Strategy Zoo / S0105
LongTermTrend_V0105
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0021 OR Breakout20_V0040
Fitness
0.4226
Generation
5
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
entry from LongTermTrend_V0008, exit from VolContraction_V0016
entry = Breakout20_V0011 AND SMACross_50_200_V0020
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0105 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > 0.0) or (breakout_20 == 1 and sma_50 > sma_200)):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.7% | 82.8% | -16.4% | 8.8% |
| Total Return | 5.7% | 511.3% | -48.5% | 242.7% |
| Sharpe | 0.19 | 1.36 | -0.37 | 0.41 |
| Sortino | 0.20 | 1.76 | -0.40 | 0.46 |
| Calmar | 0.01 | 1.74 | -0.28 | 0.11 |
| Volatility | 33.8% | 56.0% | 33.4% | 39.3% |
| Max DD | -77.7% | -47.7% | -58.9% | -77.7% |
| Win Rate | 35.0% | 39.8% | 31.5% | 35.3% |
| Avg Win | 6.4% | 12.4% | 5.2% | 8.1% |
| Avg Loss | -2.8% | -3.2% | -3.0% | -2.9% |
| Payoff | 2.30 | 3.83 | 1.73 | 2.76 |
| Expectancy | 0.4% | 3.0% | -0.4% | 1.0% |
| Profit Factor | 1.24 | 2.54 | 0.79 | 1.51 |
| Trades | 206 | 108 | 108 | 422 |
| Avg Holding Days | 5.3 | 5.4 | 4.5 | 5.2 |
| Turnover | 51.7 | 72.0 | 58.5 | 57.5 |
| Exposure | 45.0% | 62.2% | 40.7% | 47.5% |
Growth of $100
LongTermTrend_V0105 vs TSLA Buy & Hold
LongTermTrend_V0105 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 | -19.1% | -2.47 | -20.1% | 9 |
| 2017 | 15.3% | 0.64 | -19.1% | 45 |
| 2018 | -34.6% | -1.81 | -37.7% | 11 |
| 2019 | -1.2% | 0.05 | -24.9% | 10 |
| 2020 | 705.0% | 3.05 | -37.4% | 32 |
| 2021 | 0.5% | 0.23 | -47.7% | 51 |
| 2022 | -36.4% | -1.40 | -37.7% | 25 |
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 | -30.9% | -1.72 | 12% |
| hidden test | EXPENSIVE | 83 | 31.3% | 0.57 | 83% |
| hidden test | EXTREME | 48 | 113.4% | 1.90 | 79% |
| hidden test | HIGH VOLATILITY | 254 | 10.0% | 0.25 | 32% |
| hidden test | LOW VOLATILITY | 429 | 14.8% | 0.57 | 44% |
| hidden test | MEDIUM VOLATILITY | 248 | -82.5% | -2.24 | 44% |
| hidden test | NORMAL | 800 | -24.5% | -0.88 | 34% |
| hidden test | SIDEWAYS | 293 | -24.1% | -0.80 | 46% |
| hidden test | UPTREND | 371 | 10.1% | 0.24 | 57% |
| train | DOWNTREND | 518 | -25.5% | -1.62 | 3% |
| train | EXPENSIVE | 311 | 66.6% | 1.45 | 85% |
| train | EXTREME | 100 | 374.1% | 5.15 | 97% |
| train | HIGH VOLATILITY | 699 | 21.6% | 0.49 | 39% |
| train | LOW VOLATILITY | 745 | 19.2% | 0.81 | 52% |
| train | MEDIUM VOLATILITY | 568 | -29.1% | -0.96 | 43% |
| train | NORMAL | 1,601 | -28.3% | -1.10 | 34% |
| train | SIDEWAYS | 592 | -14.2% | -0.50 | 39% |
| train | UPTREND | 902 | 38.2% | 0.88 | 73% |
| validation | DOWNTREND | 125 | -20.4% | -2.51 | 2% |
| validation | EXPENSIVE | 138 | 59.0% | 0.90 | 80% |
| validation | EXTREME | 144 | 374.9% | 4.37 | 94% |
| validation | HIGH VOLATILITY | 258 | 105.2% | 1.42 | 59% |
| validation | LOW VOLATILITY | 183 | 40.9% | 1.42 | 64% |
| validation | MEDIUM VOLATILITY | 315 | 72.3% | 1.44 | 64% |
| validation | NORMAL | 474 | -9.9% | -0.27 | 47% |
| validation | SIDEWAYS | 206 | -3.3% | -0.08 | 56% |
| validation | UPTREND | 425 | 142.7% | 2.09 | 83% |
Trades (full period)
latest 100 of 422
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-04-20 | 2026-06-02 | $392.50 | $423.74 | 3.60% | 31 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.06% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 3.24% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-25 | 2026-02-27 | $417.40 | $402.51 | -0.39% | 3 | |
| 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 | |
| 2026-02-11 | 2026-02-13 | $428.27 | $417.44 | -2.11% | 3 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-22 | 2026-01-27 | $449.36 | $430.90 | 0.67% | 4 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.34% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 7.54% | 22 | |
| 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 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -6.84% | 2 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-10-28 | 2025-11-10 | $460.55 | $445.23 | -5.25% | 10 | |
| 2025-10-20 | 2025-10-27 | $447.43 | $452.42 | -1.47% | 6 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-04 | 2025-10-13 | $338.53 | $435.90 | 23.52% | 28 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -3.09% | 10 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -5.28% | 7 | |
| 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 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -2.44% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-04-30 | 2025-06-05 | $282.16 | $284.70 | 13.47% | 26 | |
| 2025-03-26 | 2025-04-07 | $272.06 | $233.29 | -17.08% | 9 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -4.63% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -6.53% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.78% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -5.37% | 2 | |
| 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 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-21 | 2025-01-23 | $424.07 | $412.38 | -2.87% | 3 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2025-01-10 | 2025-01-13 | $394.74 | $403.31 | -0.25% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 4.37% | 17 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.38% | 2 | |
| 2023-12-14 | 2024-01-04 | $251.05 | $237.93 | -0.55% | 14 | |
| 2023-11-14 | 2023-12-13 | $237.41 | $239.29 | 5.74% | 21 | |
| 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 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -3.89% | 2 | |
| 2023-10-17 | 2023-10-19 | $254.85 | $220.11 | -4.62% | 3 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -4.04% | 8 | |
| 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 | |
| 2023-09-27 | 2023-09-28 | $240.50 | $246.38 | -1.68% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-08-29 | 2023-09-22 | $257.18 | $244.88 | 6.86% | 18 | |
| 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 |