Strategy Zoo / S0162
LongTermTrend_V0162
ARCHIVEDtrend_followingstructuralrestricted to volatility regimes ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
Fitness
0.4886
Generation
7
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.1075 -> 1.5438
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0162 [trend_following]
require regime.volatility in ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
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 | 18.6% | 59.1% | 8.6% | 23.2% |
| Total Return | 291.2% | 302.9% | 35.5% | 2035.7% |
| Sharpe | 0.81 | 1.09 | 0.60 | 0.80 |
| Sortino | 0.58 | 1.12 | 0.31 | 0.57 |
| Calmar | 0.49 | 0.97 | 0.48 | 0.38 |
| Volatility | 24.9% | 57.9% | 15.6% | 32.9% |
| Max DD | -38.0% | -60.7% | -18.0% | -60.7% |
| Win Rate | 50.0% | 50.0% | 40.0% | 48.8% |
| Avg Win | 18.8% | 100.8% | 29.5% | 31.5% |
| Avg Loss | -5.9% | -20.2% | -5.9% | -7.9% |
| Payoff | 3.17 | 4.98 | 4.98 | 4.00 |
| Expectancy | 6.4% | 40.3% | 8.2% | 11.4% |
| Profit Factor | 3.17 | 4.98 | 3.32 | 3.82 |
| Trades | 32 | 6 | 5 | 43 |
| Avg Holding Days | 13.0 | 61.8 | 13.2 | 19.8 |
| Turnover | 8.0 | 4.0 | 2.7 | 5.9 |
| Exposure | 19.1% | 48.3% | 6.6% | 21.9% |
Growth of $100
LongTermTrend_V0162 vs TSLA Buy & Hold
LongTermTrend_V0162 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 52.6% | 1.76 | -13.8% | 8 |
| 2018 | -0.1% | -0.03 | -2.3% | 3 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 359.1% | 2.22 | -60.7% | 3 |
| 2021 | 7.5% | 0.38 | -27.7% | 2 |
| 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 | 24.2% | 0.92 | 17% |
| hidden test | EXTREME | 48 | 176.1% | 3.04 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 21.7% | 0.80 | 19% |
| hidden test | LOW VOLATILITY | 429 | 3.7% | 1.00 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | 6.7% | 0.56 | 4% |
| hidden test | NORMAL | 800 | -2.1% | -0.79 | 0% |
| hidden test | SIDEWAYS | 293 | -3.6% | -0.95 | 0% |
| hidden test | UPTREND | 371 | 26.5% | 1.08 | 16% |
| train | DOWNTREND | 518 | -3.4% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 69.2% | 1.87 | 65% |
| train | EXTREME | 100 | 400.8% | 5.64 | 86% |
| train | HIGH VOLATILITY | 699 | 47.0% | 1.28 | 32% |
| train | LOW VOLATILITY | 745 | -2.5% | -0.69 | 2% |
| train | MEDIUM VOLATILITY | 568 | 16.7% | 0.74 | 25% |
| train | NORMAL | 1,601 | -13.2% | -1.05 | 6% |
| train | SIDEWAYS | 592 | -10.6% | -0.65 | 10% |
| train | UPTREND | 902 | 53.7% | 1.56 | 36% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 46.4% | 0.65 | 78% |
| validation | EXTREME | 144 | 356.0% | 4.03 | 96% |
| validation | HIGH VOLATILITY | 258 | 126.8% | 1.47 | 72% |
| validation | LOW VOLATILITY | 183 | -7.0% | -2.19 | 2% |
| validation | MEDIUM VOLATILITY | 315 | 52.0% | 1.19 | 56% |
| validation | NORMAL | 474 | -20.8% | -0.56 | 25% |
| validation | SIDEWAYS | 206 | -46.6% | -1.15 | 31% |
| validation | UPTREND | 425 | 135.1% | 1.88 | 71% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-12 | 2025-02-18 | $336.51 | $354.11 | 8.11% | 4 | |
| 2024-12-19 | 2025-02-05 | $436.17 | $378.17 | -11.07% | 31 | |
| 2024-11-07 | 2024-12-16 | $296.91 | $463.02 | 50.89% | 27 | |
| 2021-10-26 | 2022-01-28 | $339.48 | $282.12 | -19.26% | 66 | |
| 2021-02-24 | 2021-05-11 | $247.34 | $205.73 | -10.16% | 54 | |
| 2020-11-18 | 2021-02-10 | $162.21 | $268.27 | 91.99% | 57 | |
| 2020-06-11 | 2020-10-26 | $64.86 | $140.09 | 104.75% | 96 | |
| 2020-03-20 | 2020-06-03 | $28.50 | $58.86 | 105.73% | 52 | |
| 2020-01-14 | 2020-03-19 | $35.86 | $28.51 | -31.31% | 46 | |
| 2018-12-10 | 2018-12-13 | $24.34 | $25.12 | 2.21% | 4 | |
| 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 | |
| 2017-09-25 | 2017-10-10 | $23.00 | $23.71 | -2.52% | 12 | |
| 2017-09-12 | 2017-09-22 | $24.18 | $23.41 | 0.57% | 9 | |
| 2017-07-06 | 2017-09-01 | $20.59 | $23.69 | 8.58% | 42 | |
| 2017-06-12 | 2017-06-16 | $23.93 | $24.76 | 4.83% | 5 | |
| 2017-05-05 | 2017-06-08 | $20.56 | $24.67 | 21.49% | 24 | |
| 2017-03-29 | 2017-05-03 | $18.49 | $20.73 | 14.71% | 25 | |
| 2017-02-24 | 2017-03-28 | $17.13 | $18.50 | 5.35% | 23 | |
| 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 | |
| 2014-10-13 | 2014-10-14 | $14.97 | $15.14 | -5.39% | 2 | |
| 2014-04-16 | 2014-05-09 | $13.27 | $12.15 | -8.08% | 17 | |
| 2014-02-20 | 2014-03-26 | $14.00 | $14.20 | 13.62% | 25 | |
| 2014-01-15 | 2014-02-18 | $10.94 | $13.58 | 22.67% | 23 | |
| 2013-12-04 | 2014-01-06 | $9.26 | $9.80 | 3.15% | 22 | |
| 2013-11-06 | 2013-11-27 | $10.08 | $8.46 | -32.00% | 16 | |
| 2013-10-04 | 2013-10-18 | $12.07 | $12.23 | 5.27% | 11 | |
| 2013-07-17 | 2013-09-09 | $8.02 | $10.71 | 52.82% | 38 | |
| 2013-05-08 | 2013-07-11 | $3.72 | $8.37 | 119.83% | 45 | |
| 2013-04-02 | 2013-05-06 | $2.96 | $3.97 | 23.93% | 25 | |
| 2013-02-22 | 2013-02-26 | $2.41 | $2.30 | -2.41% | 3 | |
| 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 | |
| 2012-04-05 | 2012-04-17 | $2.30 | $2.15 | -8.04% | 8 |