Strategy Zoo / S0141
LongTermTrend_V0141
ARCHIVEDhybridstructuralchanged sma_200_slope threshold 0.0 -> 0.0011; swapped indicator ret_20d -> ret_60d
Fitness
0.3853
Generation
6
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry = LongTermTrend_V0021 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0141 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > 0.0011) or ret_20d > 0.05):
position = 1.0
if long and ret_60d < 0.3205:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.7% | 55.0% | -28.2% | 6.5% |
| Total Return | 124.7% | 272.2% | -70.6% | 152.9% |
| Sharpe | 0.48 | 1.04 | -0.80 | 0.36 |
| Sortino | 0.55 | 1.32 | -0.84 | 0.40 |
| Calmar | 0.18 | 0.92 | -0.35 | 0.08 |
| Volatility | 30.2% | 58.3% | 34.1% | 38.5% |
| Max DD | -58.7% | -59.5% | -81.7% | -85.0% |
| Win Rate | 48.6% | 50.6% | 41.4% | 47.2% |
| Avg Win | 3.2% | 4.9% | 2.8% | 3.6% |
| Avg Loss | -2.1% | -2.7% | -2.8% | -2.4% |
| Payoff | 1.53 | 1.80 | 0.99 | 1.47 |
| Expectancy | 0.5% | 1.1% | -0.5% | 0.4% |
| Profit Factor | 1.44 | 1.84 | 0.70 | 1.32 |
| Trades | 430 | 168 | 210 | 808 |
| Avg Holding Days | 2.6 | 3.6 | 2.7 | 2.9 |
| Turnover | 107.8 | 112.0 | 113.7 | 110.1 |
| Exposure | 35.8% | 57.7% | 38.2% | 40.9% |
Growth of $100
LongTermTrend_V0141 vs TSLA Buy & Hold
LongTermTrend_V0141 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 | -13.1% | -0.86 | -29.0% | 36 |
| 2017 | -0.6% | 0.11 | -23.7% | 84 |
| 2018 | -14.2% | -0.65 | -20.4% | 41 |
| 2019 | -1.0% | 0.10 | -31.0% | 31 |
| 2020 | 373.3% | 2.30 | -59.5% | 34 |
| 2021 | 20.6% | 0.63 | -29.8% | 83 |
| 2022 | -45.1% | -1.97 | -44.9% | 51 |
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 | -16.2% | -0.68 | 18% |
| hidden test | EXPENSIVE | 83 | -15.1% | -0.32 | 60% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -17.1% | -0.39 | 40% |
| hidden test | LOW VOLATILITY | 429 | -15.0% | -0.59 | 39% |
| hidden test | MEDIUM VOLATILITY | 248 | -58.9% | -1.68 | 36% |
| hidden test | NORMAL | 800 | -41.3% | -1.39 | 32% |
| hidden test | SIDEWAYS | 293 | -47.5% | -1.63 | 35% |
| hidden test | UPTREND | 371 | -19.3% | -0.45 | 56% |
| train | DOWNTREND | 518 | -8.7% | -0.70 | 10% |
| train | EXPENSIVE | 311 | 43.0% | 1.05 | 69% |
| train | EXTREME | 100 | 400.7% | 5.42 | 98% |
| train | HIGH VOLATILITY | 699 | 41.3% | 1.07 | 33% |
| train | LOW VOLATILITY | 745 | 8.4% | 0.40 | 40% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.35 | 34% |
| train | NORMAL | 1,601 | -15.0% | -0.72 | 25% |
| train | SIDEWAYS | 592 | -14.6% | -0.64 | 27% |
| train | UPTREND | 902 | 47.2% | 1.18 | 57% |
| validation | DOWNTREND | 125 | -12.0% | -0.97 | 8% |
| validation | EXPENSIVE | 138 | 37.6% | 0.52 | 87% |
| validation | EXTREME | 144 | 358.1% | 4.27 | 89% |
| validation | HIGH VOLATILITY | 258 | 134.3% | 1.66 | 59% |
| validation | LOW VOLATILITY | 183 | -24.6% | -0.89 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 50.3% | 1.04 | 60% |
| validation | NORMAL | 474 | -22.7% | -0.56 | 40% |
| validation | SIDEWAYS | 206 | -24.2% | -0.59 | 41% |
| validation | UPTREND | 425 | 123.4% | 1.72 | 80% |
Trades (full period)
latest 100 of 808
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 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 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.29% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 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 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.99% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.79% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-10-24 | 2025-11-05 | $433.72 | $462.07 | -1.25% | 9 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-25 | 2025-10-13 | $423.39 | $435.90 | -6.81% | 13 | |
| 2025-09-22 | 2025-09-24 | $434.21 | $442.79 | -0.25% | 3 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.23% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-17 | 2025-07-22 | $319.41 | $332.11 | 1.92% | 4 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-09 | $315.35 | $295.88 | -5.84% | 4 | |
| 2025-06-30 | 2025-07-01 | $317.66 | $300.71 | -2.04% | 2 | |
| 2025-06-26 | 2025-06-27 | $325.78 | $323.63 | -0.74% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.17% | 2 | |
| 2025-06-12 | 2025-06-18 | $319.11 | $322.05 | -3.28% | 5 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-06-04 | 2025-06-06 | $332.05 | $295.14 | -17.47% | 3 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 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 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 |