Strategy Zoo / S0263
LongTermTrend_V0263
ARCHIVEDhybridstructuralswapped indicator sma_200_slope -> dist_sma_20; restricted to volatility regimes ['LOW_VOLATILITY']
Fitness
0.3802
Generation
12
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
swapped indicator ret_20d -> ret_5d; changed sma_200_slope threshold 0.0 -> -0.0022
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0263 [hybrid]
require regime.volatility in ['LOW_VOLATILITY']
if flat and (((close > sma_200 and dist_sma_20 > -0.1741) or ret_5d > 0.0029) and ret_20d > 0.05 and cumret_252d > -0.1997):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.9% | 21.9% | 12.6% | 11.5% |
| Total Return | 70.8% | 81.1% | 55.0% | 393.8% |
| Sharpe | 0.44 | 1.28 | 0.64 | 0.64 |
| Sortino | 0.30 | 1.06 | 0.42 | 0.43 |
| Calmar | 0.15 | 1.40 | 0.48 | 0.25 |
| Volatility | 19.9% | 16.5% | 22.5% | 20.0% |
| Max DD | -45.3% | -15.6% | -26.2% | -45.3% |
| Win Rate | 51.4% | 66.7% | 50.0% | 52.5% |
| Avg Win | 8.3% | 21.8% | 13.3% | 12.2% |
| Avg Loss | -5.8% | -8.0% | -5.7% | -5.9% |
| Payoff | 1.43 | 2.71 | 2.33 | 2.05 |
| Expectancy | 1.4% | 11.9% | 3.8% | 3.6% |
| Profit Factor | 1.51 | 5.42 | 2.33 | 2.27 |
| Trades | 37 | 6 | 16 | 59 |
| Avg Holding Days | 12.0 | 19.2 | 12.1 | 13.2 |
| Turnover | 9.4 | 4.0 | 8.7 | 8.0 |
| Exposure | 21.5% | 14.4% | 19.1% | 19.5% |
Growth of $100
LongTermTrend_V0263 vs TSLA Buy & Hold
LongTermTrend_V0263 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 | -12.9% | -0.99 | -17.3% | 8 |
| 2017 | -0.8% | 0.03 | -23.3% | 7 |
| 2018 | 2.7% | 0.58 | -3.1% | 2 |
| 2019 | -3.7% | 0.02 | -31.5% | 5 |
| 2020 | 41.1% | 2.10 | -2.8% | 2 |
| 2021 | 51.7% | 2.06 | -12.6% | 2 |
| 2022 | -15.6% | -2.03 | -15.5% | 2 |
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 | -11.1% | -0.66 | 9% |
| hidden test | EXPENSIVE | 83 | 58.9% | 2.34 | 17% |
| hidden test | EXTREME | 48 | 6.8% | 0.27 | 6% |
| hidden test | HIGH VOLATILITY | 254 | 0.0% | 0.00 | 0% |
| hidden test | LOW VOLATILITY | 429 | 49.4% | 1.84 | 38% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.5% | -1.25 | 5% |
| hidden test | NORMAL | 800 | 10.2% | 0.47 | 20% |
| hidden test | SIDEWAYS | 293 | 14.9% | 0.78 | 25% |
| hidden test | UPTREND | 371 | 32.4% | 1.16 | 22% |
| train | DOWNTREND | 518 | -13.7% | -1.09 | 8% |
| train | EXPENSIVE | 311 | 23.9% | 1.21 | 23% |
| train | EXTREME | 100 | 23.4% | 1.30 | 12% |
| train | HIGH VOLATILITY | 699 | 4.0% | 0.23 | 1% |
| train | LOW VOLATILITY | 745 | 33.0% | 1.35 | 54% |
| train | MEDIUM VOLATILITY | 568 | -17.5% | -1.11 | 4% |
| train | NORMAL | 1,601 | 4.8% | 0.24 | 22% |
| train | SIDEWAYS | 592 | -8.2% | -0.50 | 13% |
| train | UPTREND | 902 | 32.6% | 1.32 | 35% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 37.3% | 2.25 | 5% |
| validation | EXTREME | 144 | 27.2% | 1.72 | 4% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 44.5% | 1.72 | 58% |
| validation | MEDIUM VOLATILITY | 315 | 24.9% | 1.52 | 1% |
| validation | NORMAL | 474 | 14.6% | 0.87 | 20% |
| validation | SIDEWAYS | 206 | -8.7% | -0.58 | 18% |
| validation | UPTREND | 425 | 41.8% | 2.16 | 17% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-09-08 | $362.86 | $368.16 | 2.39% | 12 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.82% | 4 | |
| 2025-08-11 | 2025-09-26 | $339.03 | $440.40 | 28.18% | 34 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2024-12-16 | 2024-12-19 | $463.02 | $436.17 | 0.70% | 4 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 17.53% | 5 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -12.80% | 6 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-07-26 | 2023-07-31 | $264.35 | $267.43 | 0.24% | 4 | |
| 2023-07-12 | 2023-07-21 | $271.99 | $260.02 | -2.75% | 8 | |
| 2023-05-24 | 2023-07-05 | $182.90 | $282.48 | 50.32% | 28 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-08-19 | 2022-08-29 | $296.67 | $284.82 | -5.07% | 7 | |
| 2021-08-04 | 2021-10-26 | $236.97 | $339.48 | 44.11% | 59 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2020-06-03 | 2020-06-11 | $58.86 | $64.86 | 16.04% | 7 | |
| 2019-11-22 | 2020-01-14 | $22.20 | $35.86 | 47.61% | 35 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 17.02% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -9.40% | 9 | |
| 2019-07-16 | 2019-07-26 | $16.83 | $15.20 | -9.92% | 9 | |
| 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 | |
| 2018-12-13 | 2018-12-14 | $25.12 | $24.38 | 2.58% | 2 | |
| 2018-01-29 | 2018-02-05 | $23.30 | $22.21 | 0.06% | 6 | |
| 2017-12-22 | 2017-12-27 | $21.68 | $20.78 | -4.53% | 3 | |
| 2017-12-14 | 2017-12-20 | $22.53 | $21.93 | -2.53% | 5 | |
| 2017-06-16 | 2017-06-28 | $24.76 | $24.75 | -3.65% | 9 | |
| 2017-06-08 | 2017-06-12 | $24.67 | $23.93 | -0.84% | 3 | |
| 2017-05-03 | 2017-05-05 | $20.73 | $20.56 | -7.53% | 3 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2016-12-29 | 2017-02-24 | $14.31 | $17.13 | 16.26% | 39 | |
| 2016-12-22 | 2016-12-28 | $13.90 | $14.65 | 5.48% | 4 | |
| 2016-12-20 | 2016-12-21 | $13.92 | $13.85 | 2.79% | 2 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.90% | 23 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-04-28 | 2016-04-29 | $16.51 | $16.05 | -1.69% | 2 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.75% | 2 | |
| 2016-03-22 | 2016-03-24 | $15.62 | $15.18 | -6.79% | 3 | |
| 2015-09-28 | 2015-10-02 | $16.56 | $16.50 | -6.82% | 5 | |
| 2015-04-08 | 2015-07-21 | $13.84 | $17.78 | 38.60% | 73 | |
| 2015-02-10 | 2015-03-03 | $14.42 | $13.30 | -9.45% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-02-18 | 2014-02-20 | $13.58 | $14.00 | -2.51% | 3 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -7.02% | 7 | |
| 2013-09-09 | 2013-10-04 | $10.71 | $12.07 | 3.59% | 20 | |
| 2013-07-11 | 2013-07-16 | $8.37 | $7.27 | 3.88% | 4 | |
| 2013-05-06 | 2013-05-07 | $3.97 | $3.70 | 8.87% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-07-12 | 2012-07-13 | $2.18 | $2.28 | 3.57% | 2 | |
| 2012-02-15 | 2012-04-04 | $2.24 | $2.33 | 14.36% | 35 |