Strategy Zoo / S0123
LongTermTrend_V0123
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0046 AND PriceMomentum_V0116
Fitness
0.4508
Generation
6
Complexity
7
Created
2026-09-18
Lineage
Parents (2)
added entry filter: rel_volume > 1.1075
changed ret_20d threshold -0.1003 -> -0.1446
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0123 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > 0.0 and rel_volume > 1.1075) and ret_20d > 0.05):
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 55.8% | -11.4% | 16.4% |
| Total Return | 270.3% | 278.4% | -36.0% | 824.0% |
| Sharpe | 0.64 | 1.04 | -0.27 | 0.58 |
| Sortino | 0.68 | 1.22 | -0.25 | 0.59 |
| Calmar | 0.38 | 0.92 | -0.23 | 0.26 |
| Volatility | 34.6% | 60.5% | 29.0% | 40.2% |
| Max DD | -47.1% | -60.7% | -50.3% | -63.7% |
| Win Rate | 13.3% | 40.0% | 11.1% | 17.2% |
| Avg Win | 304.8% | 178.9% | 16.9% | 196.9% |
| Avg Loss | -7.3% | -10.1% | -7.0% | -7.1% |
| Payoff | 10.00 | 10.00 | 2.40 | 10.00 |
| Expectancy | 34.3% | 65.5% | -4.4% | 28.1% |
| Profit Factor | 6.43 | 10.00 | 0.30 | 5.78 |
| Trades | 15 | 5 | 9 | 29 |
| Avg Holding Days | 62.9 | 101.8 | 35.8 | 61.6 |
| Turnover | 3.9 | 3.3 | 4.9 | 4.0 |
| Exposure | 46.6% | 66.7% | 33.6% | 47.5% |
Growth of $100
LongTermTrend_V0123 vs TSLA Buy & Hold
LongTermTrend_V0123 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 | -2.8% | -1.18 | -2.8% | 0 |
| 2017 | 36.0% | 1.08 | -23.4% | 2 |
| 2018 | -23.7% | -1.77 | -27.4% | 3 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 351.0% | 2.23 | -60.7% | 1 |
| 2021 | 17.9% | 0.57 | -38.6% | 2 |
| 2022 | -40.0% | -1.47 | -39.9% | 2 |
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 | -12.4% | -2.00 | 2% |
| hidden test | EXPENSIVE | 83 | 37.5% | 0.72 | 90% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 28.0% | 0.88 | 20% |
| hidden test | LOW VOLATILITY | 429 | 1.3% | 0.05 | 40% |
| hidden test | MEDIUM VOLATILITY | 248 | -60.3% | -1.87 | 36% |
| hidden test | NORMAL | 800 | -24.1% | -1.13 | 24% |
| hidden test | SIDEWAYS | 293 | -53.0% | -1.78 | 43% |
| hidden test | UPTREND | 371 | 31.1% | 0.84 | 49% |
| train | DOWNTREND | 518 | -8.0% | -1.27 | 1% |
| train | EXPENSIVE | 311 | 92.8% | 1.79 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 45.6% | 1.06 | 35% |
| train | LOW VOLATILITY | 745 | 22.6% | 0.92 | 54% |
| train | MEDIUM VOLATILITY | 568 | -6.9% | -0.20 | 51% |
| train | NORMAL | 1,601 | -16.0% | -0.65 | 33% |
| train | SIDEWAYS | 592 | -14.1% | -0.45 | 35% |
| train | UPTREND | 902 | 63.6% | 1.42 | 81% |
| validation | DOWNTREND | 125 | -14.8% | -2.02 | 2% |
| validation | EXPENSIVE | 138 | 15.4% | 0.22 | 90% |
| validation | EXTREME | 144 | 360.0% | 4.10 | 99% |
| validation | HIGH VOLATILITY | 258 | 94.7% | 1.14 | 67% |
| validation | LOW VOLATILITY | 183 | 31.2% | 1.13 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 54.9% | 1.05 | 70% |
| validation | NORMAL | 474 | -13.8% | -0.31 | 50% |
| validation | SIDEWAYS | 206 | -51.5% | -1.11 | 55% |
| validation | UPTREND | 425 | 140.9% | 1.92 | 92% |
Trades (full period)
29 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 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-11-07 | 2025-03-05 | $296.91 | $279.10 | -5.90% | 79 | |
| 2023-11-20 | 2024-01-12 | $235.60 | $218.89 | -3.22% | 37 | |
| 2023-09-12 | 2023-10-23 | $267.48 | $212.08 | -22.67% | 30 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2021-08-17 | 2022-02-23 | $221.90 | $254.68 | 19.48% | 132 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -1.99% | 24 | |
| 2020-04-14 | 2021-05-14 | $47.33 | $196.58 | 338.28% | 275 | |
| 2019-12-17 | 2020-03-19 | $25.27 | $28.51 | -5.51% | 64 | |
| 2018-12-06 | 2018-12-26 | $24.20 | $21.74 | -18.04% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 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 | 37.64% | 212 | |
| 2016-12-28 | 2017-01-03 | $14.65 | $14.47 | -2.85% | 4 | |
| 2015-09-22 | 2015-10-09 | $17.40 | $14.71 | -14.36% | 14 | |
| 2015-05-13 | 2015-08-25 | $16.21 | $14.67 | -10.75% | 73 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2012-11-20 | 2014-10-28 | $2.20 | $16.18 | 572.02% | 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 | |
| 2012-02-13 | 2012-05-16 | $2.10 | $1.95 | -5.56% | 66 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |