Strategy Zoo / S0135
LongTermTrend_V0135
ARCHIVEDtrend_followingparameterchanged rel_volume threshold 1.1075 -> 1.5438
Fitness
0.5180
Generation
6
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0029 AND LongTermTrend_V0046
Children (2)
Strategy Logic (pseudocode)
# LongTermTrend_V0135 [trend_following]
if flat and (sma_200_slope > 0.0 and (close > sma_200 and sma_200_slope > 0.0 and rel_volume > 1.5438)):
position = 1.0
if long and (close < sma_200 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.1% | 75.3% | 1.2% | 21.1% |
| Total Return | 187.1% | 438.7% | 4.5% | 1562.8% |
| Sharpe | 0.58 | 1.23 | 0.17 | 0.70 |
| Sortino | 0.51 | 1.36 | 0.12 | 0.61 |
| Calmar | 0.32 | 1.24 | 0.03 | 0.35 |
| Volatility | 30.6% | 60.1% | 23.1% | 37.2% |
| Max DD | -44.2% | -60.7% | -39.4% | -60.7% |
| Win Rate | 27.6% | 20.0% | 66.7% | 32.4% |
| Avg Win | 29.2% | 634.0% | 3.5% | 73.6% |
| Avg Loss | -3.3% | -7.3% | -2.6% | -3.4% |
| Payoff | 8.77 | 10.00 | 1.39 | 10.00 |
| Expectancy | 5.6% | 121.0% | 1.5% | 21.6% |
| Profit Factor | 3.34 | 10.00 | 2.77 | 10.00 |
| Trades | 29 | 5 | 3 | 37 |
| Avg Holding Days | 22.6 | 82.6 | 58.7 | 34.3 |
| Turnover | 7.4 | 3.3 | 1.6 | 5.0 |
| Exposure | 32.4% | 54.0% | 18.6% | 33.3% |
Growth of $100
LongTermTrend_V0135 vs TSLA Buy & Hold
LongTermTrend_V0135 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 | -1.2% | -1.09 | -1.2% | 1 |
| 2017 | 18.7% | 0.70 | -19.5% | 3 |
| 2018 | -8.2% | -1.11 | -10.6% | 3 |
| 2019 | 25.5% | 2.14 | -3.8% | 0 |
| 2020 | 585.4% | 2.65 | -60.7% | 1 |
| 2021 | -3.9% | 0.17 | -36.2% | 3 |
| 2022 | -31.1% | -1.99 | -31.0% | 1 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -11.6% | -0.24 | 80% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 21.7% | 0.80 | 19% |
| hidden test | LOW VOLATILITY | 429 | 12.5% | 0.81 | 15% |
| hidden test | MEDIUM VOLATILITY | 248 | -29.5% | -1.02 | 25% |
| hidden test | NORMAL | 800 | -5.4% | -0.46 | 7% |
| hidden test | SIDEWAYS | 293 | -18.6% | -1.55 | 5% |
| hidden test | UPTREND | 371 | 24.3% | 0.69 | 42% |
| train | DOWNTREND | 518 | -3.4% | -0.71 | 0% |
| train | EXPENSIVE | 311 | 67.9% | 1.37 | 92% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 42.7% | 1.08 | 33% |
| train | LOW VOLATILITY | 745 | 12.9% | 0.65 | 30% |
| train | MEDIUM VOLATILITY | 568 | -6.3% | -0.21 | 35% |
| train | NORMAL | 1,601 | -16.8% | -0.94 | 16% |
| train | SIDEWAYS | 592 | -8.7% | -0.42 | 15% |
| train | UPTREND | 902 | 47.5% | 1.12 | 63% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 126.8% | 1.47 | 72% |
| validation | LOW VOLATILITY | 183 | 1.4% | 0.07 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 73.4% | 1.53 | 58% |
| validation | NORMAL | 474 | -22.8% | -0.59 | 27% |
| validation | SIDEWAYS | 206 | -40.9% | -0.98 | 33% |
| validation | UPTREND | 425 | 151.8% | 2.04 | 80% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2026-02-05 | $410.04 | $397.21 | 2.34% | 100 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2024-11-07 | 2025-02-26 | $296.91 | $290.80 | 4.74% | 74 | |
| 2021-10-22 | 2022-01-28 | $303.23 | $282.12 | -7.44% | 68 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-06-25 | 2021-06-28 | $223.96 | $229.57 | -1.37% | 2 | |
| 2020-03-20 | 2021-05-11 | $28.50 | $205.73 | 634.01% | 288 | |
| 2019-11-25 | 2020-03-19 | $22.42 | $28.51 | 8.25% | 79 | |
| 2018-12-10 | 2018-12-19 | $24.34 | $22.20 | -6.04% | 8 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.26% | 2 | |
| 2018-01-09 | 2018-01-10 | $22.25 | $22.32 | -1.01% | 2 | |
| 2017-11-02 | 2017-11-03 | $19.95 | $20.41 | -6.99% | 2 | |
| 2017-02-10 | 2017-10-23 | $17.95 | $22.47 | 27.94% | 177 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-08-24 | 2016-08-25 | $14.84 | $14.73 | -1.19% | 2 | |
| 2015-10-08 | 2015-10-09 | $15.11 | $14.71 | -2.46% | 2 | |
| 2015-08-18 | 2015-08-21 | $17.38 | $15.38 | -5.21% | 4 | |
| 2015-07-22 | 2015-08-07 | $17.86 | $16.17 | -7.92% | 13 | |
| 2014-11-07 | 2014-11-10 | $16.01 | $16.13 | -0.62% | 2 | |
| 2014-10-20 | 2014-10-21 | $15.36 | $15.69 | 1.11% | 2 | |
| 2014-10-14 | 2014-10-15 | $15.14 | $15.31 | 0.90% | 2 | |
| 2014-06-17 | 2014-10-13 | $15.44 | $14.97 | 5.27% | 83 | |
| 2013-12-04 | 2014-05-09 | $9.26 | $12.15 | 23.17% | 108 | |
| 2013-04-02 | 2013-11-27 | $2.96 | $8.46 | 173.75% | 169 | |
| 2013-02-12 | 2013-02-26 | $2.53 | $2.30 | -10.70% | 10 | |
| 2012-12-13 | 2012-12-14 | $2.24 | $2.25 | -4.87% | 2 | |
| 2012-12-04 | 2012-12-05 | $2.26 | $2.25 | -2.28% | 2 | |
| 2012-11-08 | 2012-11-09 | $2.09 | $2.02 | -0.93% | 2 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -1.31% | 2 | |
| 2012-07-18 | 2012-07-19 | $2.14 | $2.15 | -3.79% | 2 | |
| 2012-06-27 | 2012-06-28 | $2.13 | $2.09 | 0.91% | 2 | |
| 2012-06-25 | 2012-06-26 | $2.21 | $2.11 | -2.21% | 2 | |
| 2012-06-21 | 2012-06-22 | $2.15 | $2.25 | -4.90% | 2 | |
| 2012-05-23 | 2012-05-24 | $2.07 | $2.02 | 0.51% | 2 | |
| 2012-05-11 | 2012-05-14 | $2.15 | $2.00 | -2.35% | 2 | |
| 2012-05-09 | 2012-05-10 | $2.00 | $2.20 | -0.63% | 2 | |
| 2012-02-15 | 2012-04-17 | $2.24 | $2.15 | -2.97% | 43 |