Strategy Zoo / S0339

LongTermTrend_V0339

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V0235 OR PriceMomentum_V0227

Fitness

0.5917

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDcrossover

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

LongTermTrend_V0235S0235 · gen 11ARCHIVEDcrossover

added entry filter: dist_sma_50 > -0.0774

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0339  [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 and dist_sma_50 > -0.0774) or (ret_20d > 0.05 and rel_volume > 1.2635)):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.1%	118.8%	13.2%	33.4%
Total Return	302.9%	947.6%	58.3%	6780.6%
Sharpe	0.64	1.70	0.50	0.88
Sortino	0.83	2.08	0.64	1.11
Calmar	0.26	2.74	0.28	0.46
Volatility	38.9%	54.9%	42.9%	43.6%
Max DD	-72.7%	-43.4%	-47.0%	-72.7%
Win Rate	38.1%	62.5%	60.0%	48.7%
Avg Win	67.8%	87.0%	16.2%	63.3%
Avg Loss	-13.3%	-13.2%	-9.3%	-12.5%
Payoff	5.11	6.60	1.74	5.08
Expectancy	17.6%	49.4%	6.0%	24.4%
Profit Factor	3.14	10.00	2.61	4.83
Trades	21	8	10	39
Avg Holding Days	63.6	65.5	60.8	65.3
Turnover	5.4	5.3	5.7	5.4
Exposure	69.1%	68.3%	66.3%	68.3%

Growth of $100

LongTermTrend_V0339 vs TSLA Buy & Hold

LongTermTrend_V0339 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	-27.2%	-1.00	-48.6%	4
2017	15.7%	0.61	-34.5%	2
2018	-21.6%	-0.41	-41.1%	3
2019	33.6%	1.01	-28.7%	3
2020	842.7%	3.35	-33.7%	2
2021	44.7%	1.10	-29.3%	3
2022	-26.5%	-0.64	-31.4%	3

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	-0.6%	-0.02	37%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	28.1%	0.51	58%
hidden test	LOW VOLATILITY	429	45.9%	1.37	71%
hidden test	MEDIUM VOLATILITY	248	-27.2%	-0.62	67%
hidden test	NORMAL	800	4.7%	0.11	64%
hidden test	SIDEWAYS	293	-20.0%	-0.51	73%
hidden test	UPTREND	371	70.4%	1.42	82%
train	DOWNTREND	518	-15.6%	-0.57	47%
train	EXPENSIVE	311	83.7%	1.92	83%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	50.1%	1.03	57%
train	LOW VOLATILITY	745	30.8%	1.05	80%
train	MEDIUM VOLATILITY	568	-13.9%	-0.38	70%
train	NORMAL	1,601	-10.9%	-0.32	64%
train	SIDEWAYS	592	-24.4%	-0.69	60%
train	UPTREND	902	80.6%	1.76	88%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	113.0%	1.62	56%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	99.2%	1.93	67%
validation	NORMAL	474	5.9%	0.15	56%
validation	SIDEWAYS	206	-22.9%	-0.55	62%
validation	UPTREND	425	162.9%	2.49	85%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.15%	19	OPEN
2026-04-20	2026-06-26	$392.50	$379.71	-6.55%	48
2025-04-30	2026-04-09	$282.16	$345.62	17.30%	237
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-28	$296.91	$398.09	37.37%	54
2024-09-04	2024-10-23	$219.41	$213.65	3.30%	36
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2023-11-17	2024-01-18	$234.30	$211.88	-7.91%	41
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-24	2023-08-14	$182.90	$239.76	30.36%	56
2023-01-30	2023-03-10	$166.66	$173.44	-3.00%	29
2022-06-22	2022-10-06	$236.09	$238.13	1.39%	75
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-26	$383.20	$312.47	-23.61%	16
2021-06-14	2021-12-06	$205.90	$336.34	66.09%	123
2021-04-06	2021-05-12	$230.54	$196.63	-10.87%	27
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-12	2020-03-05	$16.39	$48.30	202.71%	121
2019-07-05	2019-08-15	$15.54	$14.38	-6.69%	30
2019-02-28	2019-03-07	$21.33	$18.44	-12.41%	6
2018-10-29	2019-01-04	$22.32	$21.18	-9.41%	46
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-04-30	2018-07-30	$19.59	$19.34	0.85%	64
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-07-19	2016-09-06	$15.02	$13.52	-12.76%	35
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-30	2016-01-21	$15.35	$13.33	-14.38%	36
2015-09-21	2015-10-13	$17.61	$14.62	-17.45%	17
2015-02-11	2015-08-26	$14.19	$14.99	1.52%	137
2014-11-11	2014-12-11	$16.74	$13.93	-13.43%	22
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-27	$9.84	$13.82	44.12%	71
2012-11-06	2013-10-29	$2.08	$10.96	415.98%	247
2012-08-24	2012-10-16	$1.97	$1.87	-11.25%	37
2012-06-19	2012-08-02	$2.14	$1.74	-17.72%	32
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58