Strategy Zoo / S0244
LongTermTrend_V0244
ARCHIVEDhybridstructuralrestricted to trend regimes ['SIDEWAYS']
Fitness
0.1152
Generation
11
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
entry from LongTermTrend_V0140, exit from PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0244 [hybrid]
require regime.trend in ['SIDEWAYS']
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 | -0.8% | 2.6% | -0.8% | -0.1% |
| Total Return | -6.0% | 8.0% | -3.1% | -1.5% |
| Sharpe | 0.02 | 0.24 | -0.01 | 0.06 |
| Sortino | 0.01 | 0.13 | -0.00 | 0.03 |
| Calmar | -0.02 | 0.12 | -0.06 | -0.00 |
| Volatility | 14.5% | 15.5% | 12.0% | 14.1% |
| Max DD | -42.3% | -22.6% | -14.2% | -44.9% |
| Win Rate | 42.0% | 46.7% | 43.8% | 43.2% |
| Avg Win | 5.1% | 5.8% | 4.8% | 5.2% |
| Avg Loss | -3.6% | -3.6% | -3.8% | -3.6% |
| Payoff | 1.42 | 1.60 | 1.26 | 1.42 |
| Expectancy | 0.1% | 0.8% | -0.0% | 0.2% |
| Profit Factor | 1.03 | 1.40 | 0.98 | 1.08 |
| Trades | 50 | 15 | 16 | 81 |
| Avg Holding Days | 5.2 | 6.3 | 6.6 | 5.7 |
| Turnover | 12.5 | 10.0 | 8.7 | 11.0 |
| Exposure | 10.4% | 10.4% | 9.6% | 10.2% |
Growth of $100
LongTermTrend_V0244 vs TSLA Buy & Hold
LongTermTrend_V0244 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 | -7.9% | -0.71 | -11.0% | 7 |
| 2017 | 3.2% | 0.46 | -6.4% | 5 |
| 2018 | -5.3% | -0.35 | -8.1% | 9 |
| 2019 | -9.3% | -0.28 | -25.5% | 6 |
| 2020 | 0.1% | 0.09 | -12.5% | 1 |
| 2021 | -14.6% | -0.99 | -21.1% | 9 |
| 2022 | 26.4% | 1.50 | -5.4% | 5 |
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 | -2.5% | -1.18 | 1% |
| hidden test | EXPENSIVE | 83 | 9.2% | 0.98 | 6% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 1.53 | 2% |
| hidden test | LOW VOLATILITY | 429 | 7.3% | 0.55 | 15% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.6% | -2.29 | 8% |
| hidden test | NORMAL | 800 | -1.1% | -0.09 | 11% |
| hidden test | SIDEWAYS | 293 | -0.8% | -0.04 | 28% |
| hidden test | UPTREND | 371 | 2.1% | 0.32 | 2% |
| train | DOWNTREND | 518 | -8.1% | -1.61 | 1% |
| train | EXPENSIVE | 311 | 18.5% | 1.89 | 8% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.1% | 0.06 | 9% |
| train | LOW VOLATILITY | 745 | 9.8% | 0.90 | 12% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.92 | 11% |
| train | NORMAL | 1,601 | -3.2% | -0.21 | 12% |
| train | SIDEWAYS | 592 | -8.0% | -0.35 | 31% |
| train | UPTREND | 902 | 10.5% | 0.99 | 2% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 2.2% | 0.11 | 8% |
| validation | HIGH VOLATILITY | 258 | 5.5% | 0.36 | 5% |
| validation | LOW VOLATILITY | 183 | -5.2% | -0.41 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 7.5% | 0.44 | 11% |
| validation | NORMAL | 474 | 5.3% | 0.33 | 14% |
| validation | SIDEWAYS | 206 | -3.3% | -0.11 | 35% |
| validation | UPTREND | 425 | 8.3% | 1.42 | 1% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-01 | 2026-06-08 | $415.88 | $408.95 | -10.46% | 6 | |
| 2026-05-08 | 2026-05-29 | $428.35 | $435.79 | 7.15% | 15 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-09-05 | 2025-09-10 | $350.84 | $347.79 | 2.29% | 4 | |
| 2025-08-25 | 2025-09-04 | $346.60 | $338.53 | -1.94% | 8 | |
| 2025-08-11 | 2025-08-18 | $339.03 | $335.16 | 0.08% | 6 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-05-12 | 2025-05-22 | $318.38 | $341.04 | 11.97% | 9 | |
| 2024-09-27 | 2024-10-03 | $260.46 | $240.66 | -2.24% | 5 | |
| 2024-06-27 | 2024-07-02 | $197.42 | $231.26 | 6.66% | 4 | |
| 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 | |
| 2023-05-31 | 2023-06-02 | $203.93 | $213.97 | 2.96% | 3 | |
| 2022-08-22 | 2022-08-29 | $289.91 | $284.82 | -3.09% | 6 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-02 | 2022-08-05 | $300.59 | $288.17 | 3.61% | 4 | |
| 2022-03-22 | 2022-04-05 | $331.33 | $363.75 | 24.11% | 11 | |
| 2022-01-20 | 2022-01-24 | $332.09 | $310.00 | -5.39% | 3 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 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 | |
| 2020-04-30 | 2020-05-15 | $52.13 | $53.28 | 0.15% | 12 | |
| 2019-10-22 | 2019-10-25 | $17.04 | $21.88 | 17.98% | 4 | |
| 2019-10-15 | 2019-10-21 | $17.19 | $16.90 | -0.20% | 5 | |
| 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 | |
| 2019-07-24 | 2019-07-29 | $17.66 | $15.72 | -12.52% | 4 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 1.43% | 2 | |
| 2018-11-20 | 2018-11-26 | $23.17 | $23.07 | -8.01% | 4 | |
| 2018-10-29 | 2018-11-19 | $22.32 | $23.56 | 6.86% | 16 | |
| 2018-08-28 | 2018-08-30 | $20.79 | $20.21 | -4.66% | 3 | |
| 2018-07-05 | 2018-07-06 | $20.61 | $20.59 | -0.75% | 2 | |
| 2018-06-12 | 2018-06-15 | $22.85 | $23.88 | 7.50% | 4 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-06 | 2018-02-07 | $22.26 | $23.00 | 0.05% | 2 | |
| 2018-01-22 | 2018-02-01 | $23.44 | $23.28 | 1.02% | 9 | |
| 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 | |
| 2017-08-29 | 2017-09-01 | $23.16 | $23.69 | 2.76% | 4 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.58% | 2 | |
| 2016-12-28 | 2017-01-05 | $14.65 | $15.12 | 3.19% | 6 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.65% | 3 | |
| 2016-07-22 | 2016-07-26 | $14.82 | $15.30 | 4.11% | 3 | |
| 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 | |
| 2016-06-09 | 2016-06-15 | $15.29 | $14.51 | -8.91% | 5 | |
| 2016-03-28 | 2016-04-05 | $15.35 | $17.03 | 8.23% | 7 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -2.39% | 2 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -7.01% | 3 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 2015-05-01 | 2015-05-11 | $15.07 | $15.97 | 4.46% | 7 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2015-04-20 | 2015-04-21 | $13.68 | $13.96 | -0.93% | 2 | |
| 2015-04-14 | 2015-04-17 | $13.83 | $13.79 | -1.67% | 4 | |
| 2014-11-25 | 2014-11-26 | $16.54 | $16.56 | 0.35% | 2 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-06-09 | 2014-06-23 | $13.69 | $15.81 | 10.07% | 11 | |
| 2014-05-28 | 2014-05-29 | $14.02 | $14.02 | -0.82% | 2 | |
| 2014-01-15 | 2014-01-24 | $10.94 | $11.64 | 12.32% | 7 | |
| 2014-01-06 | 2014-01-10 | $9.80 | $9.71 | -1.56% | 5 | |
| 2013-12-13 | 2014-01-03 | $9.84 | $9.97 | 1.58% | 14 | |
| 2012-12-14 | 2012-12-18 | $2.25 | $2.31 | 2.15% | 3 | |
| 2012-11-06 | 2012-11-23 | $2.08 | $2.14 | 2.87% | 13 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -4.20% | 2 | |
| 2012-06-28 | 2012-07-19 | $2.09 | $2.15 | 0.39% | 15 | |
| 2012-06-25 | 2012-06-27 | $2.21 | $2.13 | -6.64% | 3 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-02-22 | 2012-02-23 | $2.28 | $2.30 | -1.01% | 2 | |
| 2012-02-02 | 2012-02-21 | $2.02 | $2.30 | 17.99% | 13 |