Strategy Zoo / S0347
LongTermTrend_V0347
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXPENSIVE']
Fitness
0.5791
Generation
16
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
added entry filter: dist_sma_50 > -0.0774
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0347 [hybrid]
require regime.bubble in ['EXPENSIVE']
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):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.4% | 47.1% | 10.6% | 17.9% |
| Total Return | 136.4% | 218.3% | 45.0% | 1022.9% |
| Sharpe | 0.75 | 1.96 | 0.76 | 1.06 |
| Sortino | 0.47 | 1.59 | 0.39 | 0.68 |
| Calmar | 0.58 | 4.47 | 1.06 | 0.92 |
| Volatility | 15.9% | 20.8% | 14.6% | 16.8% |
| Max DD | -19.5% | -10.5% | -10.0% | -19.5% |
| Win Rate | 60.0% | 75.0% | 75.0% | 66.7% |
| Avg Win | 9.8% | 23.2% | 8.1% | 13.4% |
| Avg Loss | -3.8% | -2.6% | -4.3% | -3.7% |
| Payoff | 2.56 | 9.10 | 1.88 | 3.62 |
| Expectancy | 4.4% | 16.8% | 5.0% | 7.7% |
| Profit Factor | 3.84 | 10.00 | 5.63 | 7.25 |
| Trades | 20 | 8 | 8 | 36 |
| Avg Holding Days | 12.2 | 11.8 | 8.9 | 11.7 |
| Turnover | 5.1 | 5.3 | 4.3 | 4.9 |
| Exposure | 11.6% | 11.4% | 6.8% | 10.4% |
Growth of $100
LongTermTrend_V0347 vs TSLA Buy & Hold
LongTermTrend_V0347 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -5.1% | -0.10 | -18.8% | 8 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 157.0% | 3.20 | -10.5% | 6 |
| 2021 | 19.2% | 1.08 | -10.1% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 60.6% | 1.46 | 66% |
| hidden test | EXTREME | 48 | 154.6% | 4.91 | 10% |
| hidden test | HIGH VOLATILITY | 254 | 37.6% | 2.06 | 5% |
| hidden test | LOW VOLATILITY | 429 | 11.0% | 1.69 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.8% | -0.80 | 15% |
| hidden test | NORMAL | 800 | -2.6% | -0.99 | 0% |
| hidden test | SIDEWAYS | 293 | -1.0% | -0.31 | 1% |
| hidden test | UPTREND | 371 | 28.7% | 1.25 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 64.3% | 1.80 | 70% |
| train | EXTREME | 100 | 97.4% | 3.20 | 6% |
| train | HIGH VOLATILITY | 699 | 29.2% | 1.41 | 13% |
| train | LOW VOLATILITY | 745 | 8.7% | 0.81 | 10% |
| train | MEDIUM VOLATILITY | 568 | -4.8% | -0.32 | 12% |
| train | NORMAL | 1,601 | -3.5% | -1.07 | 1% |
| train | SIDEWAYS | 592 | 3.3% | 0.40 | 5% |
| train | UPTREND | 902 | 24.6% | 1.08 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 150.9% | 3.67 | 59% |
| validation | EXTREME | 144 | 69.1% | 2.83 | 3% |
| validation | HIGH VOLATILITY | 258 | 29.0% | 1.74 | 3% |
| validation | LOW VOLATILITY | 183 | -1.4% | -0.11 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 74.7% | 2.79 | 21% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 72.4% | 2.62 | 20% |
Trades (full period)
36 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2025-05-15 | 2025-05-22 | $342.82 | $341.04 | -3.95% | 6 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-14 | 2024-11-19 | $311.18 | $346.00 | 2.36% | 4 | |
| 2024-11-07 | 2024-11-12 | $296.91 | $328.49 | 21.07% | 4 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.98% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 45.30% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-09-09 | 2020-09-15 | $122.09 | $149.92 | 26.84% | 5 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 4.84% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 43.15% | 24 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -9.51% | 4 | |
| 2017-06-01 | 2017-06-14 | $22.69 | $25.38 | 10.03% | 10 | |
| 2017-04-07 | 2017-05-24 | $20.17 | $20.68 | 1.53% | 33 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 8.95% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -2.31% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2014-01-08 | 2014-01-10 | $10.09 | $9.71 | -1.42% | 3 | |
| 2013-12-23 | 2014-01-07 | $9.57 | $9.96 | 2.42% | 10 | |
| 2013-12-13 | 2013-12-20 | $9.84 | $9.55 | -4.77% | 6 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 3.16% | 32 | |
| 2013-08-15 | 2013-08-23 | $9.31 | $10.79 | 12.50% | 7 | |
| 2013-08-08 | 2013-08-09 | $10.23 | $10.20 | 14.13% | 2 | |
| 2013-07-19 | 2013-07-22 | $7.98 | $8.16 | 0.35% | 2 | |
| 2013-07-17 | 2013-07-18 | $8.02 | $7.94 | 10.06% | 2 | |
| 2013-04-11 | 2013-04-19 | $2.91 | $3.19 | 11.99% | 7 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |