Strategy Zoo / S0127
LongTermTrend_V0127
ARCHIVEDtrend_followingcrossoverentry = LongTermTrend_V0008 AND SMACross_50_200_V0112
Fitness
0.5159
Generation
6
Complexity
6
Created
2026-09-18
Lineage
Parents (2)
seed strategy
reduce exposure to 51% during EXPENSIVE
Children (1)
Strategy Logic (pseudocode)
# LongTermTrend_V0127 [trend_following]
if flat and ((close > sma_200 and sma_200_slope > 0.0) and sma_50 > sma_200):
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.2% | 74.5% | -13.6% | 16.3% |
| Total Return | 189.2% | 431.6% | -41.7% | 822.1% |
| Sharpe | 0.55 | 1.20 | -0.29 | 0.57 |
| Sortino | 0.54 | 1.48 | -0.31 | 0.60 |
| Calmar | 0.23 | 1.23 | -0.23 | 0.25 |
| Volatility | 36.2% | 63.2% | 32.8% | 42.4% |
| Max DD | -60.8% | -60.7% | -58.7% | -65.0% |
| Win Rate | 15.8% | 36.4% | 15.4% | 23.3% |
| Avg Win | 186.2% | 146.0% | 5.0% | 115.5% |
| Avg Loss | -6.7% | -5.3% | -5.4% | -5.7% |
| Payoff | 10.00 | 10.00 | 0.91 | 10.00 |
| Expectancy | 23.8% | 49.7% | -3.8% | 22.5% |
| Profit Factor | 5.24 | 10.00 | 0.17 | 6.17 |
| Trades | 19 | 11 | 13 | 43 |
| Avg Holding Days | 49.3 | 49.6 | 27.2 | 43.4 |
| Turnover | 4.9 | 7.3 | 7.0 | 5.9 |
| Exposure | 47.0% | 70.8% | 36.5% | 49.3% |
Growth of $100
LongTermTrend_V0127 vs TSLA Buy & Hold
LongTermTrend_V0127 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 | -4.5% | -1.50 | -4.7% | 1 |
| 2017 | 9.5% | 0.44 | -23.4% | 2 |
| 2018 | -19.2% | -1.46 | -24.2% | 2 |
| 2019 | 8.3% | 0.50 | -22.0% | 2 |
| 2020 | 585.4% | 2.65 | -60.7% | 1 |
| 2021 | 6.3% | 0.38 | -41.7% | 5 |
| 2022 | -38.6% | -1.24 | -38.5% | 5 |
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 | -17.8% | -2.16 | 2% |
| hidden test | EXPENSIVE | 83 | 67.3% | 1.01 | 87% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 55.4% | 1.43 | 23% |
| hidden test | LOW VOLATILITY | 429 | -15.1% | -0.59 | 43% |
| hidden test | MEDIUM VOLATILITY | 248 | -65.7% | -1.79 | 39% |
| hidden test | NORMAL | 800 | -29.0% | -1.24 | 28% |
| hidden test | SIDEWAYS | 293 | -45.0% | -1.58 | 38% |
| hidden test | UPTREND | 371 | 24.8% | 0.56 | 60% |
| train | DOWNTREND | 518 | -17.5% | -1.18 | 1% |
| train | EXPENSIVE | 311 | 90.4% | 1.74 | 97% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 37.6% | 0.81 | 42% |
| train | LOW VOLATILITY | 745 | 15.5% | 0.64 | 47% |
| train | MEDIUM VOLATILITY | 568 | 3.4% | 0.10 | 52% |
| train | NORMAL | 1,601 | -18.7% | -0.69 | 34% |
| train | SIDEWAYS | 592 | 1.0% | 0.03 | 40% |
| train | UPTREND | 902 | 53.5% | 1.17 | 78% |
| validation | DOWNTREND | 125 | -20.2% | -2.54 | 3% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 131.0% | 1.50 | 73% |
| validation | LOW VOLATILITY | 183 | 17.3% | 0.60 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 64.3% | 1.21 | 73% |
| validation | NORMAL | 474 | -20.4% | -0.44 | 54% |
| validation | SIDEWAYS | 206 | -50.0% | -0.95 | 68% |
| validation | UPTREND | 425 | 164.8% | 2.18 | 92% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2025-09-17 | 2026-03-16 | $425.86 | $395.56 | -7.40% | 124 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 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 | 2025-07-08 | $315.35 | $297.81 | -7.06% | 3 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2024-10-07 | 2025-03-05 | $240.83 | $279.10 | 8.56% | 102 | |
| 2023-11-14 | 2024-01-12 | $237.41 | $218.89 | 1.37% | 41 | |
| 2023-11-08 | 2023-11-10 | $222.11 | $214.65 | -5.68% | 3 | |
| 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 | |
| 2023-08-01 | 2023-10-23 | $261.07 | $212.08 | -20.89% | 59 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2021-08-31 | 2022-02-23 | $245.24 | $254.68 | 12.17% | 122 | |
| 2021-06-18 | 2021-07-28 | $207.77 | $215.66 | 4.36% | 28 | |
| 2021-06-11 | 2021-06-16 | $203.30 | $201.62 | -1.96% | 4 | |
| 2021-05-25 | 2021-06-04 | $201.56 | $199.68 | -5.73% | 8 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2020-03-20 | 2021-05-14 | $28.50 | $196.58 | 567.09% | 291 | |
| 2019-11-19 | 2020-03-19 | $23.97 | $28.51 | 3.01% | 83 | |
| 2019-02-06 | 2019-02-08 | $21.15 | $20.39 | -4.50% | 3 | |
| 2019-01-07 | 2019-01-22 | $22.33 | $19.93 | -5.04% | 11 | |
| 2018-12-27 | 2019-01-03 | $21.08 | $20.02 | -5.09% | 5 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -17.77% | 15 | |
| 2018-08-27 | 2018-08-29 | $21.28 | $20.33 | -3.59% | 3 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-02-10 | 2017-11-03 | $17.95 | $20.41 | 10.94% | 186 | |
| 2016-08-12 | 2016-08-30 | $15.04 | $14.09 | -4.51% | 13 | |
| 2015-08-28 | 2015-10-09 | $16.57 | $14.71 | -6.88% | 30 | |
| 2015-06-10 | 2015-08-25 | $16.71 | $14.67 | -14.68% | 54 | |
| 2014-10-29 | 2014-12-02 | $15.87 | $15.43 | -4.78% | 24 | |
| 2012-12-21 | 2014-10-28 | $2.27 | $16.18 | 542.53% | 466 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -2.02% | 13 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-05-30 | 2012-06-01 | $2.03 | $1.88 | -7.10% | 3 | |
| 2012-05-23 | 2012-05-29 | $2.07 | $2.11 | -3.41% | 4 | |
| 2012-01-26 | 2012-05-16 | $1.93 | $1.95 | 5.01% | 78 | |
| 2012-01-11 | 2012-01-17 | $1.88 | $1.77 | -17.65% | 4 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |