Strategy Zoo / S0120
LongTermTrend_V0120
ARCHIVEDhybridstructuralswapped indicator sma_200_slope -> dist_sma_20; restricted to volatility regimes ['LOW_VOLATILITY']
Fitness
0.2481
Generation
5
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0021 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0120 [hybrid]
require regime.volatility in ['LOW_VOLATILITY']
if flat and ((close > sma_200 and dist_sma_20 > -0.1741) 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 | 2.4% | 14.6% | 2.4% | 5.0% |
| Total Return | 21.0% | 50.5% | 9.3% | 104.9% |
| Sharpe | 0.22 | 0.81 | 0.22 | 0.32 |
| Sortino | 0.15 | 0.65 | 0.20 | 0.24 |
| Calmar | 0.04 | 0.61 | 0.05 | 0.09 |
| Volatility | 23.2% | 19.0% | 28.0% | 23.8% |
| Max DD | -54.0% | -24.1% | -49.0% | -54.0% |
| Win Rate | 48.8% | 34.8% | 29.0% | 39.1% |
| Avg Win | 5.7% | 13.5% | 8.5% | 7.8% |
| Avg Loss | -4.8% | -3.3% | -2.8% | -3.7% |
| Payoff | 1.18 | 4.04 | 3.08 | 2.14 |
| Expectancy | 0.3% | 2.5% | 0.5% | 0.8% |
| Profit Factor | 1.13 | 2.16 | 1.26 | 1.37 |
| Trades | 82 | 23 | 69 | 174 |
| Avg Holding Days | 6.9 | 7.2 | 4.9 | 6.3 |
| Turnover | 20.7 | 15.3 | 37.4 | 23.7 |
| Exposure | 25.4% | 18.8% | 28.9% | 25.0% |
Growth of $100
LongTermTrend_V0120 vs TSLA Buy & Hold
LongTermTrend_V0120 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 | -20.0% | -1.54 | -24.0% | 11 |
| 2017 | -11.9% | -0.60 | -31.9% | 17 |
| 2018 | -6.4% | -0.62 | -11.6% | 3 |
| 2019 | 8.7% | 0.42 | -22.7% | 5 |
| 2020 | 32.1% | 1.48 | -10.0% | 7 |
| 2021 | 35.6% | 1.38 | -18.2% | 13 |
| 2022 | -16.2% | -1.83 | -16.1% | 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 | 1.4% | 0.08 | 15% |
| hidden test | EXPENSIVE | 83 | 78.4% | 1.65 | 24% |
| hidden test | EXTREME | 48 | 6.8% | 0.27 | 6% |
| hidden test | HIGH VOLATILITY | 254 | 21.5% | 0.99 | 0% |
| hidden test | LOW VOLATILITY | 429 | 29.7% | 0.94 | 59% |
| hidden test | MEDIUM VOLATILITY | 248 | -50.0% | -1.84 | 7% |
| hidden test | NORMAL | 800 | -1.2% | -0.05 | 31% |
| hidden test | SIDEWAYS | 293 | -15.2% | -0.61 | 39% |
| hidden test | UPTREND | 371 | 26.7% | 0.77 | 31% |
| train | DOWNTREND | 518 | -16.3% | -0.81 | 10% |
| train | EXPENSIVE | 311 | 13.2% | 0.60 | 27% |
| train | EXTREME | 100 | 23.4% | 1.30 | 12% |
| train | HIGH VOLATILITY | 699 | -6.3% | -0.29 | 1% |
| train | LOW VOLATILITY | 745 | 32.9% | 1.23 | 63% |
| train | MEDIUM VOLATILITY | 568 | -17.4% | -0.88 | 6% |
| train | NORMAL | 1,601 | 2.4% | 0.10 | 26% |
| train | SIDEWAYS | 592 | -19.7% | -0.95 | 18% |
| train | UPTREND | 902 | 33.6% | 1.28 | 39% |
| validation | DOWNTREND | 125 | -5.0% | -1.54 | 1% |
| validation | EXPENSIVE | 138 | 17.2% | 0.74 | 15% |
| validation | EXTREME | 144 | 27.2% | 1.72 | 4% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 21.2% | 0.66 | 76% |
| validation | MEDIUM VOLATILITY | 315 | 24.6% | 1.51 | 1% |
| validation | NORMAL | 474 | 11.3% | 0.61 | 24% |
| validation | SIDEWAYS | 206 | -18.4% | -0.98 | 25% |
| validation | UPTREND | 425 | 37.8% | 1.75 | 21% |
Trades (full period)
latest 100 of 174
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-09-08 | $362.86 | $368.16 | 2.39% | 12 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 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 | |
| 2025-12-05 | 2026-01-07 | $455.00 | $431.41 | -4.94% | 22 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.82% | 4 | |
| 2025-08-05 | 2025-09-26 | $308.72 | $440.40 | 36.63% | 38 | |
| 2025-07-23 | 2025-07-25 | $332.56 | $316.06 | -8.26% | 3 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 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 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.78% | 2 | |
| 2024-12-16 | 2024-12-19 | $463.02 | $436.17 | 0.70% | 4 | |
| 2024-10-24 | 2024-10-25 | $260.48 | $269.19 | 21.70% | 2 | |
| 2024-10-22 | 2024-10-23 | $217.97 | $213.65 | -0.60% | 2 | |
| 2024-10-18 | 2024-10-21 | $220.70 | $218.85 | -0.29% | 2 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 23.13% | 11 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 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 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 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 | |
| 2023-10-02 | 2023-10-04 | $251.60 | $261.16 | -1.67% | 3 | |
| 2023-09-28 | 2023-09-29 | $246.38 | $250.22 | 2.24% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -3.08% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 2 | |
| 2023-08-18 | 2023-08-21 | $215.49 | $231.28 | -1.90% | 2 | |
| 2023-08-16 | 2023-08-17 | $225.60 | $219.22 | -3.36% | 2 | |
| 2023-08-14 | 2023-08-15 | $239.76 | $232.96 | -1.39% | 2 | |
| 2023-08-10 | 2023-08-11 | $245.34 | $242.65 | 1.10% | 2 | |
| 2023-08-08 | 2023-08-09 | $249.70 | $242.19 | -0.90% | 2 | |
| 2023-08-04 | 2023-08-07 | $253.86 | $251.45 | -2.30% | 2 | |
| 2023-08-02 | 2023-08-03 | $254.11 | $259.32 | -2.86% | 2 | |
| 2023-07-26 | 2023-07-31 | $264.35 | $267.43 | 0.24% | 4 | |
| 2023-07-12 | 2023-07-21 | $271.99 | $260.02 | -2.75% | 8 | |
| 2023-05-19 | 2023-07-05 | $180.14 | $282.48 | 57.88% | 31 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -9.20% | 8 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-19 | 2022-08-29 | $296.67 | $284.82 | -5.07% | 7 | |
| 2021-07-29 | 2021-10-26 | $225.78 | $339.48 | 58.10% | 63 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 | |
| 2021-06-11 | 2021-07-26 | $203.30 | $219.21 | 5.24% | 31 | |
| 2021-06-03 | 2021-06-04 | $190.95 | $199.68 | -5.53% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.41% | 2 | |
| 2021-05-27 | 2021-05-28 | $210.28 | $208.41 | 1.69% | 2 | |
| 2021-05-25 | 2021-05-26 | $201.56 | $206.38 | -0.49% | 2 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2021-05-12 | 2021-05-13 | $196.63 | $190.56 | -4.62% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-16 | 2020-11-17 | $136.03 | $147.20 | -0.30% | 2 | |
| 2020-11-12 | 2020-11-13 | $137.25 | $136.17 | -1.49% | 2 | |
| 2020-11-03 | 2020-11-10 | $141.30 | $136.79 | 4.98% | 6 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -5.74% | 2 | |
| 2020-10-26 | 2020-10-29 | $140.09 | $136.94 | -3.67% | 4 | |
| 2020-06-03 | 2020-06-11 | $58.86 | $64.86 | 16.04% | 7 | |
| 2019-11-22 | 2020-01-14 | $22.20 | $35.86 | 47.61% | 35 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 17.02% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -9.40% | 9 | |
| 2019-07-03 | 2019-07-26 | $15.66 | $15.20 | 1.70% | 17 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-12-13 | 2018-12-14 | $25.12 | $24.38 | 2.58% | 2 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-29 | 2018-02-05 | $23.30 | $22.21 | 0.06% | 6 |