Strategy Zoo / S0268
LongTermTrend_V0268
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0173 AND VolumeBreakout_V0245
Fitness
0.6329
Generation
13
Complexity
13
Created
2026-09-18
Lineage
Parents (2)
swapped indicator ret_20d -> ret_5d; changed sma_200_slope threshold 0.0 -> -0.0022
entry from VolumeBreakout_V0189, exit from LongTermTrend_V0219
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0268 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.05 and cumret_252d > -0.1997) and (breakout_50 == 1 and rel_volume > 1.3829)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.4% | 88.0% | 9.8% | 26.7% |
| Total Return | 235.6% | 564.4% | 41.3% | 3143.9% |
| Sharpe | 0.70 | 1.67 | 0.50 | 0.93 |
| Sortino | 0.59 | 1.33 | 0.32 | 0.71 |
| Calmar | 0.39 | 2.61 | 0.43 | 0.63 |
| Volatility | 26.3% | 43.6% | 25.0% | 30.4% |
| Max DD | -42.3% | -33.7% | -22.7% | -42.3% |
| Win Rate | 50.0% | 100.0% | 80.0% | 66.7% |
| Avg Win | 27.0% | 39.8% | 12.6% | 32.3% |
| Avg Loss | -8.2% | 0.0% | -9.1% | -8.3% |
| Payoff | 3.30 | 5.00 | 1.39 | 3.90 |
| Expectancy | 9.4% | 39.8% | 8.3% | 18.8% |
| Profit Factor | 3.30 | 5.00 | 5.56 | 7.80 |
| Trades | 16 | 6 | 5 | 27 |
| Avg Holding Days | 33.2 | 41.2 | 32.8 | 36.6 |
| Turnover | 4.1 | 4.0 | 2.7 | 3.7 |
| Exposure | 27.9% | 31.9% | 17.1% | 26.0% |
Growth of $100
LongTermTrend_V0268 vs TSLA Buy & Hold
LongTermTrend_V0268 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 | -8.7% | -0.86 | -15.0% | 1 |
| 2017 | -2.1% | 0.02 | -25.0% | 4 |
| 2018 | -23.1% | -1.30 | -33.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 264.5% | 2.29 | -33.7% | 3 |
| 2021 | 65.6% | 1.73 | -17.6% | 2 |
| 2022 | 5.8% | 0.45 | -8.2% | 1 |
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 | 38.0% | 0.88 | 64% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 7.7% | 0.24 | 20% |
| hidden test | LOW VOLATILITY | 429 | 18.3% | 1.16 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.4% | 0.25 | 21% |
| hidden test | NORMAL | 800 | -1.1% | -0.06 | 9% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 31.4% | 0.79 | 43% |
| train | DOWNTREND | 518 | -0.6% | -0.63 | 1% |
| train | EXPENSIVE | 311 | 19.3% | 0.57 | 53% |
| train | EXTREME | 100 | 378.9% | 5.20 | 95% |
| train | HIGH VOLATILITY | 699 | 38.4% | 1.10 | 27% |
| train | LOW VOLATILITY | 745 | 26.2% | 1.28 | 37% |
| train | MEDIUM VOLATILITY | 568 | -15.9% | -0.79 | 17% |
| train | NORMAL | 1,601 | -4.1% | -0.24 | 19% |
| train | SIDEWAYS | 592 | -5.9% | -0.55 | 4% |
| train | UPTREND | 902 | 45.6% | 1.19 | 59% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 59.8% | 1.11 | 52% |
| validation | EXTREME | 144 | 235.1% | 3.16 | 64% |
| validation | HIGH VOLATILITY | 258 | 72.4% | 1.19 | 31% |
| validation | LOW VOLATILITY | 183 | 23.0% | 1.44 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 101.7% | 2.74 | 38% |
| validation | NORMAL | 474 | 27.0% | 1.25 | 16% |
| validation | SIDEWAYS | 206 | -4.8% | -0.39 | 7% |
| validation | UPTREND | 425 | 126.0% | 2.22 | 52% |
Trades (full period)
27 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-06-12 | 2023-08-02 | $249.83 | $254.11 | 6.61% | 36 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2021-09-20 | 2021-12-01 | $243.39 | $365.00 | 50.42% | 52 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-06-11 | 2020-08-10 | $64.86 | $94.57 | 41.43% | 42 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-08-08 | 2018-08-31 | $24.69 | $20.11 | -20.30% | 18 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2017-09-19 | 2017-09-29 | $25.01 | $22.74 | -11.97% | 9 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-28 | 2017-03-08 | $14.65 | $16.46 | 13.01% | 48 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-17 | $15.14 | $14.36 | -6.45% | 21 | |
| 2014-02-21 | 2014-03-26 | $13.97 | $14.20 | 4.78% | 24 | |
| 2013-07-03 | 2013-10-22 | $7.68 | $11.44 | 46.20% | 78 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2012-11-29 | 2013-01-11 | $2.25 | $2.19 | 0.70% | 30 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -8.13% | 20 |