Strategy Zoo / S0357
LongTermTrend_V0357
ARCHIVEDhybridstructuralreplaced exit rule with: sma_100 < sma_200
Fitness
0.5910
Generation
16
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1208
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0357 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.1208 and ret_20d > 0.0326):
position = 1.0
if long and sma_100 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 27.1% | 87.6% | -1.1% | 29.5% |
| Total Return | 580.4% | 560.1% | -4.1% | 4332.2% |
| Sharpe | 0.82 | 1.28 | 0.20 | 0.78 |
| Sortino | 0.97 | 1.66 | 0.25 | 0.94 |
| Calmar | 0.64 | 1.44 | -0.02 | 0.49 |
| Volatility | 38.0% | 66.3% | 46.0% | 47.1% |
| Max DD | -42.2% | -60.6% | -53.8% | -60.6% |
| Win Rate | 46.9% | 46.7% | 57.7% | 50.3% |
| Avg Win | 12.4% | 106.3% | 4.1% | 19.3% |
| Avg Loss | -1.8% | -4.4% | -5.1% | -2.9% |
| Payoff | 6.93 | 10.00 | 0.80 | 6.58 |
| Expectancy | 4.9% | 47.2% | 0.2% | 8.2% |
| Profit Factor | 6.13 | 10.00 | 1.09 | 6.66 |
| Trades | 98 | 15 | 52 | 165 |
| Avg Holding Days | 12.2 | 38.7 | 11.7 | 14.6 |
| Turnover | 24.7 | 10.0 | 28.2 | 22.5 |
| Exposure | 56.0% | 74.7% | 59.5% | 60.7% |
Growth of $100
LongTermTrend_V0357 vs TSLA Buy & Hold
LongTermTrend_V0357 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 | -3.6% | -0.13 | -17.6% | 19 |
| 2017 | 13.9% | 0.57 | -22.3% | 14 |
| 2018 | -10.9% | -0.75 | -22.5% | 21 |
| 2019 | 26.1% | 1.44 | -9.4% | 21 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 11.0% | 0.46 | -36.2% | 5 |
| 2022 | -38.4% | -0.85 | -47.7% | 10 |
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 | 6.8% | 0.14 | 41% |
| hidden test | EXPENSIVE | 83 | 90.8% | 1.33 | 94% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 85.1% | 1.34 | 52% |
| hidden test | LOW VOLATILITY | 429 | -16.5% | -0.49 | 65% |
| hidden test | MEDIUM VOLATILITY | 248 | -23.8% | -0.55 | 58% |
| hidden test | NORMAL | 800 | -9.7% | -0.23 | 54% |
| hidden test | SIDEWAYS | 293 | -32.5% | -0.85 | 55% |
| hidden test | UPTREND | 371 | 44.1% | 0.87 | 76% |
| train | DOWNTREND | 518 | -33.3% | -1.31 | 30% |
| train | EXPENSIVE | 311 | 82.2% | 1.62 | 92% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 66.0% | 1.36 | 50% |
| train | LOW VOLATILITY | 745 | 8.4% | 0.32 | 63% |
| train | MEDIUM VOLATILITY | 568 | 18.1% | 0.51 | 55% |
| train | NORMAL | 1,601 | -2.8% | -0.09 | 46% |
| train | SIDEWAYS | 592 | 49.8% | 1.31 | 57% |
| train | UPTREND | 902 | 55.9% | 1.28 | 71% |
| validation | DOWNTREND | 125 | -24.5% | -0.80 | 22% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 133.2% | 1.44 | 81% |
| validation | LOW VOLATILITY | 183 | 23.4% | 0.78 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 81.1% | 1.47 | 81% |
| validation | NORMAL | 474 | -5.7% | -0.11 | 60% |
| validation | SIDEWAYS | 206 | -10.4% | -0.18 | 84% |
| validation | UPTREND | 425 | 163.3% | 2.13 | 86% |
Trades (full period)
latest 100 of 165
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2025-09-25 | 2026-05-19 | $423.39 | $404.11 | -7.60% | 163 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2024-09-13 | 2025-06-13 | $230.29 | $325.31 | 38.58% | 188 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2023-06-28 | 2024-02-09 | $256.24 | $193.57 | -24.39% | 157 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -1.04% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2021-10-25 | 2022-05-27 | $341.62 | $253.21 | -22.35% | 150 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 3.05% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2019-11-20 | 2021-08-10 | $23.48 | $236.66 | 890.65% | 433 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.82% | 2 | |
| 2019-11-14 | 2019-11-15 | $23.29 | $23.48 | 0.74% | 2 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 1.20% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-11-06 | 2019-11-07 | $21.77 | $22.37 | 2.75% | 2 | |
| 2019-11-04 | 2019-11-05 | $21.16 | $21.15 | 1.13% | 2 | |
| 2019-10-31 | 2019-11-01 | $20.99 | $20.89 | -0.23% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-23 | 2019-10-24 | $16.98 | $19.98 | -0.55% | 2 | |
| 2019-09-16 | 2019-09-17 | $16.19 | $16.32 | -1.17% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-12 | 2019-07-15 | $16.34 | $16.90 | 2.51% | 2 | |
| 2019-07-09 | 2019-07-10 | $15.34 | $15.93 | -0.32% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-28 | 2019-07-01 | $14.90 | $15.14 | 0.08% | 2 | |
| 2019-06-21 | 2019-06-24 | $14.79 | $14.91 | 0.82% | 2 | |
| 2018-11-21 | 2018-11-23 | $22.55 | $21.72 | -2.87% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-11-15 | 2018-11-16 | $23.23 | $23.62 | 1.09% | 2 | |
| 2018-11-13 | 2018-11-14 | $22.58 | $22.93 | 2.05% | 2 | |
| 2018-11-09 | 2018-11-12 | $23.37 | $22.09 | -0.45% | 2 | |
| 2018-11-07 | 2018-11-08 | $23.21 | $23.43 | 1.88% | 2 | |
| 2018-11-01 | 2018-11-06 | $22.95 | $22.74 | 1.01% | 4 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-08-14 | 2018-08-15 | $23.18 | $22.58 | -2.66% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 |