Strategy Zoo / S0380
LongTermTrend_V0380
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1314
Fitness
0.6235
Generation
17
Complexity
11
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0380 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.1314):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.1% | 85.7% | 18.6% | 29.3% |
| Total Return | 253.0% | 540.9% | 87.7% | 4270.8% |
| Sharpe | 0.70 | 1.53 | 0.73 | 0.93 |
| Sortino | 0.60 | 1.49 | 0.54 | 0.79 |
| Calmar | 0.33 | 2.54 | 0.75 | 0.57 |
| Volatility | 28.3% | 48.1% | 29.3% | 33.5% |
| Max DD | -51.6% | -33.7% | -24.7% | -51.6% |
| Win Rate | 46.9% | 60.0% | 50.0% | 50.8% |
| Avg Win | 21.9% | 32.2% | 16.5% | 24.3% |
| Avg Loss | -7.5% | -7.1% | -3.8% | -6.7% |
| Payoff | 2.91 | 4.50 | 4.36 | 3.64 |
| Expectancy | 6.3% | 16.4% | 6.4% | 9.1% |
| Profit Factor | 2.57 | 6.75 | 4.36 | 3.77 |
| Trades | 32 | 15 | 12 | 59 |
| Avg Holding Days | 19.3 | 22.5 | 19.8 | 20.4 |
| Turnover | 8.1 | 10.0 | 6.8 | 8.1 |
| Exposure | 29.4% | 42.7% | 26.3% | 31.4% |
Growth of $100
LongTermTrend_V0380 vs TSLA Buy & Hold
LongTermTrend_V0380 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 | 27.5% | 1.68 | -6.9% | 2 |
| 2017 | 19.9% | 1.04 | -13.2% | 4 |
| 2018 | -31.5% | -1.77 | -34.3% | 4 |
| 2019 | 9.7% | 0.47 | -22.2% | 3 |
| 2020 | 446.2% | 2.75 | -33.7% | 5 |
| 2021 | 27.1% | 0.90 | -20.6% | 6 |
| 2022 | -11.5% | -0.33 | -24.4% | 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 | 5.8% | 0.36 | 11% |
| hidden test | EXPENSIVE | 83 | 54.3% | 1.38 | 49% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 13.3% | 0.35 | 26% |
| hidden test | LOW VOLATILITY | 429 | 46.4% | 2.16 | 25% |
| hidden test | MEDIUM VOLATILITY | 248 | -13.7% | -0.45 | 28% |
| hidden test | NORMAL | 800 | 8.2% | 0.32 | 22% |
| hidden test | SIDEWAYS | 293 | 1.4% | 0.06 | 19% |
| hidden test | UPTREND | 371 | 48.4% | 1.23 | 43% |
| train | DOWNTREND | 518 | 2.8% | 0.38 | 4% |
| train | EXPENSIVE | 311 | 22.8% | 0.67 | 52% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 43.3% | 1.12 | 32% |
| train | LOW VOLATILITY | 745 | 20.3% | 1.01 | 37% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.47 | 16% |
| train | NORMAL | 1,601 | -3.4% | -0.17 | 21% |
| train | SIDEWAYS | 592 | -6.4% | -0.30 | 19% |
| train | UPTREND | 902 | 46.5% | 1.23 | 51% |
| validation | DOWNTREND | 125 | 40.1% | 2.07 | 6% |
| validation | EXPENSIVE | 138 | 86.0% | 1.61 | 54% |
| validation | EXTREME | 144 | 299.5% | 3.66 | 89% |
| validation | HIGH VOLATILITY | 258 | 79.7% | 1.20 | 47% |
| validation | LOW VOLATILITY | 183 | 18.9% | 1.03 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 100.2% | 2.38 | 49% |
| validation | NORMAL | 474 | 1.2% | 0.05 | 25% |
| validation | SIDEWAYS | 206 | -19.8% | -0.74 | 29% |
| validation | UPTREND | 425 | 128.6% | 2.13 | 60% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 19 | OPEN |
| 2026-05-07 | 2026-06-08 | $411.79 | $408.95 | -2.13% | 22 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-15 | $410.04 | $435.15 | 8.20% | 23 | |
| 2025-05-06 | 2025-06-06 | $275.35 | $295.14 | 1.38% | 23 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-24 | 2024-10-11 | $254.27 | $217.80 | -4.68% | 14 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-17 | 2024-05-24 | $177.46 | $179.24 | -0.83% | 6 | |
| 2023-11-27 | 2023-12-14 | $236.08 | $251.05 | 1.43% | 14 | |
| 2023-09-14 | 2023-09-26 | $276.04 | $244.12 | -9.14% | 9 | |
| 2023-05-24 | 2023-07-21 | $182.90 | $260.02 | 41.23% | 40 | |
| 2022-07-20 | 2022-08-29 | $247.50 | $284.82 | 17.10% | 29 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2021-09-16 | 2021-10-06 | $252.33 | $260.92 | 3.07% | 15 | |
| 2021-07-02 | 2021-07-20 | $226.30 | $220.17 | -4.87% | 12 | |
| 2021-04-19 | 2021-04-30 | $238.21 | $236.48 | -8.67% | 10 | |
| 2021-04-06 | 2021-04-08 | $230.54 | $227.93 | -3.10% | 3 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 49 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2019-12-20 | 2020-03-04 | $27.04 | $49.97 | 84.15% | 50 | |
| 2019-10-23 | 2019-11-25 | $16.98 | $22.42 | 30.05% | 24 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -9.15% | 8 | |
| 2019-07-16 | 2019-07-29 | $16.83 | $15.72 | -10.22% | 10 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 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 | 2017-08-22 | $23.68 | $22.76 | -5.53% | 12 | |
| 2017-06-05 | 2017-07-05 | $23.15 | $21.81 | 3.55% | 22 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 3.98% | 22 | |
| 2016-12-21 | 2017-02-24 | $13.85 | $17.13 | 22.36% | 44 | |
| 2016-07-25 | 2016-08-09 | $15.33 | $15.27 | 1.55% | 12 | |
| 2016-03-07 | 2016-04-20 | $13.69 | $16.66 | 22.80% | 32 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-04-27 | 2015-06-11 | $15.44 | $16.76 | 14.55% | 33 | |
| 2014-11-17 | 2014-11-24 | $16.93 | $16.45 | -6.34% | 6 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-01-21 | 2014-03-25 | $11.78 | $14.70 | 29.25% | 45 | |
| 2013-12-18 | 2014-01-03 | $9.87 | $9.97 | -1.75% | 11 | |
| 2013-10-08 | 2013-10-10 | $11.65 | $11.53 | -7.99% | 3 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-15 | 2013-06-26 | $2.89 | $7.05 | 133.59% | 52 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-01-30 | 2013-02-22 | $2.50 | $2.41 | -7.54% | 17 | |
| 2012-11-14 | 2012-12-28 | $2.09 | $2.21 | 6.37% | 31 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-03-29 | 2012-04-10 | $2.49 | $2.16 | -12.59% | 8 | |
| 2012-03-13 | 2012-03-19 | $2.41 | $2.33 | -2.11% | 5 | |
| 2012-02-06 | 2012-03-09 | $2.12 | $2.32 | 5.95% | 24 |