Strategy Zoo / S0221
LongTermTrend_V0221
ARCHIVEDhybridparameterchanged ret_20d threshold -0.03 -> 0.0728
Fitness
0.6470
Generation
10
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0024
Children (3)
Strategy Logic (pseudocode)
# LongTermTrend_V0221 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997):
position = 1.0
if long and ret_20d < 0.0728:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.2% | 95.3% | 8.4% | 31.3% |
| Total Return | 429.7% | 644.6% | 34.7% | 5368.1% |
| Sharpe | 0.84 | 1.63 | 0.42 | 0.96 |
| Sortino | 0.86 | 1.73 | 0.35 | 0.93 |
| Calmar | 0.41 | 2.82 | 0.20 | 0.56 |
| Volatility | 30.2% | 48.2% | 30.8% | 34.8% |
| Max DD | -56.4% | -33.7% | -41.7% | -56.4% |
| Win Rate | 41.0% | 51.1% | 34.6% | 41.6% |
| Avg Win | 8.8% | 13.9% | 8.5% | 10.3% |
| Avg Loss | -2.7% | -3.0% | -3.0% | -2.8% |
| Payoff | 3.21 | 4.62 | 2.86 | 3.61 |
| Expectancy | 2.0% | 5.6% | 1.0% | 2.6% |
| Profit Factor | 2.23 | 4.82 | 1.51 | 2.58 |
| Trades | 122 | 47 | 52 | 221 |
| Avg Holding Days | 7.0 | 8.6 | 6.6 | 7.3 |
| Turnover | 30.7 | 31.3 | 28.2 | 30.1 |
| Exposure | 36.7% | 47.0% | 31.0% | 37.4% |
Growth of $100
LongTermTrend_V0221 vs TSLA Buy & Hold
LongTermTrend_V0221 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 | 23.7% | 1.32 | -16.5% | 9 |
| 2017 | 28.8% | 1.26 | -14.0% | 13 |
| 2018 | -25.1% | -1.13 | -28.6% | 16 |
| 2019 | -3.6% | 0.03 | -33.4% | 13 |
| 2020 | 547.1% | 3.00 | -33.7% | 11 |
| 2021 | 17.8% | 0.64 | -29.0% | 25 |
| 2022 | -6.4% | -0.14 | -17.1% | 11 |
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 | -23.1% | -0.99 | 21% |
| hidden test | EXPENSIVE | 83 | 44.6% | 1.08 | 53% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | -17.7% | -0.44 | 31% |
| hidden test | LOW VOLATILITY | 429 | 51.0% | 2.11 | 32% |
| hidden test | MEDIUM VOLATILITY | 248 | -21.9% | -0.73 | 29% |
| hidden test | NORMAL | 800 | -0.7% | -0.03 | 27% |
| hidden test | SIDEWAYS | 293 | -13.7% | -0.59 | 25% |
| hidden test | UPTREND | 371 | 59.6% | 1.51 | 43% |
| train | DOWNTREND | 518 | -5.0% | -0.43 | 12% |
| train | EXPENSIVE | 311 | 54.9% | 1.54 | 63% |
| train | EXTREME | 100 | 374.9% | 5.17 | 95% |
| train | HIGH VOLATILITY | 699 | 50.7% | 1.24 | 37% |
| train | LOW VOLATILITY | 745 | 28.9% | 1.42 | 43% |
| train | MEDIUM VOLATILITY | 568 | -10.5% | -0.42 | 27% |
| train | NORMAL | 1,601 | -2.2% | -0.10 | 28% |
| train | SIDEWAYS | 592 | -6.2% | -0.26 | 30% |
| train | UPTREND | 902 | 63.5% | 1.60 | 56% |
| validation | DOWNTREND | 125 | 20.3% | 1.62 | 10% |
| validation | EXPENSIVE | 138 | 92.1% | 1.78 | 55% |
| validation | EXTREME | 144 | 320.6% | 3.91 | 89% |
| validation | HIGH VOLATILITY | 258 | 101.5% | 1.55 | 48% |
| validation | LOW VOLATILITY | 183 | 13.0% | 0.61 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 97.8% | 2.32 | 50% |
| validation | NORMAL | 474 | 1.1% | 0.04 | 32% |
| validation | SIDEWAYS | 206 | -3.6% | -0.13 | 33% |
| validation | UPTREND | 425 | 135.5% | 2.24 | 64% |
Trades (full period)
latest 100 of 221
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-08-21 | 2026-09-15 | $362.86 | $356.58 | 3.81% | 17 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-03 | 2026-06-05 | $423.70 | $391.00 | -1.45% | 3 | |
| 2026-05-21 | 2026-06-02 | $417.85 | $423.74 | -0.53% | 8 | |
| 2026-05-04 | 2026-05-18 | $392.51 | $409.99 | 7.82% | 11 | |
| 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 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 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 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 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 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-05-05 | 2025-05-09 | $280.26 | $298.26 | -1.03% | 5 | |
| 2025-04-29 | 2025-05-01 | $292.03 | $280.52 | -1.50% | 3 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 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 | |
| 2024-10-07 | 2024-10-10 | $240.83 | $238.77 | -3.81% | 4 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -1.54% | 11 | |
| 2024-09-10 | 2024-09-17 | $226.17 | $227.87 | 4.65% | 6 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.13% | 4 | |
| 2024-06-27 | 2024-07-31 | $197.42 | $232.07 | 13.14% | 24 | |
| 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 | |
| 2024-05-03 | 2024-05-07 | $181.19 | $177.81 | 2.43% | 3 | |
| 2024-04-30 | 2024-05-02 | $183.28 | $180.01 | -7.44% | 3 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2024-02-26 | 2024-02-28 | $199.40 | $202.04 | 3.84% | 3 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-12-06 | 2023-12-13 | $239.37 | $239.29 | -0.91% | 6 | |
| 2023-11-17 | 2023-12-05 | $234.30 | $238.72 | 0.65% | 12 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-05-24 | 2023-07-20 | $182.90 | $262.90 | 56.47% | 39 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-07-28 | 2022-08-26 | $280.90 | $288.09 | 7.52% | 22 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-07-19 | 2022-07-21 | $245.53 | $271.71 | 2.69% | 3 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 1.07% | 3 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-18 | 2022-01-21 | $343.50 | $314.63 | -5.27% | 4 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-12 | 2021-11-29 | $268.57 | $379.00 | 36.35% | 34 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-15 | 2021-09-22 | $251.94 | $250.65 | -0.88% | 6 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 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 | |
| 2021-08-11 | 2021-08-17 | $235.94 | $221.90 | -3.55% | 5 | |
| 2021-08-04 | 2021-08-09 | $236.97 | $237.92 | -1.70% | 4 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-09 | 2021-07-19 | $218.98 | $215.41 | -1.51% | 7 | |
| 2021-06-29 | 2021-07-08 | $226.92 | $217.60 | -6.59% | 7 | |
| 2021-06-24 | 2021-06-28 | $226.61 | $229.57 | 2.13% | 3 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-19 | 2021-04-30 | $238.21 | $236.48 | -8.67% | 10 | |
| 2021-04-14 | 2021-04-16 | $244.08 | $246.59 | -3.28% | 3 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 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 | 2020-10-13 | $141.77 | $148.88 | 6.63% | 5 | |
| 2020-08-14 | 2020-09-23 | $110.05 | $126.79 | 30.60% | 28 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-06-01 | 2020-08-05 | $59.87 | $99.00 | 77.74% | 47 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-19 | 2020-05-27 | $53.87 | $54.68 | 0.44% | 6 | |
| 2020-04-14 | 2020-05-18 | $47.33 | $54.24 | 22.53% | 25 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 74.74% | 51 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 |