Strategy Zoo / S0384
LongTermTrend_V0384
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0253, exit from VolumeBreakout_V0246
Fitness
0.6374
Generation
18
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
entry from VolumeBreakout_V0074, exit from VolumeBreakout_V0185
changed ret_20d threshold 0.05 -> 0.1208
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0384 [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 macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 79.2% | 23.0% | 30.0% |
| Total Return | 269.8% | 475.2% | 114.9% | 4605.1% |
| Sharpe | 0.73 | 1.55 | 0.88 | 0.98 |
| Sortino | 0.64 | 1.58 | 0.77 | 0.89 |
| Calmar | 0.52 | 2.52 | 0.69 | 0.87 |
| Volatility | 27.4% | 43.9% | 28.0% | 31.7% |
| Max DD | -34.4% | -31.4% | -33.1% | -34.4% |
| Win Rate | 51.3% | 64.6% | 48.6% | 54.7% |
| Avg Win | 8.4% | 9.4% | 9.1% | 9.0% |
| Avg Loss | -4.0% | -4.4% | -3.7% | -4.0% |
| Payoff | 2.13 | 2.14 | 2.46 | 2.27 |
| Expectancy | 2.4% | 4.5% | 2.5% | 3.1% |
| Profit Factor | 2.25 | 3.91 | 2.33 | 2.74 |
| Trades | 76 | 48 | 37 | 161 |
| Avg Holding Days | 8.2 | 6.7 | 7.4 | 7.6 |
| Turnover | 19.2 | 32.0 | 20.0 | 21.9 |
| Exposure | 27.4% | 36.0% | 25.6% | 28.7% |
Growth of $100
LongTermTrend_V0384 vs TSLA Buy & Hold
LongTermTrend_V0384 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 | 22.0% | 1.33 | -11.9% | 5 |
| 2017 | 29.1% | 1.62 | -7.6% | 9 |
| 2018 | -24.6% | -1.08 | -29.1% | 8 |
| 2019 | 25.9% | 0.93 | -22.0% | 4 |
| 2020 | 349.0% | 2.69 | -24.2% | 24 |
| 2021 | 28.9% | 0.95 | -20.1% | 15 |
| 2022 | -1.1% | 0.09 | -23.0% | 8 |
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 | 26.8% | 1.03 | 18% |
| hidden test | EXPENSIVE | 83 | 24.3% | 0.69 | 42% |
| hidden test | EXTREME | 48 | 151.1% | 3.22 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 45.5% | 1.18 | 32% |
| hidden test | LOW VOLATILITY | 429 | 33.9% | 1.62 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.8% | -0.49 | 25% |
| hidden test | NORMAL | 800 | 17.0% | 0.67 | 23% |
| hidden test | SIDEWAYS | 293 | 7.2% | 0.33 | 22% |
| hidden test | UPTREND | 371 | 36.8% | 1.10 | 34% |
| train | DOWNTREND | 518 | 11.6% | 1.10 | 9% |
| train | EXPENSIVE | 311 | 25.7% | 0.81 | 45% |
| train | EXTREME | 100 | 314.8% | 4.47 | 80% |
| train | HIGH VOLATILITY | 699 | 41.2% | 1.07 | 31% |
| train | LOW VOLATILITY | 745 | 15.6% | 0.85 | 33% |
| train | MEDIUM VOLATILITY | 568 | -0.2% | -0.01 | 16% |
| train | NORMAL | 1,601 | 0.5% | 0.03 | 21% |
| train | SIDEWAYS | 592 | -13.5% | -0.60 | 22% |
| train | UPTREND | 902 | 46.9% | 1.31 | 41% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 96.9% | 2.43 | 41% |
| validation | EXTREME | 144 | 233.6% | 3.03 | 73% |
| validation | HIGH VOLATILITY | 258 | 61.7% | 1.05 | 39% |
| validation | LOW VOLATILITY | 183 | 11.4% | 0.72 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 105.7% | 2.62 | 45% |
| validation | NORMAL | 474 | 9.1% | 0.33 | 23% |
| validation | SIDEWAYS | 206 | 2.1% | 0.08 | 25% |
| validation | UPTREND | 425 | 104.9% | 1.96 | 46% |
Trades (full period)
latest 100 of 161
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-06 | 2026-05-21 | $398.73 | $417.85 | 6.95% | 12 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 8.35% | 16 | |
| 2025-08-29 | 2025-09-03 | $333.87 | $334.09 | -5.00% | 3 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-30 | 2025-06-03 | $282.16 | $344.27 | 17.11% | 24 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 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 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-05-17 | 2024-05-30 | $177.46 | $178.79 | 0.57% | 9 | |
| 2023-11-27 | 2023-12-14 | $236.08 | $251.05 | 1.43% | 14 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-23 | 2023-06-27 | $185.77 | $250.21 | 27.37% | 24 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-01-25 | 2023-02-23 | $144.43 | $202.07 | 39.31% | 21 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-06-24 | 2022-08-12 | $245.71 | $300.03 | 21.70% | 35 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.96% | 14 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 22.49% | 18 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-07-01 | 2021-07-12 | $225.97 | $228.57 | -3.54% | 7 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-19 | 2020-09-08 | $125.24 | $110.07 | 10.62% | 14 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-20 | 2020-05-21 | $54.37 | $55.17 | 0.73% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 97.58% | 45 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-23 | 2019-11-21 | $16.98 | $23.66 | 37.54% | 22 | |
| 2019-09-16 | 2019-09-25 | $16.19 | $15.25 | -9.15% | 8 | |
| 2019-06-21 | 2019-07-26 | $14.79 | $15.20 | 3.98% | 25 | |
| 2018-11-23 | 2018-11-26 | $21.72 | $23.07 | -3.85% | 2 | |
| 2018-10-29 | 2018-11-21 | $22.32 | $22.55 | 4.80% | 18 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-06-13 | 2018-06-26 | $22.99 | $22.80 | -3.04% | 10 | |
| 2018-05-01 | 2018-05-17 | $19.99 | $18.97 | -2.72% | 13 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 10.86% | 17 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.17% | 4 |