Strategy Zoo / S0114
LongTermTrend_V0114
ARCHIVEDtrend_followingstructuraladded exit filter: vol_pctile > 0.433
Fitness
0.1343
Generation
5
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0029 AND LongTermTrend_V0046
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0114 [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 or vol_pctile > 0.433):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.4% | 8.5% | 0.6% | -1.0% |
| Total Return | -36.0% | 27.8% | 2.2% | -14.0% |
| Sharpe | -0.12 | 0.41 | 0.14 | 0.10 |
| Sortino | -0.09 | 0.29 | 0.10 | 0.07 |
| Calmar | -0.09 | 0.21 | 0.02 | -0.02 |
| Volatility | 23.3% | 37.6% | 22.8% | 26.7% |
| Max DD | -61.2% | -41.5% | -34.8% | -61.2% |
| Win Rate | 46.9% | 56.1% | 48.9% | 50.0% |
| Avg Win | 3.1% | 5.7% | 4.9% | 4.5% |
| Avg Loss | -3.4% | -5.7% | -4.2% | -4.1% |
| Payoff | 0.91 | 1.00 | 1.16 | 1.09 |
| Expectancy | -0.3% | 0.7% | 0.2% | 0.2% |
| Profit Factor | 0.81 | 1.27 | 1.12 | 1.09 |
| Trades | 145 | 82 | 47 | 274 |
| Avg Holding Days | 3.5 | 2.9 | 4.4 | 3.6 |
| Turnover | 36.4 | 54.7 | 25.4 | 37.3 |
| Exposure | 19.2% | 20.4% | 17.0% | 18.9% |
Growth of $100
LongTermTrend_V0114 vs TSLA Buy & Hold
LongTermTrend_V0114 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 | -8.3% | -0.25 | -18.5% | 33 |
| 2018 | -29.3% | -2.27 | -30.3% | 13 |
| 2019 | 15.4% | 1.13 | -9.3% | 1 |
| 2020 | 18.9% | 0.61 | -41.5% | 43 |
| 2021 | 29.4% | 0.91 | -25.0% | 26 |
| 2022 | -17.1% | -0.78 | -17.0% | 13 |
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 | 45.0% | 1.09 | 55% |
| hidden test | EXTREME | 48 | 81.0% | 2.11 | 19% |
| hidden test | HIGH VOLATILITY | 254 | 23.3% | 1.37 | 4% |
| hidden test | LOW VOLATILITY | 429 | 7.9% | 0.37 | 23% |
| hidden test | MEDIUM VOLATILITY | 248 | -25.6% | -0.86 | 20% |
| hidden test | NORMAL | 800 | -5.8% | -0.32 | 13% |
| hidden test | SIDEWAYS | 293 | -11.0% | -0.45 | 20% |
| hidden test | UPTREND | 371 | 22.2% | 0.78 | 26% |
| train | DOWNTREND | 518 | -8.4% | -1.12 | 1% |
| train | EXPENSIVE | 311 | 11.0% | 0.35 | 35% |
| train | EXTREME | 100 | 133.4% | 3.08 | 30% |
| train | HIGH VOLATILITY | 699 | -5.2% | -0.21 | 8% |
| train | LOW VOLATILITY | 745 | 20.8% | 1.04 | 30% |
| train | MEDIUM VOLATILITY | 568 | -31.1% | -1.25 | 18% |
| train | NORMAL | 1,601 | -14.1% | -0.74 | 15% |
| train | SIDEWAYS | 592 | -12.5% | -0.74 | 10% |
| train | UPTREND | 902 | 6.6% | 0.21 | 36% |
| validation | DOWNTREND | 125 | -0.2% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 37.9% | 0.75 | 27% |
| validation | EXTREME | 144 | 30.8% | 0.74 | 22% |
| validation | HIGH VOLATILITY | 258 | -12.7% | -0.25 | 13% |
| validation | LOW VOLATILITY | 183 | 35.1% | 1.63 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 26.8% | 0.86 | 19% |
| validation | NORMAL | 474 | 4.1% | 0.13 | 18% |
| validation | SIDEWAYS | 206 | -58.1% | -1.58 | 19% |
| validation | UPTREND | 425 | 55.5% | 1.29 | 27% |
Trades (full period)
latest 100 of 274
| 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 | |
| 2025-12-15 | 2026-02-05 | $475.31 | $397.21 | -11.71% | 36 | |
| 2025-11-21 | 2025-11-25 | $391.09 | $419.40 | 5.49% | 3 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-10 | 2025-11-14 | $445.23 | $404.35 | -6.59% | 5 | |
| 2025-10-24 | 2025-11-07 | $433.72 | $429.52 | -0.89% | 11 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-09-12 | 2025-10-07 | $395.94 | $433.09 | 22.66% | 18 | |
| 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 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -4.35% | 4 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 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 | |
| 2025-02-13 | 2025-02-26 | $355.94 | $290.80 | -10.19% | 9 | |
| 2025-02-04 | 2025-02-12 | $392.21 | $336.51 | -14.55% | 7 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-17 | 2024-12-19 | $479.86 | $436.17 | -5.13% | 3 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 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 | |
| 2023-09-28 | 2023-10-20 | $246.38 | $211.99 | -8.66% | 17 | |
| 2023-09-13 | 2023-09-14 | $271.30 | $276.04 | 1.23% | 2 | |
| 2023-08-22 | 2023-09-12 | $233.19 | $267.48 | 18.05% | 15 | |
| 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 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 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 | |
| 2022-01-31 | 2022-02-01 | $312.24 | $310.42 | 10.47% | 2 | |
| 2022-01-27 | 2022-01-28 | $276.37 | $282.12 | -11.74% | 2 | |
| 2022-01-24 | 2022-01-25 | $310.00 | $306.13 | -1.67% | 2 | |
| 2022-01-14 | 2022-01-18 | $349.87 | $343.50 | 1.55% | 2 | |
| 2022-01-10 | 2022-01-11 | $352.71 | $354.80 | 2.83% | 2 | |
| 2022-01-06 | 2022-01-07 | $354.90 | $342.32 | -2.35% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 5.56% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.41% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 4.14% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-09-27 | 2021-11-03 | $263.79 | $404.62 | 51.05% | 28 | |
| 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 | |
| 2021-04-20 | 2021-05-11 | $239.66 | $205.73 | -12.15% | 16 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 4.52% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 19.42% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-02-26 | 2021-03-01 | $225.17 | $239.48 | -1.18% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 5.97% | 2 | |
| 2021-02-11 | 2021-02-23 | $270.55 | $232.95 | -11.40% | 8 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 3.53% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-03 | 2020-12-04 | $197.79 | $199.68 | 4.11% | 2 | |
| 2020-12-01 | 2020-12-02 | $194.92 | $189.61 | 2.82% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-11-02 | 2020-11-18 | $133.50 | $162.21 | 13.58% | 13 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -21.24% | 2 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 |