Strategy Zoo / S0177

LongTermTrend_V0177

ARCHIVEDtrend_following

structuraladded entry filter: drawdown > -0.1108; added entry filter: macd_hist < 0.3938

Fitness

0.3002

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0135S0135 · gen 6ARCHIVEDstructural

changed rel_volume threshold 1.1075 -> 1.5438

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0177  [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) and drawdown > -0.1108 and macd_hist < 0.3938):
    position = 1.0
if long and (close < sma_200 or dist_sma_200 < 0.1009):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	11.3%	19.2%	0.0%	10.1%
Total Return	135.1%	69.2%	0.0%	309.5%
Sharpe	0.51	0.61	0.00	0.47
Sortino	0.41	0.46	0.00	0.31
Calmar	0.21	0.32	0.00	0.17
Volatility	28.9%	47.6%	0.0%	30.3%
Max DD	-53.8%	-60.7%	0.0%	-60.7%
Win Rate	25.0%	50.0%	0.0%	28.6%
Avg Win	67.9%	101.9%	0.0%	76.4%
Avg Loss	-5.5%	-16.2%	0.0%	-5.5%
Payoff	10.00	6.29	0.00	10.00
Expectancy	12.9%	42.8%	0.0%	17.9%
Profit Factor	4.14	6.29	0.00	5.59
Trades	12	2	0	14
Avg Holding Days	47.3	120.0	0.0	58.5
Turnover	3.1	1.3	0.0	1.9
Exposure	28.1%	31.5%	0.0%	21.8%

Growth of $100

LongTermTrend_V0177 vs TSLA Buy & Hold

LongTermTrend_V0177 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	28.1%	0.95	-19.5%	1
2018	-7.2%	-0.98	-10.6%	2
2019	9.5%	1.31	-3.8%	0
2020	89.5%	1.26	-60.7%	1
2021	-14.0%	-0.18	-36.2%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	429	0.0%	0.00	0%
hidden test	MEDIUM VOLATILITY	248	0.0%	0.00	0%
hidden test	NORMAL	800	0.0%	0.00	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	24.5%	0.56	77%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	31.4%	0.86	27%
train	LOW VOLATILITY	745	10.5%	0.56	25%
train	MEDIUM VOLATILITY	568	0.1%	0.00	34%
train	NORMAL	1,601	-12.1%	-0.71	14%
train	SIDEWAYS	592	-11.9%	-0.84	7%
train	UPTREND	902	40.9%	0.98	58%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	36.1%	0.52	86%
validation	EXTREME	144	171.7%	2.47	44%
validation	HIGH VOLATILITY	258	30.5%	0.45	36%
validation	LOW VOLATILITY	183	-0.2%	-0.01	16%
validation	MEDIUM VOLATILITY	315	44.7%	1.18	37%
validation	NORMAL	474	-16.4%	-0.60	12%
validation	SIDEWAYS	206	-24.0%	-0.78	21%
validation	UPTREND	425	63.2%	1.06	46%

Trades (full period)

14 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2020-08-13	2021-05-11	$108.07	$205.73	101.90%	187
2019-12-17	2020-03-19	$25.27	$28.51	-5.51%	64
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
2017-02-10	2017-10-23	$17.95	$22.47	27.94%	177
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
2014-06-18	2014-10-13	$15.14	$14.97	2.06%	82
2014-02-20	2014-05-09	$14.00	$12.15	-7.95%	56
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
2012-02-15	2012-04-17	$2.24	$2.15	-2.97%	43