Strategy Zoo / S0249
LongTermTrend_V0249
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0219, exit from PriceMomentum_V0206
Fitness
0.6150
Generation
12
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
entry = PriceMomentum_V0201 OR VolumeBreakout_V0013
swapped indicator cumret_252d -> ret_20d
Children (2)
Strategy Logic (pseudocode)
# LongTermTrend_V0249 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.05 and ret_20d > 0.0326):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.6% | 89.1% | 12.1% | 30.7% |
| Total Return | 377.7% | 576.5% | 52.5% | 4974.5% |
| Sharpe | 0.74 | 1.46 | 0.49 | 0.87 |
| Sortino | 0.82 | 1.65 | 0.52 | 0.94 |
| Calmar | 0.36 | 2.35 | 0.27 | 0.51 |
| Volatility | 34.1% | 53.5% | 37.0% | 39.5% |
| Max DD | -60.1% | -37.9% | -44.9% | -60.1% |
| Win Rate | 25.9% | 52.4% | 43.8% | 36.0% |
| Avg Win | 32.7% | 33.5% | 9.4% | 27.2% |
| Avg Loss | -4.0% | -5.3% | -3.9% | -4.2% |
| Payoff | 8.13 | 6.29 | 2.39 | 6.49 |
| Expectancy | 5.5% | 15.0% | 1.9% | 7.1% |
| Profit Factor | 2.84 | 6.92 | 1.86 | 3.66 |
| Trades | 58 | 21 | 32 | 111 |
| Avg Holding Days | 17.4 | 22.8 | 14.3 | 18.0 |
| Turnover | 14.7 | 14.0 | 17.6 | 15.2 |
| Exposure | 50.0% | 60.6% | 46.5% | 51.3% |
Growth of $100
LongTermTrend_V0249 vs TSLA Buy & Hold
LongTermTrend_V0249 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 | 15.4% | 0.87 | -21.2% | 4 |
| 2017 | 28.0% | 1.03 | -20.6% | 6 |
| 2018 | -30.6% | -1.12 | -33.9% | 9 |
| 2019 | 19.2% | 0.68 | -28.9% | 8 |
| 2020 | 531.3% | 2.80 | -33.8% | 2 |
| 2021 | 24.4% | 0.74 | -31.5% | 9 |
| 2022 | -17.4% | -0.45 | -24.0% | 10 |
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 | 4.6% | 0.18 | 23% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 21.1% | 0.45 | 46% |
| hidden test | LOW VOLATILITY | 429 | 52.5% | 1.93 | 44% |
| hidden test | MEDIUM VOLATILITY | 248 | -43.7% | -1.08 | 51% |
| hidden test | NORMAL | 800 | 1.5% | 0.04 | 41% |
| hidden test | SIDEWAYS | 293 | -4.4% | -0.13 | 51% |
| hidden test | UPTREND | 371 | 46.1% | 1.01 | 60% |
| train | DOWNTREND | 518 | -17.5% | -1.03 | 17% |
| train | EXPENSIVE | 311 | 64.8% | 1.61 | 78% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 52.1% | 1.20 | 43% |
| train | LOW VOLATILITY | 745 | 35.9% | 1.39 | 62% |
| train | MEDIUM VOLATILITY | 568 | -21.7% | -0.72 | 43% |
| train | NORMAL | 1,601 | -6.8% | -0.25 | 41% |
| train | SIDEWAYS | 592 | -8.5% | -0.31 | 41% |
| train | UPTREND | 902 | 72.1% | 1.65 | 75% |
| validation | DOWNTREND | 125 | 52.4% | 2.56 | 10% |
| validation | EXPENSIVE | 138 | 51.1% | 0.89 | 75% |
| validation | EXTREME | 144 | 352.1% | 4.02 | 98% |
| validation | HIGH VOLATILITY | 258 | 113.2% | 1.59 | 54% |
| validation | LOW VOLATILITY | 183 | 20.8% | 0.74 | 70% |
| validation | MEDIUM VOLATILITY | 315 | 82.5% | 1.73 | 60% |
| validation | NORMAL | 474 | 2.6% | 0.08 | 45% |
| validation | SIDEWAYS | 206 | -18.4% | -0.54 | 45% |
| validation | UPTREND | 425 | 132.3% | 2.00 | 83% |
Trades (full period)
latest 100 of 112
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-10 | — | $363.56 | — | -1.30% | 7 | OPEN |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 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 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 17.99% | 59 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -3.09% | 10 | |
| 2025-04-29 | 2025-06-06 | $292.03 | $295.14 | -0.61% | 28 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2024-11-07 | 2025-01-30 | $296.91 | $400.28 | 34.59% | 56 | |
| 2024-09-10 | 2024-10-14 | $226.17 | $219.16 | 0.51% | 25 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-06-18 | 2024-08-05 | $184.86 | $198.88 | 10.57% | 33 | |
| 2024-05-17 | 2024-06-12 | $177.46 | $177.29 | -2.58% | 18 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -4.96% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.79% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-05-19 | 2023-08-08 | $180.14 | $249.70 | 41.87% | 55 | |
| 2023-01-27 | 2023-04-06 | $177.90 | $185.06 | 15.53% | 49 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-19 | 2022-09-06 | $245.53 | $274.42 | 12.11% | 35 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-06-24 | 2021-12-14 | $226.61 | $319.50 | 46.90% | 121 | |
| 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 | 2021-05-05 | $228.30 | $223.65 | -5.25% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2021-04-05 | 2021-04-06 | $230.35 | $230.54 | 4.22% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-04-14 | 2020-10-29 | $47.33 | $136.94 | 211.27% | 140 | |
| 2019-10-15 | 2020-03-10 | $17.19 | $43.02 | 136.14% | 101 | |
| 2019-09-30 | 2019-10-07 | $16.06 | $15.85 | -4.61% | 6 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-06-28 | 2019-08-13 | $14.90 | $15.67 | 2.56% | 32 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-10-29 | 2018-12-21 | $22.32 | $21.32 | -4.88% | 38 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-05-02 | 2018-05-03 | $20.08 | $18.96 | 0.21% | 2 | |
| 2018-04-30 | 2018-05-01 | $19.59 | $19.99 | -0.26% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -6.48% | 23 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-08-30 | 2017-09-26 | $23.55 | $23.02 | -0.88% | 19 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -2.26% | 3 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 20.81% | 70 | |
| 2016-12-14 | 2017-03-09 | $13.25 | $16.33 | 24.34% | 58 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-07-19 | 2016-08-29 | $15.02 | $14.35 | -2.96% | 30 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-12-17 | 2016-01-05 | $15.56 | $14.90 | -4.92% | 12 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -5.68% | 12 | |
| 2015-11-23 | 2015-11-24 | $14.52 | $14.55 | -1.23% | 2 | |
| 2015-11-19 | 2015-11-20 | $14.79 | $14.67 | 0.13% | 2 | |
| 2015-11-09 | 2015-11-10 | $15.02 | $14.43 | -3.22% | 2 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-08 | 2015-07-28 | $13.84 | $17.65 | 24.24% | 78 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -4.70% | 2 | |
| 2015-02-10 | 2015-02-13 | $14.42 | $13.58 | -6.90% | 4 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -6.30% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-06-16 | 2014-09-23 | $14.97 | $16.69 | 20.89% | 70 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.66% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -3.02% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-28 | $10.94 | $14.16 | 28.30% | 51 | |
| 2013-12-24 | 2014-01-14 | $10.09 | $10.75 | -3.12% | 14 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.59% | 2 |