Strategy Zoo / S0381
LongTermTrend_V0381
ARCHIVEDhybridstructuralchanged cumret_252d threshold -0.6 -> -0.6; reduce exposure to 62% during MEDIUM_VOLATILITY
Fitness
0.6053
Generation
17
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.6
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0381 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.6):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.8% | 80.3% | 26.1% | 33.4% |
| Total Return | 382.3% | 486.4% | 135.5% | 6758.3% |
| Sharpe | 0.81 | 1.55 | 0.88 | 1.02 |
| Sortino | 0.87 | 1.58 | 0.84 | 1.04 |
| Calmar | 0.40 | 2.38 | 0.74 | 0.61 |
| Volatility | 29.7% | 44.4% | 32.5% | 33.9% |
| Max DD | -54.9% | -33.8% | -35.5% | -54.9% |
| Win Rate | 38.0% | 51.7% | 33.3% | 39.6% |
| Avg Win | 13.3% | 18.5% | 15.5% | 15.5% |
| Avg Loss | -3.2% | -3.9% | -3.3% | -3.3% |
| Payoff | 4.14 | 4.78 | 4.74 | 4.65 |
| Expectancy | 3.0% | 7.7% | 3.0% | 4.1% |
| Profit Factor | 2.53 | 5.12 | 2.37 | 3.04 |
| Trades | 79 | 29 | 36 | 144 |
| Avg Holding Days | 11.6 | 14.3 | 10.6 | 11.9 |
| Turnover | 19.4 | 18.8 | 20.5 | 19.5 |
| Exposure | 38.5% | 42.7% | 35.6% | 38.6% |
Growth of $100
LongTermTrend_V0381 vs TSLA Buy & Hold
LongTermTrend_V0381 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 | 14.0% | 0.94 | -14.8% | 7 |
| 2017 | 15.5% | 0.83 | -14.0% | 10 |
| 2018 | -37.1% | -1.71 | -38.1% | 13 |
| 2019 | 18.9% | 0.70 | -23.1% | 8 |
| 2020 | 362.2% | 2.61 | -33.8% | 8 |
| 2021 | 31.1% | 1.10 | -24.6% | 14 |
| 2022 | -5.9% | -0.16 | -21.1% | 7 |
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 | 12.3% | 0.41 | 28% |
| hidden test | EXPENSIVE | 83 | 66.0% | 1.72 | 46% |
| hidden test | EXTREME | 48 | 174.0% | 3.20 | 59% |
| hidden test | HIGH VOLATILITY | 254 | 29.1% | 0.66 | 41% |
| hidden test | LOW VOLATILITY | 429 | 58.3% | 2.26 | 38% |
| hidden test | MEDIUM VOLATILITY | 248 | -23.8% | -0.82 | 26% |
| hidden test | NORMAL | 800 | 15.8% | 0.53 | 33% |
| hidden test | SIDEWAYS | 293 | 3.8% | 0.14 | 36% |
| hidden test | UPTREND | 371 | 59.6% | 1.57 | 41% |
| train | DOWNTREND | 518 | -2.8% | -0.20 | 16% |
| train | EXPENSIVE | 311 | 48.8% | 1.57 | 60% |
| train | EXTREME | 100 | 390.0% | 5.43 | 91% |
| train | HIGH VOLATILITY | 699 | 49.2% | 1.22 | 39% |
| train | LOW VOLATILITY | 745 | 31.7% | 1.40 | 49% |
| train | MEDIUM VOLATILITY | 568 | -17.1% | -0.83 | 24% |
| train | NORMAL | 1,601 | -3.7% | -0.16 | 31% |
| train | SIDEWAYS | 592 | -10.0% | -0.43 | 30% |
| train | UPTREND | 902 | 61.7% | 1.60 | 57% |
| validation | DOWNTREND | 125 | 42.5% | 2.44 | 9% |
| validation | EXPENSIVE | 138 | 53.4% | 1.18 | 40% |
| validation | EXTREME | 144 | 282.4% | 3.58 | 84% |
| validation | HIGH VOLATILITY | 258 | 95.3% | 1.46 | 49% |
| validation | LOW VOLATILITY | 183 | 19.0% | 0.83 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 76.1% | 2.45 | 34% |
| validation | NORMAL | 474 | 8.5% | 0.34 | 31% |
| validation | SIDEWAYS | 206 | -13.8% | -0.54 | 32% |
| validation | UPTREND | 425 | 116.6% | 2.10 | 58% |
Trades (full period)
latest 100 of 145
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.31% | 20 | OPEN |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.33% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.29% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 1.48% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.23% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 14.92% | 24 | |
| 2025-08-25 | 2025-09-10 | $346.60 | $347.79 | 1.84% | 12 | |
| 2025-08-07 | 2025-08-18 | $322.27 | $335.16 | 3.12% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.22% | 2 | |
| 2025-05-05 | 2025-06-06 | $280.26 | $295.14 | 5.86% | 24 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 34.26% | 42 | |
| 2024-09-20 | 2024-10-11 | $238.25 | $217.80 | -4.08% | 16 | |
| 2024-09-04 | 2024-09-18 | $219.41 | $227.20 | 8.55% | 11 | |
| 2024-06-25 | 2024-08-01 | $187.35 | $216.86 | 24.98% | 27 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.72% | 5 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 2.24% | 19 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -6.20% | 11 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-19 | 2023-07-21 | $180.14 | $260.02 | 50.30% | 43 | |
| 2023-04-10 | 2023-04-13 | $184.51 | $185.90 | -1.81% | 4 | |
| 2023-01-25 | 2023-03-07 | $144.43 | $187.71 | 38.08% | 29 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 13.65% | 30 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 0.67% | 3 | |
| 2022-06-22 | 2022-06-28 | $236.09 | $232.66 | 3.12% | 5 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 3.96% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -12.77% | 8 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 40.08% | 36 | |
| 2021-09-15 | 2021-10-06 | $251.94 | $260.92 | 4.64% | 16 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-23 | 2021-08-27 | $235.43 | $237.31 | 2.87% | 5 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-04 | 2021-08-18 | $236.97 | $229.66 | -6.39% | 11 | |
| 2021-07-21 | 2021-07-23 | $218.43 | $214.46 | -1.90% | 3 | |
| 2021-06-24 | 2021-07-20 | $226.61 | $220.17 | -1.77% | 18 | |
| 2021-06-18 | 2021-06-23 | $207.77 | $218.86 | 0.95% | 4 | |
| 2021-06-14 | 2021-06-16 | $205.90 | $201.62 | -1.92% | 3 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.27% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -7.12% | 13 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 43.83% | 55 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.42% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -1.40% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.28% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 9.39% | 29 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 60.24% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.21% | 2 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 81.05% | 53 | |
| 2019-11-29 | 2019-12-06 | $22.00 | $22.39 | -0.48% | 6 | |
| 2019-10-15 | 2019-11-25 | $17.19 | $22.42 | 29.63% | 30 | |
| 2019-09-26 | 2019-10-04 | $16.17 | $15.43 | 1.11% | 7 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.68% | 10 | |
| 2019-07-30 | 2019-08-02 | $16.15 | $15.62 | -1.01% | 4 | |
| 2019-06-18 | 2019-07-29 | $14.98 | $15.72 | 0.22% | 29 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 1.43% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -2.25% | 4 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.42% | 3 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.32% | 2 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-30 | $21.44 | $20.21 | -5.44% | 7 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.52% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -2.94% | 13 | |
| 2018-01-09 | 2018-01-11 | $22.25 | $22.53 | -0.68% | 3 | |
| 2017-12-22 | 2017-12-26 | $21.68 | $21.15 | -2.15% | 2 | |
| 2017-12-12 | 2017-12-21 | $22.74 | $22.11 | -1.06% | 8 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -2.30% | 5 | |
| 2017-08-29 | 2017-09-01 | $23.16 | $23.69 | 1.70% | 4 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -0.98% | 2 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.71% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 0.08% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -4.09% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 10.18% | 27 | |
| 2016-12-14 | 2017-02-24 | $13.25 | $17.13 | 27.84% | 49 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.65% | 3 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-07-19 | 2016-07-20 | $15.02 | $15.22 | -0.64% | 2 |