Strategy Zoo / S0143
LongTermTrend_V0143
ARCHIVEDhybridcrossoverlogic of LongTermTrend_V0127 with risk overlay of PriceMomentum_V0121
Fitness
0.4782
Generation
7
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
entry = LongTermTrend_V0008 AND SMACross_50_200_V0112
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0143 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
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 cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.4% | 46.7% | -2.5% | 19.1% |
| Total Return | 341.6% | 215.8% | -9.1% | 1205.1% |
| Sharpe | 0.80 | 1.00 | 0.04 | 0.68 |
| Sortino | 0.74 | 0.97 | 0.03 | 0.60 |
| Calmar | 0.51 | 0.77 | -0.06 | 0.32 |
| Volatility | 28.3% | 51.7% | 27.1% | 34.2% |
| Max DD | -40.1% | -60.7% | -44.1% | -60.7% |
| Win Rate | 42.9% | 66.7% | 22.2% | 43.8% |
| Avg Win | 61.3% | 35.2% | 16.8% | 43.8% |
| Avg Loss | -5.5% | -13.5% | -5.4% | -5.8% |
| Payoff | 10.00 | 2.61 | 3.13 | 7.54 |
| Expectancy | 23.1% | 19.0% | -0.4% | 15.9% |
| Profit Factor | 8.29 | 5.22 | 0.89 | 5.87 |
| Trades | 14 | 9 | 9 | 32 |
| Avg Holding Days | 49.9 | 44.9 | 26.3 | 42.8 |
| Turnover | 6.4 | 8.1 | 6.1 | 6.6 |
| Exposure | 32.1% | 45.0% | 22.0% | 32.2% |
Growth of $100
LongTermTrend_V0143 vs TSLA Buy & Hold
LongTermTrend_V0143 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 | 5.9% | 0.35 | -17.0% | 2 |
| 2018 | -13.1% | -1.09 | -19.7% | 2 |
| 2019 | 13.4% | 0.74 | -18.4% | 1 |
| 2020 | 211.5% | 1.84 | -60.7% | 5 |
| 2021 | 35.8% | 1.04 | -30.1% | 1 |
| 2022 | -33.7% | -2.20 | -33.6% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 60.0% | 0.97 | 72% |
| hidden test | EXTREME | 48 | 175.2% | 2.89 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 58.3% | 1.53 | 22% |
| hidden test | LOW VOLATILITY | 429 | -4.1% | -0.21 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -49.0% | -1.91 | 21% |
| hidden test | NORMAL | 800 | -15.6% | -1.01 | 13% |
| hidden test | SIDEWAYS | 293 | -19.2% | -1.85 | 2% |
| hidden test | UPTREND | 371 | 17.7% | 0.42 | 54% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 36.0% | 0.92 | 72% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 43.9% | 1.19 | 29% |
| train | LOW VOLATILITY | 745 | 23.2% | 1.09 | 38% |
| train | MEDIUM VOLATILITY | 568 | -4.7% | -0.20 | 28% |
| train | NORMAL | 1,601 | -3.7% | -0.20 | 20% |
| train | SIDEWAYS | 592 | -3.9% | -0.51 | 2% |
| train | UPTREND | 902 | 52.8% | 1.27 | 70% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -0.8% | -0.01 | 75% |
| validation | EXTREME | 144 | 298.6% | 3.69 | 85% |
| validation | HIGH VOLATILITY | 258 | 72.9% | 0.94 | 58% |
| validation | LOW VOLATILITY | 183 | 39.6% | 1.74 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 41.6% | 1.20 | 38% |
| validation | NORMAL | 474 | -7.9% | -0.26 | 24% |
| validation | SIDEWAYS | 206 | -53.0% | -2.22 | 4% |
| validation | UPTREND | 425 | 117.8% | 1.77 | 78% |
Trades (full period)
32 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-17 | 2026-01-13 | $425.86 | $447.20 | 1.87% | 82 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -1.50% | 3 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -6.23% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.45% | 2 | |
| 2025-07-03 | 2025-07-08 | $315.35 | $297.81 | -7.06% | 3 | |
| 2024-10-07 | 2025-02-24 | $240.83 | $330.53 | 31.74% | 95 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-08-01 | 2023-09-05 | $261.07 | $256.49 | -7.86% | 25 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -2.73% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-08-31 | 2022-01-20 | $245.24 | $332.09 | 33.75% | 99 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 20.06% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 121.96% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-03-20 | 2020-04-02 | $28.50 | $30.30 | 12.38% | 10 | |
| 2019-11-19 | 2020-03-19 | $23.97 | $28.51 | -3.23% | 83 | |
| 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 | -13.55% | 15 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.75% | 28 | |
| 2017-02-10 | 2017-08-24 | $17.95 | $23.53 | 17.33% | 136 | |
| 2016-08-12 | 2016-08-30 | $15.04 | $14.09 | -4.51% | 13 | |
| 2015-06-10 | 2015-08-18 | $16.71 | $17.38 | 2.20% | 49 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 5.54% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 6.17% | 73 | |
| 2012-12-21 | 2013-11-12 | $2.27 | $9.19 | 336.34% | 225 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | 0.29% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |