Strategy Zoo / S0103
LongTermTrend_V0103
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0085 OR PriceMomentum_V0003
Fitness
0.5236
Generation
5
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
seed strategy
entry = LongTermTrend_V0021 OR PriceMomentum_V0003
Children (1)
Strategy Logic (pseudocode)
# LongTermTrend_V0103 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) or ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 115.0% | 4.9% | 23.0% |
| Total Return | 71.0% | 893.2% | 19.4% | 1988.6% |
| Sharpe | 0.37 | 1.56 | 0.33 | 0.68 |
| Sortino | 0.42 | 1.97 | 0.40 | 0.82 |
| Calmar | 0.09 | 2.22 | 0.09 | 0.29 |
| Volatility | 39.4% | 61.0% | 42.8% | 45.5% |
| Max DD | -79.1% | -51.8% | -56.6% | -79.1% |
| Win Rate | 41.3% | 45.0% | 37.9% | 41.2% |
| Avg Win | 8.0% | 16.2% | 7.2% | 10.8% |
| Avg Loss | -4.3% | -4.5% | -3.5% | -4.1% |
| Payoff | 1.87 | 3.56 | 2.05 | 2.63 |
| Expectancy | 0.8% | 4.8% | 0.5% | 2.0% |
| Profit Factor | 1.32 | 2.92 | 1.25 | 1.84 |
| Trades | 167 | 80 | 95 | 342 |
| Avg Holding Days | 8.1 | 7.6 | 6.7 | 7.9 |
| Turnover | 42.0 | 53.3 | 51.7 | 46.7 |
| Exposure | 63.1% | 70.0% | 60.6% | 63.9% |
Growth of $100
LongTermTrend_V0103 vs TSLA Buy & Hold
LongTermTrend_V0103 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 | -6.9% | -0.21 | -36.4% | 6 |
| 2017 | 3.2% | 0.26 | -38.6% | 30 |
| 2018 | -47.8% | -1.77 | -52.6% | 11 |
| 2019 | 41.9% | 1.11 | -31.0% | 9 |
| 2020 | 516.8% | 2.59 | -51.8% | 24 |
| 2021 | 80.9% | 1.46 | -28.3% | 37 |
| 2022 | -24.9% | -0.57 | -32.3% | 19 |
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 | -6.0% | -0.18 | 37% |
| hidden test | EXPENSIVE | 83 | 114.4% | 2.09 | 83% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 25.0% | 0.46 | 57% |
| hidden test | LOW VOLATILITY | 429 | 47.3% | 1.42 | 63% |
| hidden test | MEDIUM VOLATILITY | 248 | -55.1% | -1.25 | 61% |
| hidden test | NORMAL | 800 | -7.7% | -0.19 | 57% |
| hidden test | SIDEWAYS | 293 | -56.1% | -1.43 | 63% |
| hidden test | UPTREND | 371 | 83.6% | 1.65 | 75% |
| train | DOWNTREND | 518 | -31.0% | -1.19 | 30% |
| train | EXPENSIVE | 311 | 73.9% | 1.56 | 89% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 16.2% | 0.32 | 56% |
| train | LOW VOLATILITY | 745 | 32.8% | 1.19 | 69% |
| train | MEDIUM VOLATILITY | 568 | -11.8% | -0.33 | 64% |
| train | NORMAL | 1,601 | -21.7% | -0.64 | 56% |
| train | SIDEWAYS | 592 | -23.8% | -0.67 | 58% |
| train | UPTREND | 902 | 65.6% | 1.39 | 86% |
| validation | DOWNTREND | 125 | 37.9% | 1.71 | 14% |
| validation | EXPENSIVE | 138 | 62.5% | 0.85 | 84% |
| validation | EXTREME | 144 | 385.4% | 4.51 | 97% |
| validation | HIGH VOLATILITY | 258 | 132.3% | 1.59 | 65% |
| validation | LOW VOLATILITY | 183 | 19.6% | 0.61 | 75% |
| validation | MEDIUM VOLATILITY | 315 | 108.7% | 2.11 | 71% |
| validation | NORMAL | 474 | 16.5% | 0.37 | 58% |
| validation | SIDEWAYS | 206 | -30.3% | -0.61 | 66% |
| validation | UPTREND | 425 | 172.9% | 2.39 | 88% |
Trades (full period)
latest 100 of 343
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-13 | 2026-07-16 | $394.76 | $391.06 | -3.46% | 4 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -1.19% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 1.60% | 6 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-08-05 | 2025-11-14 | $308.72 | $404.35 | 29.72% | 73 | |
| 2025-07-29 | 2025-08-04 | $321.20 | $309.26 | -7.24% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.48% | 4 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-04-29 | 2025-06-13 | $292.03 | $325.31 | 11.40% | 33 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 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 | |
| 2025-02-25 | 2025-02-26 | $302.80 | $290.80 | -8.58% | 2 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -2.25% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 4.20% | 3 | |
| 2024-11-06 | 2025-01-14 | $288.53 | $396.36 | 60.10% | 46 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | 3.22% | 29 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 15.46% | 32 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-10-19 | 2023-10-20 | $220.11 | $211.99 | -9.49% | 2 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-29 | 2023-10-02 | $250.22 | $251.60 | 1.36% | 2 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 2.39% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 47.30% | 51 | |
| 2023-04-10 | 2023-04-20 | $184.51 | $162.99 | -2.61% | 9 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 4.57% | 2 |