Strategy Zoo / S0405
LongTermTrend_V0405
ARCHIVEDhybridstructuralchanged sma_200_slope threshold 0.0 -> 0.0006; restricted to trend regimes ['UPTREND']
Fitness
0.5765
Generation
18
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: cumret_252d > -0.1997
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0405 [hybrid]
require regime.trend in ['UPTREND']
if flat and (((close > sma_200 and sma_200_slope > 0.0006) or ret_20d > 0.05) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.2% | 84.1% | 15.2% | 27.0% |
| Total Return | 209.3% | 523.8% | 68.6% | 3250.4% |
| Sharpe | 0.65 | 1.54 | 0.66 | 0.91 |
| Sortino | 0.57 | 1.43 | 0.40 | 0.73 |
| Calmar | 0.33 | 1.86 | 0.46 | 0.59 |
| Volatility | 27.1% | 46.6% | 26.8% | 32.0% |
| Max DD | -46.0% | -45.2% | -32.8% | -46.0% |
| Win Rate | 35.7% | 40.9% | 50.0% | 40.0% |
| Avg Win | 19.7% | 34.8% | 13.1% | 23.0% |
| Avg Loss | -4.2% | -4.8% | -5.1% | -4.5% |
| Payoff | 4.67 | 7.30 | 2.59 | 5.10 |
| Expectancy | 4.3% | 11.4% | 4.0% | 6.5% |
| Profit Factor | 2.59 | 5.05 | 2.59 | 3.40 |
| Trades | 42 | 22 | 16 | 80 |
| Avg Holding Days | 13.6 | 14.2 | 11.6 | 13.5 |
| Turnover | 10.6 | 14.7 | 8.7 | 10.9 |
| Exposure | 26.9% | 38.4% | 18.3% | 27.1% |
Growth of $100
LongTermTrend_V0405 vs TSLA Buy & Hold
LongTermTrend_V0405 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 | -4.6% | -0.43 | -11.2% | 4 |
| 2017 | 17.3% | 0.86 | -14.1% | 6 |
| 2018 | -35.6% | -1.96 | -35.5% | 8 |
| 2019 | 19.1% | 1.21 | -8.6% | 3 |
| 2020 | 547.1% | 3.00 | -33.7% | 9 |
| 2021 | 48.2% | 1.39 | -17.6% | 7 |
| 2022 | -37.7% | -2.58 | -37.6% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 52.5% | 1.27 | 48% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | -1.9% | -0.05 | 21% |
| hidden test | LOW VOLATILITY | 429 | 36.6% | 2.04 | 16% |
| hidden test | MEDIUM VOLATILITY | 248 | 5.4% | 0.19 | 20% |
| hidden test | NORMAL | 800 | 4.2% | 0.20 | 13% |
| hidden test | SIDEWAYS | 293 | -16.9% | -1.23 | 2% |
| hidden test | UPTREND | 371 | 57.9% | 1.43 | 44% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 32.3% | 0.92 | 59% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 45.8% | 1.23 | 27% |
| train | LOW VOLATILITY | 745 | 13.6% | 0.73 | 34% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.55 | 17% |
| train | NORMAL | 1,601 | -9.2% | -0.53 | 16% |
| train | SIDEWAYS | 592 | -13.0% | -1.50 | 2% |
| train | UPTREND | 902 | 48.0% | 1.21 | 59% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.2% | 1.44 | 57% |
| validation | EXTREME | 144 | 337.3% | 4.17 | 84% |
| validation | HIGH VOLATILITY | 258 | 97.2% | 1.48 | 43% |
| validation | LOW VOLATILITY | 183 | 20.8% | 1.08 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 80.8% | 2.10 | 38% |
| validation | NORMAL | 474 | -10.3% | -0.45 | 19% |
| validation | SIDEWAYS | 206 | -10.6% | -1.09 | 2% |
| validation | UPTREND | 425 | 133.0% | 2.16 | 67% |
Trades (full period)
80 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-10-03 | 2024-10-11 | $240.66 | $217.80 | -4.31% | 7 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-04 | 2024-09-18 | $219.41 | $227.20 | 7.99% | 11 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-12 | 2022-01-20 | $368.74 | $332.09 | -6.64% | 6 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 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 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-15 | 2020-05-27 | $53.28 | $54.68 | 1.73% | 8 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-11-29 | 2019-12-06 | $22.00 | $22.39 | -0.48% | 6 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -5.15% | 4 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-21 | 2016-05-02 | $16.55 | $16.12 | -3.88% | 8 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | -0.04% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-15 | 2015-07-17 | $17.54 | $18.31 | 0.19% | 3 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 5.74% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 21.06% | 42 | |
| 2013-10-14 | 2013-10-18 | $11.98 | $12.23 | 2.09% | 5 | |
| 2013-10-07 | 2013-10-10 | $12.20 | $11.53 | -6.93% | 4 | |
| 2013-07-01 | 2013-10-04 | $7.81 | $12.07 | 61.12% | 68 | |
| 2013-04-11 | 2013-06-26 | $2.91 | $7.05 | 144.15% | 54 | |
| 2013-03-26 | 2013-04-10 | $2.52 | $2.79 | 7.70% | 11 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-18 | 2012-12-28 | $2.31 | $2.21 | -2.26% | 8 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-03-12 | 2012-03-19 | $2.40 | $2.33 | 1.47% | 6 | |
| 2012-02-23 | 2012-03-09 | $2.30 | $2.32 | -3.55% | 12 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |