Strategy Zoo / S0328
LongTermTrend_V0328
ARCHIVEDhybridstructuralreduce exposure to 55% during MEDIUM_VOLATILITY
Fitness
0.6046
Generation
15
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.085
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0328 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) 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 cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 27.0% | 74.3% | 14.8% | 32.4% |
| Total Return | 576.2% | 429.1% | 66.3% | 6027.2% |
| Sharpe | 0.92 | 1.46 | 0.60 | 0.99 |
| Sortino | 1.02 | 1.52 | 0.56 | 1.02 |
| Calmar | 0.52 | 2.20 | 0.41 | 0.63 |
| Volatility | 31.0% | 44.8% | 31.4% | 34.4% |
| Max DD | -51.5% | -33.8% | -36.0% | -51.5% |
| Win Rate | 36.4% | 60.0% | 42.9% | 43.5% |
| Avg Win | 31.0% | 31.6% | 21.3% | 32.8% |
| Avg Loss | -5.7% | -8.5% | -7.0% | -6.5% |
| Payoff | 5.41 | 3.70 | 3.04 | 5.05 |
| Expectancy | 7.6% | 15.6% | 5.1% | 10.6% |
| Profit Factor | 3.09 | 5.56 | 2.28 | 3.90 |
| Trades | 33 | 15 | 14 | 62 |
| Avg Holding Days | 28.8 | 29.9 | 27.1 | 29.9 |
| Turnover | 12.3 | 11.8 | 10.7 | 11.7 |
| Exposure | 43.5% | 46.3% | 36.2% | 42.3% |
Growth of $100
LongTermTrend_V0328 vs TSLA Buy & Hold
LongTermTrend_V0328 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 | -1.2% | 0.04 | -25.5% | 3 |
| 2017 | -3.4% | -0.05 | -26.4% | 5 |
| 2018 | -23.8% | -0.83 | -32.6% | 6 |
| 2019 | 48.0% | 1.43 | -19.6% | 1 |
| 2020 | 324.5% | 2.49 | -33.8% | 5 |
| 2021 | 61.7% | 1.80 | -16.6% | 5 |
| 2022 | -24.9% | -1.07 | -25.5% | 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 | -37.4% | -1.62 | 24% |
| hidden test | EXPENSIVE | 83 | 73.7% | 1.83 | 57% |
| hidden test | EXTREME | 48 | 184.1% | 3.40 | 64% |
| hidden test | HIGH VOLATILITY | 254 | 8.9% | 0.23 | 39% |
| hidden test | LOW VOLATILITY | 429 | 48.2% | 1.80 | 40% |
| hidden test | MEDIUM VOLATILITY | 248 | -22.3% | -0.75 | 27% |
| hidden test | NORMAL | 800 | 3.1% | 0.11 | 32% |
| hidden test | SIDEWAYS | 293 | 18.7% | 0.83 | 31% |
| hidden test | UPTREND | 371 | 59.1% | 1.45 | 49% |
| train | DOWNTREND | 518 | 4.2% | 0.33 | 13% |
| train | EXPENSIVE | 311 | 48.7% | 1.49 | 66% |
| train | EXTREME | 100 | 387.6% | 5.41 | 90% |
| train | HIGH VOLATILITY | 699 | 56.4% | 1.37 | 42% |
| train | LOW VOLATILITY | 745 | 36.4% | 1.49 | 56% |
| train | MEDIUM VOLATILITY | 568 | -15.7% | -0.69 | 29% |
| train | NORMAL | 1,601 | 2.3% | 0.09 | 36% |
| train | SIDEWAYS | 592 | -17.3% | -0.66 | 37% |
| train | UPTREND | 902 | 72.9% | 1.83 | 66% |
| validation | DOWNTREND | 125 | 32.6% | 1.77 | 8% |
| validation | EXPENSIVE | 138 | 30.1% | 0.66 | 41% |
| validation | EXTREME | 144 | 275.6% | 3.52 | 84% |
| validation | HIGH VOLATILITY | 258 | 86.7% | 1.33 | 50% |
| validation | LOW VOLATILITY | 183 | 29.0% | 1.06 | 62% |
| validation | MEDIUM VOLATILITY | 315 | 69.6% | 2.31 | 35% |
| validation | NORMAL | 474 | 12.1% | 0.46 | 36% |
| validation | SIDEWAYS | 206 | -20.8% | -0.74 | 37% |
| validation | UPTREND | 425 | 117.2% | 2.12 | 62% |
Trades (full period)
63 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -1.07% | 19 | OPEN |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -3.83% | 5 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-11 | 2025-11-14 | $339.03 | $404.35 | 21.03% | 69 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | 17.99% | 32 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 36.89% | 45 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | -1.50% | 29 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 8.27% | 26 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-02-27 | 2024-03-07 | $199.73 | $178.65 | -11.64% | 8 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -6.88% | 13 | |
| 2023-05-24 | 2023-08-02 | $182.90 | $254.11 | 43.10% | 48 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 13.48% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.24% | 26 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -22.89% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 62.41% | 84 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -9.94% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.70% | 6 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 29.70% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.92% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 5.14% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 8.00% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 100.53% | 83 | |
| 2019-09-13 | 2020-03-04 | $16.35 | $49.97 | 160.72% | 119 | |
| 2019-07-16 | 2019-08-12 | $16.83 | $15.27 | -7.48% | 20 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.40% | 36 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -4.78% | 5 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.73% | 41 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -7.93% | 10 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -3.20% | 24 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.46% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 4.23% | 41 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 26.05% | 57 | |
| 2016-07-19 | 2016-08-23 | $15.02 | $14.99 | -1.66% | 26 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.45% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 11.46% | 43 | |
| 2015-11-30 | 2016-01-05 | $15.35 | $14.90 | -2.24% | 25 | |
| 2015-09-21 | 2015-10-02 | $17.61 | $16.50 | -7.54% | 10 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -4.99% | 2 | |
| 2015-04-09 | 2015-07-28 | $14.01 | $17.65 | 27.81% | 77 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -5.46% | 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 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -1.84% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.18% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.63% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 58.92% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 181.54% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.68% | 23 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -8.98% | 8 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -8.71% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | -0.62% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 19.07% | 47 |