3.63% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-08-28 | 2015-08-31 | $16.57 | $16.60 | 2.06% | 2 | |
| 2015-08-24 | 2015-08-25 | $14.59 | $14.67 | -5.35% | 2 | |
| 2015-08-18 | 2015-08-21 | $17.38 | $15.38 | -5.21% | 4 | |
| 2015-08-10 | 2015-08-11 | $16.08 | $15.82 | -0.76% | 2 | |
| 2015-07-20 | 2015-08-07 | $18.82 | $16.17 | -10.56% | 15 | |
| 2015-06-09 | 2015-06-16 | $17.07 | $16.87 | -2.50% | 6 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.84% | 2 | |
| 2014-11-24 | 2014-11-25 | $16.45 | $16.54 | 1.42% | 2 | |
| 2014-11-20 | 2014-11-21 | $16.58 | $16.19 | 0.19% | 2 | |
| 2014-11-12 | 2014-11-13 | $16.61 | $16.78 | -0.99% | 2 | |
| 2014-11-06 | 2014-11-07 | $16.08 | $16.01 | 4.23% | 2 | |
| 2014-10-29 | 2014-10-30 | $15.87 | $15.91 | -2.12% | 2 | |
| 2014-10-20 | 2014-10-21 | $15.36 | $15.69 | 1.11% | 2 | |
| 2014-10-16 | 2014-10-17 | $15.09 | $15.17 | -1.66% | 2 | |
| 2014-10-14 | 2014-10-15 | $15.14 | $15.31 | 0.90% | 2 | |
| 2014-06-13 | 2014-10-13 | $13.76 | $14.97 | 16.18% | 85 | |
| 2013-12-04 | 2014-05-09 | $9.26 | $12.15 | 23.17% | 108 | |
| 2013-03-26 | 2013-11-27 | $2.52 | $8.46 | 220.44% | 173 | |
| 2013-03-18 | 2013-03-19 | $2.34 | $2.34 | -0.60% | 2 | |
| 2013-02-27 | 2013-03-01 | $2.34 | $2.31 | 0.96% | 3 | |
| 2013-02-07 | 2013-02-26 | $2.63 | $2.30 | -12.40% | 13 | |
| 2012-12-19 | 2012-12-24 | $2.31 | $2.29 | -1.90% | 4 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -4.92% | 3 | |
| 2012-12-03 | 2012-12-05 | $2.31 | $2.25 | 0.04% | 3 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 1.18% | 2 |