Strategy Zoo / S0165
LongTermTrend_V0165
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0140, exit from PriceMomentum_V0160
Fitness
0.6566
Generation
8
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
added entry filter: cumret_252d > -0.1997
changed ret_20d threshold -0.03 -> 0.0392
Children (10)
Strategy Logic (pseudocode)
# LongTermTrend_V0165 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.5% | 106.9% | 10.2% | 29.5% |
| Total Return | 239.5% | 785.8% | 43.0% | 4328.0% |
| Sharpe | 0.64 | 1.71 | 0.46 | 0.89 |
| Sortino | 0.66 | 1.85 | 0.40 | 0.89 |
| Calmar | 0.25 | 3.17 | 0.28 | 0.44 |
| Volatility | 31.5% | 49.7% | 32.3% | 36.2% |
| Max DD | -66.3% | -33.7% | -36.1% | -66.3% |
| Win Rate | 35.4% | 51.7% | 30.3% | 37.6% |
| Avg Win | 14.7% | 23.3% | 13.0% | 17.3% |
| Avg Loss | -4.0% | -4.3% | -3.6% | -4.0% |
| Payoff | 3.66 | 5.39 | 3.65 | 4.36 |
| Expectancy | 2.6% | 10.0% | 1.5% | 4.0% |
| Profit Factor | 2.01 | 5.77 | 1.59 | 2.63 |
| Trades | 79 | 29 | 33 | 141 |
| Avg Holding Days | 11.3 | 14.3 | 10.3 | 11.8 |
| Turnover | 19.9 | 19.3 | 18.1 | 19.3 |
| Exposure | 41.0% | 50.9% | 35.0% | 41.6% |
Growth of $100
LongTermTrend_V0165 vs TSLA Buy & Hold
LongTermTrend_V0165 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 | 19.3% | 1.09 | -18.6% | 7 |
| 2017 | 21.3% | 0.97 | -15.1% | 10 |
| 2018 | -42.1% | -1.96 | -42.2% | 13 |
| 2019 | -2.1% | 0.08 | -32.6% | 8 |
| 2020 | 550.7% | 2.96 | -33.7% | 8 |
| 2021 | 27.1% | 0.85 | -29.1% | 14 |
| 2022 | 2.8% | 0.24 | -19.9% | 7 |
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 | -26.1% | -1.09 | 24% |
| hidden test | EXPENSIVE | 83 | 61.7% | 1.46 | 54% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | -14.8% | -0.36 | 33% |
| hidden test | LOW VOLATILITY | 429 | 56.8% | 2.24 | 37% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.2% | -0.82 | 33% |
| hidden test | NORMAL | 800 | -0.0% | -0.00 | 31% |
| hidden test | SIDEWAYS | 293 | -5.4% | -0.21 | 31% |
| hidden test | UPTREND | 371 | 60.5% | 1.48 | 46% |
| train | DOWNTREND | 518 | -11.6% | -0.87 | 14% |
| train | EXPENSIVE | 311 | 50.9% | 1.40 | 66% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 46.1% | 1.09 | 39% |
| train | LOW VOLATILITY | 745 | 28.0% | 1.25 | 49% |
| train | MEDIUM VOLATILITY | 568 | -22.0% | -0.84 | 32% |
| train | NORMAL | 1,601 | -9.7% | -0.39 | 33% |
| train | SIDEWAYS | 592 | -11.7% | -0.46 | 35% |
| train | UPTREND | 902 | 59.3% | 1.44 | 61% |
| validation | DOWNTREND | 125 | 52.8% | 2.57 | 12% |
| validation | EXPENSIVE | 138 | 77.2% | 1.44 | 57% |
| validation | EXTREME | 144 | 340.3% | 4.09 | 92% |
| validation | HIGH VOLATILITY | 258 | 106.4% | 1.58 | 50% |
| validation | LOW VOLATILITY | 183 | 17.6% | 0.76 | 49% |
| validation | MEDIUM VOLATILITY | 315 | 106.8% | 2.45 | 53% |
| validation | NORMAL | 474 | 9.9% | 0.33 | 37% |
| validation | SIDEWAYS | 206 | -12.5% | -0.41 | 38% |
| validation | UPTREND | 425 | 141.9% | 2.30 | 69% |
Trades (full period)
latest 100 of 142
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-08-25 | 2025-09-10 | $346.60 | $347.79 | 1.84% | 12 | |
| 2025-08-07 | 2025-08-18 | $322.27 | $335.16 | 3.12% | 8 | |
| 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 | |
| 2025-05-05 | 2025-06-06 | $280.26 | $295.14 | -1.07% | 24 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-20 | 2024-10-11 | $238.25 | $217.80 | -2.31% | 16 | |
| 2024-09-04 | 2024-09-18 | $219.41 | $227.20 | 7.99% | 11 | |
| 2024-06-27 | 2024-08-01 | $197.42 | $216.86 | 17.94% | 25 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.72% | 5 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 2.24% | 19 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -9.90% | 11 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-24 | 2023-07-21 | $182.90 | $260.02 | 41.23% | 40 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 1.07% | 3 | |
| 2022-06-22 | 2022-06-28 | $236.09 | $232.66 | 3.12% | 5 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-15 | 2021-10-06 | $251.94 | $260.92 | 4.64% | 16 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-23 | 2021-08-27 | $235.43 | $237.31 | 2.87% | 5 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-04 | 2021-08-18 | $236.97 | $229.66 | -6.39% | 11 | |
| 2021-07-21 | 2021-07-23 | $218.43 | $214.46 | -1.90% | 3 | |
| 2021-06-24 | 2021-07-20 | $226.61 | $220.17 | -1.77% | 18 | |
| 2021-06-18 | 2021-06-23 | $207.77 | $218.86 | 0.95% | 4 | |
| 2021-06-14 | 2021-06-16 | $205.90 | $201.62 | -1.92% | 3 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-11-29 | 2019-12-06 | $22.00 | $22.39 | -0.48% | 6 | |
| 2019-10-15 | 2019-11-25 | $17.19 | $22.42 | 29.35% | 30 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-07-31 | 2019-08-02 | $16.11 | $15.62 | -3.66% | 3 | |
| 2019-07-16 | 2019-07-29 | $16.83 | $15.72 | -10.22% | 10 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 1.43% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -5.15% | 4 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-30 | $21.44 | $20.21 | -5.44% | 7 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-11 | $22.25 | $22.53 | -0.68% | 3 | |
| 2017-12-22 | 2017-12-26 | $21.68 | $21.15 | -2.15% | 2 | |
| 2017-12-12 | 2017-12-21 | $22.74 | $22.11 | -0.18% | 8 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-29 | 2017-09-01 | $23.16 | $23.69 | 2.76% | 4 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.58% | 2 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2016-12-14 | 2017-02-24 | $13.25 | $17.13 | 28.93% | 49 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.65% | 3 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-07-19 | 2016-07-20 | $15.02 | $15.22 | -0.64% | 2 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.09% | 2 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -7.66% | 6 | |
| 2016-04-21 | 2016-05-02 | $16.55 | $16.12 | -3.88% | 8 |