Strategy Zoo / S0098
LongTermTrend_V0098
ARCHIVEDtrend_followingstructuralreduce exposure to 40% during EXTREME
Fitness
0.4547
Generation
4
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
added entry filter: rel_volume > 1.1075
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0098 [trend_following]
if flat and (close > sma_200 and sma_200_slope > 0.0 and rel_volume > 1.1075):
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.4% | 69.9% | -5.7% | 15.0% |
| Total Return | 90.6% | 390.4% | -19.4% | 676.1% |
| Sharpe | 0.41 | 1.30 | -0.05 | 0.57 |
| Sortino | 0.42 | 1.65 | -0.05 | 0.60 |
| Calmar | 0.15 | 1.50 | -0.12 | 0.26 |
| Volatility | 31.9% | 50.7% | 29.1% | 36.0% |
| Max DD | -57.4% | -46.7% | -46.2% | -57.4% |
| Win Rate | 9.1% | 33.3% | 25.0% | 20.0% |
| Avg Win | 169.6% | 224.2% | 6.5% | 102.0% |
| Avg Loss | -6.2% | -6.2% | -4.3% | -5.4% |
| Payoff | 10.00 | 10.00 | 1.51 | 10.00 |
| Expectancy | 9.8% | 70.6% | -1.6% | 16.1% |
| Profit Factor | 2.72 | 10.00 | 0.50 | 4.73 |
| Trades | 22 | 6 | 12 | 40 |
| Avg Holding Days | 45.3 | 90.7 | 30.3 | 48.3 |
| Turnover | 6.7 | 7.6 | 8.1 | 7.2 |
| Exposure | 46.7% | 59.7% | 34.6% | 46.4% |
Growth of $100
LongTermTrend_V0098 vs TSLA Buy & Hold
LongTermTrend_V0098 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 | -7.1% | -2.11 | -7.1% | 1 |
| 2017 | 39.3% | 1.16 | -23.4% | 2 |
| 2018 | -32.1% | -1.95 | -38.6% | 5 |
| 2019 | 15.4% | 1.13 | -9.3% | 1 |
| 2020 | 420.6% | 3.06 | -46.7% | 1 |
| 2021 | 25.4% | 0.69 | -37.8% | 2 |
| 2022 | -36.7% | -1.23 | -36.5% | 3 |
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 | -17.9% | -2.16 | 2% |
| hidden test | EXPENSIVE | 83 | 61.9% | 1.23 | 87% |
| hidden test | EXTREME | 48 | 166.8% | 4.36 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 29.3% | 0.97 | 19% |
| hidden test | LOW VOLATILITY | 429 | 0.4% | 0.02 | 43% |
| hidden test | MEDIUM VOLATILITY | 248 | -36.7% | -1.12 | 37% |
| hidden test | NORMAL | 800 | -18.3% | -0.73 | 28% |
| hidden test | SIDEWAYS | 293 | -43.1% | -1.32 | 46% |
| hidden test | UPTREND | 371 | 42.9% | 1.22 | 49% |
| train | DOWNTREND | 518 | -11.9% | -1.43 | 1% |
| train | EXPENSIVE | 311 | 111.4% | 2.22 | 99% |
| train | EXTREME | 100 | 225.9% | 5.66 | 44% |
| train | HIGH VOLATILITY | 699 | 26.5% | 0.72 | 33% |
| train | LOW VOLATILITY | 745 | 25.3% | 1.01 | 55% |
| train | MEDIUM VOLATILITY | 568 | -19.2% | -0.58 | 52% |
| train | NORMAL | 1,601 | -19.2% | -0.74 | 37% |
| train | SIDEWAYS | 592 | -19.3% | -0.59 | 40% |
| train | UPTREND | 902 | 48.8% | 1.25 | 77% |
| validation | DOWNTREND | 125 | -15.2% | -2.08 | 2% |
| validation | EXPENSIVE | 138 | 163.5% | 2.46 | 95% |
| validation | EXTREME | 144 | 231.2% | 4.88 | 44% |
| validation | HIGH VOLATILITY | 258 | 104.0% | 1.66 | 48% |
| validation | LOW VOLATILITY | 183 | 29.2% | 1.07 | 65% |
| validation | MEDIUM VOLATILITY | 315 | 55.7% | 1.11 | 67% |
| validation | NORMAL | 474 | -12.9% | -0.28 | 54% |
| validation | SIDEWAYS | 206 | -36.0% | -0.75 | 58% |
| validation | UPTREND | 425 | 138.9% | 2.39 | 77% |
Trades (full period)
40 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-20 | $433.45 | $417.26 | -9.37% | 7 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-09-04 | 2026-03-16 | $338.53 | $395.56 | 16.86% | 133 | |
| 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 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2024-11-07 | 2025-03-05 | $296.91 | $279.10 | 1.13% | 79 | |
| 2023-11-14 | 2024-01-12 | $237.41 | $218.89 | 1.37% | 41 | |
| 2023-08-18 | 2023-10-23 | $215.49 | $212.08 | -3.49% | 46 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2021-07-30 | 2022-02-23 | $229.07 | $254.68 | 21.05% | 144 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -1.99% | 24 | |
| 2020-03-20 | 2021-05-14 | $28.50 | $196.58 | 427.43% | 291 | |
| 2019-11-25 | 2020-03-19 | $22.42 | $28.51 | 9.05% | 79 | |
| 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 | |
| 2018-03-13 | 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 | |
| 2018-01-09 | 2018-02-06 | $22.25 | $22.26 | -1.17% | 20 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-01-04 | 2017-11-03 | $15.13 | $20.41 | 41.00% | 212 | |
| 2016-12-28 | 2017-01-03 | $14.65 | $14.47 | -2.85% | 4 | |
| 2016-08-24 | 2016-08-30 | $14.84 | $14.09 | -4.48% | 5 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-08-28 | 2015-10-09 | $16.57 | $14.71 | -6.88% | 30 | |
| 2015-05-13 | 2015-08-25 | $16.21 | $14.67 | -10.75% | 73 | |
| 2014-10-29 | 2014-12-02 | $15.87 | $15.43 | -4.78% | 24 | |
| 2012-11-20 | 2014-10-28 | $2.20 | $16.18 | 298.25% | 488 | |
| 2012-11-06 | 2012-11-12 | $2.08 | $2.07 | -3.94% | 5 | |
| 2012-07-17 | 2012-07-24 | $2.22 | $1.99 | -14.92% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-05-23 | 2012-05-29 | $2.07 | $2.11 | -3.41% | 4 | |
| 2012-02-13 | 2012-05-16 | $2.10 | $1.95 | -5.56% | 66 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |