Strategy Zoo / S0087
LongTermTrend_V0087
ARCHIVEDtrend_followingstructuraladded exit filter: sma_10 < sma_100; changed sma_200_slope threshold 0.0 -> -0.0023
Fitness
0.4503
Generation
4
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
added entry filter: rel_volume > 1.1075
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0087 [trend_following]
if flat and (close > sma_200 and sma_200_slope > -0.0023 and rel_volume > 1.1075):
position = 1.0
if long and (close < sma_200 or sma_10 < sma_100):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.0% | 61.2% | -4.3% | 15.6% |
| Total Return | 129.9% | 319.1% | -14.9% | 744.1% |
| Sharpe | 0.47 | 1.11 | 0.08 | 0.56 |
| Sortino | 0.49 | 1.22 | 0.08 | 0.58 |
| Calmar | 0.18 | 1.01 | -0.08 | 0.25 |
| Volatility | 34.5% | 59.0% | 38.6% | 41.6% |
| Max DD | -62.5% | -60.8% | -55.3% | -62.5% |
| Win Rate | 30.5% | 52.6% | 29.6% | 35.2% |
| Avg Win | 23.7% | 43.8% | 10.7% | 26.2% |
| Avg Loss | -4.3% | -6.2% | -4.7% | -4.5% |
| Payoff | 5.47 | 7.02 | 2.30 | 5.83 |
| Expectancy | 4.2% | 20.1% | -0.1% | 6.3% |
| Profit Factor | 2.40 | 7.80 | 0.97 | 3.17 |
| Trades | 59 | 19 | 27 | 105 |
| Avg Holding Days | 16.4 | 25.6 | 16.1 | 18.4 |
| Turnover | 14.9 | 12.7 | 14.6 | 14.3 |
| Exposure | 47.4% | 61.8% | 43.8% | 49.5% |
Growth of $100
LongTermTrend_V0087 vs TSLA Buy & Hold
LongTermTrend_V0087 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 | -15.7% | -1.19 | -26.9% | 4 |
| 2017 | 60.8% | 1.63 | -19.5% | 7 |
| 2018 | -45.6% | -2.05 | -50.7% | 13 |
| 2019 | 26.3% | 1.31 | -9.5% | 2 |
| 2020 | 414.5% | 2.38 | -60.8% | 4 |
| 2021 | 21.0% | 0.63 | -37.0% | 8 |
| 2022 | -43.3% | -2.17 | -43.1% | 7 |
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 | -9.3% | -1.53 | 1% |
| hidden test | EXPENSIVE | 83 | 138.5% | 1.99 | 95% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 27.8% | 0.55 | 39% |
| hidden test | LOW VOLATILITY | 429 | -0.0% | -0.00 | 42% |
| hidden test | MEDIUM VOLATILITY | 248 | -17.3% | -0.42 | 51% |
| hidden test | NORMAL | 800 | -22.0% | -0.70 | 35% |
| hidden test | SIDEWAYS | 293 | -41.0% | -1.38 | 32% |
| hidden test | UPTREND | 371 | 46.5% | 0.85 | 84% |
| train | DOWNTREND | 518 | -10.9% | -1.32 | 1% |
| train | EXPENSIVE | 311 | 54.7% | 1.17 | 91% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 26.5% | 0.62 | 39% |
| train | LOW VOLATILITY | 745 | 29.2% | 1.19 | 54% |
| train | MEDIUM VOLATILITY | 568 | -13.1% | -0.38 | 49% |
| train | NORMAL | 1,601 | -16.1% | -0.61 | 36% |
| train | SIDEWAYS | 592 | -36.2% | -1.49 | 21% |
| train | UPTREND | 902 | 66.4% | 1.41 | 91% |
| validation | DOWNTREND | 125 | -0.2% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 40.6% | 0.57 | 91% |
| validation | EXTREME | 144 | 360.0% | 4.10 | 99% |
| validation | HIGH VOLATILITY | 258 | 89.6% | 1.09 | 65% |
| validation | LOW VOLATILITY | 183 | 36.4% | 1.25 | 66% |
| validation | MEDIUM VOLATILITY | 315 | 62.0% | 1.29 | 57% |
| validation | NORMAL | 474 | -17.1% | -0.42 | 42% |
| validation | SIDEWAYS | 206 | -58.2% | -1.50 | 32% |
| validation | UPTREND | 425 | 144.3% | 1.96 | 95% |
Trades (full period)
latest 100 of 105
| 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 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2025-09-04 | 2026-01-30 | $338.53 | $430.41 | 24.44% | 103 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -4.65% | 8 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-05-21 | 2025-06-06 | $334.62 | $295.14 | -17.36% | 12 | |
| 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 | |
| 2025-03-26 | 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 | |
| 2024-09-05 | 2025-02-26 | $230.17 | $290.80 | 37.74% | 119 | |
| 2024-07-02 | 2024-08-06 | $231.26 | $200.64 | -5.41% | 25 | |
| 2023-12-18 | 2024-01-12 | $252.08 | $218.89 | -10.55% | 18 | |
| 2023-12-14 | 2023-12-15 | $251.05 | $253.50 | 4.71% | 2 | |
| 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 | |
| 2023-06-14 | 2023-10-20 | $256.79 | $211.99 | -15.09% | 90 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-04-07 | 2022-04-27 | $352.42 | $293.84 | -16.36% | 14 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 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 | |
| 2021-07-30 | 2022-01-31 | $229.07 | $312.24 | 24.70% | 128 | |
| 2021-07-06 | 2021-07-28 | $219.86 | $215.66 | -5.22% | 17 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 2.31% | 2 | |
| 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 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.41% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2020-04-14 | 2021-03-26 | $47.33 | $206.24 | 390.95% | 241 | |
| 2020-04-06 | 2020-04-07 | $34.42 | $36.36 | 7.34% | 2 | |
| 2020-03-25 | 2020-03-26 | $35.95 | $35.21 | 6.58% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2019-10-25 | 2020-03-19 | $21.88 | $28.51 | 20.30% | 100 | |
| 2019-10-15 | 2019-10-22 | $17.19 | $17.04 | -1.54% | 6 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-12-27 | 2019-01-03 | $21.08 | $20.02 | -5.09% | 5 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -17.77% | 15 | |
| 2018-10-30 | 2018-10-31 | $21.99 | $22.49 | -1.68% | 2 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -4.59% | 6 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-26 | 2018-02-06 | $22.86 | $22.26 | -1.53% | 8 | |
| 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 | |
| 2017-10-10 | 2017-10-11 | $23.71 | $23.64 | 3.49% | 2 | |
| 2017-01-04 | 2017-10-06 | $15.13 | $23.79 | 63.43% | 192 | |
| 2016-12-28 | 2017-01-03 | $14.65 | $14.47 | -2.85% | 4 | |
| 2016-08-24 | 2016-08-25 | $14.84 | $14.73 | -1.19% | 2 | |
| 2016-08-05 | 2016-08-18 | $15.34 | $14.90 | -3.39% | 10 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-04-01 | 2016-05-05 | $15.84 | $14.10 | -3.33% | 25 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-10-07 | 2015-10-08 | $15.46 | $15.11 | -4.13% | 2 | |
| 2015-09-22 | 2015-10-05 | $17.40 | $16.41 | -6.48% | 10 | |
| 2015-08-28 | 2015-08-31 | $16.57 | $16.60 | 2.06% | 2 | |
| 2015-05-06 | 2015-08-24 | $15.36 | $14.59 | -1.13% | 77 | |
| 2015-04-28 | 2015-05-01 | $15.37 | $15.07 | -2.57% | 4 | |
| 2014-11-20 | 2014-12-02 | $16.58 | $15.43 | -6.69% | 8 | |
| 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 | |
| 2014-06-17 | 2014-10-21 | $15.44 | $15.69 | 2.41% | 89 | |
| 2014-06-13 | 2014-06-16 | $13.76 | $14.97 | 1.22% | 2 | |
| 2014-01-22 | 2014-05-15 | $11.90 | $12.57 | 7.68% | 80 | |
| 2014-01-17 | 2014-01-21 | $11.33 | $11.78 | -0.76% | 2 | |
| 2014-01-15 | 2014-01-16 | $10.94 | $11.40 | 1.57% | 2 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.59% | 2 | |
| 2013-12-04 | 2013-12-05 | $9.26 | $9.37 | -4.17% | 2 | |
| 2013-11-19 | 2013-11-20 | $8.41 | $8.07 | 3.51% | 2 | |
| 2012-11-20 | 2013-11-14 | $2.20 | $9.17 | 320.48% | 249 | |
| 2012-11-08 | 2012-11-09 | $2.09 | $2.02 | -0.93% | 2 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -1.31% | 2 | |
| 2012-09-18 | 2012-09-19 | $2.09 | $2.07 | -3.88% | 2 | |
| 2012-07-19 | 2012-07-24 | $2.15 | $1.99 | -4.82% | 4 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-06-27 | 2012-06-28 | $2.13 | $2.09 | 0.91% | 2 | |
| 2012-06-25 | 2012-06-26 | $2.21 | $2.11 | -2.21% | 2 |