Strategy Zoo / S0342
LongTermTrend_V0342
ARCHIVEDhybridstructuralrestricted to volatility regimes ['HIGH_VOLATILITY']; changed sma_200_slope threshold -0.0022 -> -0.0044
Fitness
0.3598
Generation
16
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1208
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0342 [hybrid]
require regime.volatility in ['HIGH_VOLATILITY']
if flat and (((close > sma_200 and sma_200_slope > -0.0044) or ret_5d > 0.0029) and ret_20d > 0.1208 and ret_20d > 0.0326):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.9% | 8.3% | 16.5% | 15.5% |
| Total Return | 272.7% | 26.9% | 75.6% | 731.0% |
| Sharpe | 0.90 | 0.40 | 0.81 | 0.70 |
| Sortino | 0.62 | 0.24 | 0.43 | 0.39 |
| Calmar | 0.61 | 0.23 | 0.62 | 0.43 |
| Volatility | 20.5% | 37.0% | 21.8% | 25.0% |
| Max DD | -29.2% | -35.9% | -26.7% | -35.9% |
| Win Rate | 62.5% | 58.3% | 66.7% | 62.2% |
| Avg Win | 20.4% | 13.0% | 16.1% | 17.0% |
| Avg Loss | -5.9% | -10.9% | -8.4% | -8.2% |
| Payoff | 3.45 | 1.19 | 1.92 | 2.07 |
| Expectancy | 10.5% | 3.0% | 8.0% | 7.5% |
| Profit Factor | 5.76 | 1.66 | 3.83 | 3.40 |
| Trades | 16 | 12 | 9 | 37 |
| Avg Holding Days | 16.4 | 11.8 | 12.0 | 13.8 |
| Turnover | 4.0 | 8.0 | 4.9 | 5.0 |
| Exposure | 12.2% | 17.2% | 10.6% | 12.8% |
Growth of $100
LongTermTrend_V0342 vs TSLA Buy & Hold
LongTermTrend_V0342 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 | 13.2% | 1.89 | -1.7% | 1 |
| 2017 | 4.8% | 0.60 | -5.0% | 3 |
| 2018 | -26.1% | -1.15 | -29.2% | 4 |
| 2019 | 18.2% | 1.46 | -4.5% | 1 |
| 2020 | 55.7% | 1.03 | -35.8% | 7 |
| 2021 | 9.3% | 1.02 | -5.1% | 2 |
| 2022 | -25.6% | -1.97 | -25.5% | 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 | 23.2% | 1.04 | 10% |
| hidden test | EXPENSIVE | 83 | 14.4% | 0.57 | 17% |
| hidden test | EXTREME | 48 | 163.7% | 3.48 | 52% |
| hidden test | HIGH VOLATILITY | 254 | 51.2% | 1.25 | 37% |
| hidden test | LOW VOLATILITY | 429 | -0.9% | -0.82 | 0% |
| hidden test | MEDIUM VOLATILITY | 248 | 15.2% | 1.88 | 2% |
| hidden test | NORMAL | 800 | 9.2% | 0.49 | 8% |
| hidden test | SIDEWAYS | 293 | 14.3% | 0.93 | 6% |
| hidden test | UPTREND | 371 | 16.2% | 0.64 | 15% |
| train | DOWNTREND | 518 | 4.5% | 0.73 | 2% |
| train | EXPENSIVE | 311 | 22.3% | 1.13 | 24% |
| train | EXTREME | 100 | 319.3% | 4.72 | 68% |
| train | HIGH VOLATILITY | 699 | 49.2% | 1.44 | 33% |
| train | LOW VOLATILITY | 745 | 1.3% | 0.40 | 0% |
| train | MEDIUM VOLATILITY | 568 | 3.1% | 0.53 | 2% |
| train | NORMAL | 1,601 | -1.0% | -0.09 | 6% |
| train | SIDEWAYS | 592 | -6.9% | -0.53 | 8% |
| train | UPTREND | 902 | 43.2% | 1.52 | 21% |
| validation | DOWNTREND | 125 | -2.0% | -0.21 | 2% |
| validation | EXPENSIVE | 138 | -22.7% | -0.64 | 7% |
| validation | EXTREME | 144 | 132.9% | 1.80 | 66% |
| validation | HIGH VOLATILITY | 258 | 50.7% | 0.81 | 47% |
| validation | LOW VOLATILITY | 183 | 0.0% | 0.00 | 0% |
| validation | MEDIUM VOLATILITY | 315 | -6.0% | -0.94 | 3% |
| validation | NORMAL | 474 | -10.1% | -0.81 | 5% |
| validation | SIDEWAYS | 206 | -9.5% | -0.51 | 8% |
| validation | UPTREND | 425 | 31.6% | 0.67 | 26% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-05-13 | 2025-05-19 | $334.07 | $342.09 | 9.71% | 5 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-12-23 | 2025-01-14 | $430.60 | $396.36 | -4.40% | 14 | |
| 2024-11-07 | 2024-12-11 | $296.91 | $424.77 | 38.70% | 24 | |
| 2024-09-11 | 2024-09-16 | $228.13 | $226.78 | 1.62% | 4 | |
| 2024-07-12 | 2024-08-02 | $248.23 | $207.67 | -10.21% | 16 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.89% | 8 | |
| 2023-01-25 | 2023-02-28 | $144.43 | $205.71 | 44.01% | 24 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-10 | 2021-11-23 | $355.98 | $369.68 | 12.81% | 10 | |
| 2021-04-06 | 2021-04-08 | $230.54 | $227.93 | -3.10% | 3 | |
| 2020-10-07 | 2020-10-13 | $141.77 | $148.88 | 6.63% | 5 | |
| 2020-09-01 | 2020-09-24 | $158.35 | $129.26 | -23.83% | 17 | |
| 2020-08-27 | 2020-08-31 | $149.25 | $166.11 | 2.60% | 3 | |
| 2020-08-19 | 2020-08-26 | $125.24 | $143.54 | 7.01% | 6 | |
| 2020-07-06 | 2020-08-10 | $91.44 | $94.57 | 19.97% | 26 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2020-01-31 | 2020-03-04 | $43.37 | $49.97 | 16.11% | 23 | |
| 2019-10-25 | 2019-11-22 | $21.88 | $22.20 | 18.18% | 21 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-13 | 2018-07-06 | $22.99 | $20.59 | -9.99% | 17 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-07 | 2017-08-15 | $23.68 | $24.16 | 1.73% | 7 | |
| 2017-04-21 | 2017-04-24 | $20.37 | $20.54 | 0.82% | 2 | |
| 2017-04-04 | 2017-04-20 | $20.25 | $20.17 | 2.14% | 12 | |
| 2016-03-04 | 2016-03-17 | $13.40 | $15.09 | 13.16% | 10 | |
| 2014-02-26 | 2014-03-20 | $16.87 | $15.66 | -5.09% | 17 | |
| 2014-01-17 | 2014-02-13 | $11.33 | $13.31 | 14.01% | 19 | |
| 2013-12-18 | 2014-01-03 | $9.87 | $9.97 | -1.75% | 11 | |
| 2013-07-18 | 2013-09-09 | $7.94 | $10.71 | 38.57% | 37 | |
| 2013-05-08 | 2013-06-26 | $3.72 | $7.05 | 84.10% | 35 | |
| 2013-04-02 | 2013-04-30 | $2.96 | $3.60 | 24.81% | 21 | |
| 2012-02-06 | 2012-02-15 | $2.12 | $2.24 | 6.27% | 8 |