Strategy Zoo / S0335
LongTermTrend_V0335
ARCHIVEDhybridstructuraladded entry filter: ret_5d < 0.0403; restricted to trend regimes ['DOWNTREND']
Fitness
0.4345
Generation
15
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0728
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0335 [hybrid]
require regime.trend in ['DOWNTREND']
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997 and ret_5d < 0.0403):
position = 1.0
if long and ret_20d < 0.0728:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 4.5% | -5.2% | 0.8% |
| Total Return | 20.9% | 14.0% | -18.0% | 13.0% |
| Sharpe | 0.58 | 1.02 | -0.40 | 0.16 |
| Sortino | 0.13 | 2.85 | -0.14 | 0.04 |
| Calmar | 0.39 | 10.63 | -0.17 | 0.03 |
| Volatility | 4.3% | 4.4% | 11.6% | 6.9% |
| Max DD | -6.1% | -0.4% | -29.9% | -29.9% |
| Win Rate | 52.9% | 100.0% | 42.9% | 54.3% |
| Avg Win | 3.8% | 3.3% | 2.4% | 3.3% |
| Avg Loss | -1.7% | 0.0% | -4.1% | -2.9% |
| Payoff | 2.23 | 5.00 | 0.58 | 1.12 |
| Expectancy | 1.2% | 3.3% | -1.3% | 0.4% |
| Profit Factor | 2.51 | 5.00 | 0.44 | 1.33 |
| Trades | 17 | 4 | 14 | 35 |
| Avg Holding Days | 3.1 | 3.0 | 4.2 | 3.5 |
| Turnover | 4.3 | 2.7 | 7.6 | 4.8 |
| Exposure | 1.8% | 1.1% | 4.8% | 2.4% |
Growth of $100
LongTermTrend_V0335 vs TSLA Buy & Hold
LongTermTrend_V0335 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 | 26.1% | 2.97 | -0.8% | 3 |
| 2017 | 0.0% | 0.00 | 0.0% | 0 |
| 2018 | 0.4% | 0.11 | -4.7% | 2 |
| 2019 | -0.9% | -1.50 | -0.9% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 14.1% | 1.78 | -0.4% | 4 |
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 | -17.7% | -0.83 | 16% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -15.9% | -1.13 | 6% |
| hidden test | LOW VOLATILITY | 429 | 5.2% | 0.47 | 5% |
| hidden test | MEDIUM VOLATILITY | 248 | -10.3% | -1.09 | 3% |
| hidden test | NORMAL | 800 | -5.5% | -0.44 | 6% |
| hidden test | SIDEWAYS | 293 | 1.2% | 0.36 | 1% |
| hidden test | UPTREND | 371 | 0.0% | 0.00 | 0% |
| train | DOWNTREND | 518 | 4.4% | 0.59 | 6% |
| train | EXPENSIVE | 311 | 0.0% | 0.00 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.2% | 0.70 | 2% |
| train | LOW VOLATILITY | 745 | 0.1% | 0.02 | 1% |
| train | MEDIUM VOLATILITY | 568 | 4.7% | 0.95 | 3% |
| train | NORMAL | 1,601 | 3.1% | 0.65 | 2% |
| train | SIDEWAYS | 592 | 4.5% | 1.26 | 1% |
| train | UPTREND | 902 | 0.0% | 0.00 | 0% |
| validation | DOWNTREND | 125 | 27.1% | 2.54 | 6% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 3.9% | 0.89 | 1% |
| validation | LOW VOLATILITY | 183 | 1.1% | 1.17 | 1% |
| validation | MEDIUM VOLATILITY | 315 | 6.9% | 1.26 | 2% |
| validation | NORMAL | 474 | 7.1% | 1.29 | 2% |
| validation | SIDEWAYS | 206 | -0.1% | -0.58 | 0% |
| validation | UPTREND | 425 | 0.0% | 0.00 | 0% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-08-21 | 2026-09-15 | $362.86 | $356.58 | 3.81% | 17 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-05-05 | 2025-05-09 | $280.26 | $298.26 | -1.03% | 5 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-05-07 | 2024-05-08 | $177.81 | $174.72 | -3.96% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2024-02-26 | 2024-02-28 | $199.40 | $202.04 | 3.84% | 3 | |
| 2022-07-29 | 2022-08-02 | $297.15 | $300.59 | 5.62% | 3 | |
| 2022-07-19 | 2022-07-21 | $245.53 | $271.71 | 2.69% | 3 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 1.07% | 3 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2019-09-27 | 2019-10-01 | $16.14 | $16.31 | -0.90% | 3 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-04-27 | 2018-05-03 | $19.61 | $18.96 | 5.28% | 5 | |
| 2016-12-15 | 2016-12-28 | $13.17 | $14.65 | 10.27% | 9 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-14 | 2016-03-21 | $14.34 | $15.89 | 11.94% | 6 | |
| 2015-12-23 | 2015-12-24 | $15.31 | $15.37 | -0.31% | 2 | |
| 2015-12-18 | 2015-12-21 | $15.36 | $15.50 | -1.45% | 2 | |
| 2015-12-15 | 2015-12-16 | $14.74 | $15.63 | 0.95% | 2 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-11-19 | 2015-11-20 | $14.79 | $14.67 | 0.13% | 2 | |
| 2015-02-20 | 2015-02-24 | $14.47 | $13.61 | -2.26% | 3 | |
| 2015-02-18 | 2015-02-19 | $13.63 | $14.11 | -0.15% | 2 | |
| 2015-02-13 | 2015-02-17 | $13.58 | $13.62 | 0.24% | 2 | |
| 2015-02-10 | 2015-02-11 | $14.42 | $14.19 | -0.75% | 2 | |
| 2012-10-09 | 2012-10-10 | $1.89 | $1.89 | -3.21% | 2 | |
| 2012-08-30 | 2012-09-04 | $1.89 | $1.88 | 0.19% | 3 |