Strategy Zoo / S0401
LongTermTrend_V0401
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.0175
Fitness
0.6392
Generation
18
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
added entry filter: dist_sma_50 > -0.0774
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0401 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.0175 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 | 23.1% | 98.0% | 22.0% | 35.6% |
| Total Return | 424.2% | 676.8% | 108.6% | 8643.8% |
| Sharpe | 0.77 | 1.58 | 0.73 | 0.97 |
| Sortino | 0.82 | 1.79 | 0.75 | 1.04 |
| Calmar | 0.35 | 2.61 | 0.74 | 0.54 |
| Volatility | 34.7% | 51.9% | 35.8% | 39.1% |
| Max DD | -66.2% | -37.5% | -29.7% | -66.2% |
| Win Rate | 35.0% | 44.4% | 47.1% | 40.0% |
| Avg Win | 28.7% | 48.2% | 17.3% | 35.2% |
| Avg Loss | -6.7% | -7.5% | -4.8% | -6.5% |
| Payoff | 4.28 | 6.40 | 3.61 | 5.41 |
| Expectancy | 5.7% | 17.2% | 5.6% | 10.2% |
| Profit Factor | 2.30 | 5.12 | 3.20 | 3.60 |
| Trades | 40 | 18 | 17 | 75 |
| Avg Holding Days | 25.0 | 25.7 | 23.4 | 25.8 |
| Turnover | 10.1 | 12.0 | 9.5 | 10.3 |
| Exposure | 51.5% | 58.9% | 42.9% | 50.9% |
Growth of $100
LongTermTrend_V0401 vs TSLA Buy & Hold
LongTermTrend_V0401 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 | 6.7% | 0.41 | -27.6% | 3 |
| 2017 | 10.1% | 0.49 | -30.9% | 6 |
| 2018 | -29.2% | -0.97 | -39.9% | 7 |
| 2019 | 25.6% | 0.82 | -33.0% | 3 |
| 2020 | 603.8% | 3.03 | -33.7% | 6 |
| 2021 | 40.7% | 1.08 | -28.1% | 6 |
| 2022 | -24.9% | -0.71 | -28.3% | 6 |
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 | -11.2% | -0.56 | 21% |
| hidden test | EXPENSIVE | 83 | 118.7% | 2.18 | 83% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 16.7% | 0.37 | 42% |
| hidden test | LOW VOLATILITY | 429 | 56.4% | 2.12 | 42% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.9% | -0.41 | 46% |
| hidden test | NORMAL | 800 | 6.6% | 0.21 | 37% |
| hidden test | SIDEWAYS | 293 | 13.9% | 0.49 | 37% |
| hidden test | UPTREND | 371 | 63.1% | 1.32 | 64% |
| train | DOWNTREND | 518 | -2.4% | -0.15 | 16% |
| train | EXPENSIVE | 311 | 69.3% | 1.75 | 78% |
| train | EXTREME | 100 | 399.0% | 5.40 | 98% |
| train | HIGH VOLATILITY | 699 | 52.2% | 1.17 | 46% |
| train | LOW VOLATILITY | 745 | 40.1% | 1.61 | 59% |
| train | MEDIUM VOLATILITY | 568 | -22.3% | -0.72 | 48% |
| train | NORMAL | 1,601 | -4.8% | -0.17 | 44% |
| train | SIDEWAYS | 592 | -10.0% | -0.34 | 47% |
| train | UPTREND | 902 | 67.5% | 1.52 | 75% |
| validation | DOWNTREND | 125 | 36.1% | 1.73 | 11% |
| validation | EXPENSIVE | 138 | 73.4% | 1.28 | 68% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 91.0% | 1.34 | 51% |
| validation | LOW VOLATILITY | 183 | 21.8% | 0.77 | 68% |
| validation | MEDIUM VOLATILITY | 315 | 109.2% | 2.30 | 60% |
| validation | NORMAL | 474 | 3.7% | 0.11 | 46% |
| validation | SIDEWAYS | 206 | -35.7% | -1.00 | 48% |
| validation | UPTREND | 425 | 152.3% | 2.40 | 78% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 19 | OPEN |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -5.04% | 21 | |
| 2025-08-11 | 2025-11-14 | $339.03 | $404.35 | 21.70% | 69 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | 9.05% | 32 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-09-03 | 2024-10-14 | $210.60 | $219.16 | 1.52% | 30 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-05-24 | 2023-08-02 | $182.90 | $254.11 | 40.25% | 48 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -11.09% | 5 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-27 | 2022-06-29 | $244.92 | $228.49 | -5.50% | 3 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-08-03 | 2021-12-01 | $236.58 | $365.00 | 60.99% | 85 | |
| 2021-06-11 | 2021-07-26 | $203.30 | $219.21 | 5.24% | 31 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -2.23% | 5 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 81.90% | 58 | |
| 2020-11-04 | 2020-11-10 | $140.33 | $136.79 | -0.82% | 5 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-05 | 2020-10-20 | $141.89 | $140.65 | 3.59% | 12 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-09-13 | 2020-03-04 | $16.35 | $49.97 | 202.61% | 119 | |
| 2019-07-16 | 2019-08-12 | $16.83 | $15.27 | -7.48% | 20 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-30 | 2018-05-04 | $19.59 | $19.61 | -3.47% | 5 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -6.19% | 5 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-15 | 2017-09-29 | $25.32 | $22.74 | -10.25% | 11 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-05-26 | 2017-07-06 | $21.68 | $20.59 | 3.03% | 28 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 15.24% | 42 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 25.20% | 57 | |
| 2016-07-12 | 2016-08-23 | $14.98 | $14.99 | -1.02% | 31 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-11-30 | 2016-01-05 | $15.35 | $14.90 | -3.73% | 25 | |
| 2015-09-09 | 2015-10-02 | $16.59 | $16.50 | -3.53% | 18 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-09 | 2015-07-28 | $14.01 | $17.65 | 21.59% | 77 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-09-18 | 2014-09-24 | $17.59 | $16.81 | -4.39% | 5 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-06 | 2014-07-17 | $13.88 | $14.36 | 4.75% | 29 | |
| 2014-05-27 | 2014-06-04 | $14.10 | $13.60 | -1.33% | 7 | |
| 2014-05-06 | 2014-05-08 | $13.82 | $11.91 | -7.23% | 3 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-06-28 | 2013-10-22 | $7.16 | $11.44 | 57.67% | 81 | |
| 2013-03-22 | 2013-06-26 | $2.44 | $7.05 | 183.80% | 67 | |
| 2013-03-13 | 2013-03-15 | $2.60 | $2.35 | -5.99% | 3 | |
| 2013-01-23 | 2013-02-26 | $2.40 | $2.30 | -2.49% | 24 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -15.54% | 8 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -9.26% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-01-30 | 2012-04-10 | $1.97 | $2.16 | 12.80% | 50 |