Strategy Zoo / S0407
LongTermTrend_V0407
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0287, exit from PriceMomentum_V0201
Fitness
0.5982
Generation
19
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold -0.03 -> -0.1657
removed entry condition: cumret_252d > -0.1997
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0407 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.1657:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.2% | 97.2% | 4.9% | 32.3% |
| Total Return | 542.3% | 667.0% | 19.4% | 5957.7% |
| Sharpe | 0.75 | 1.49 | 0.34 | 0.82 |
| Sortino | 1.05 | 1.79 | 0.47 | 1.10 |
| Calmar | 0.45 | 1.99 | 0.07 | 0.48 |
| Volatility | 43.8% | 56.3% | 48.0% | 47.7% |
| Max DD | -58.8% | -48.9% | -65.8% | -67.3% |
| Win Rate | 41.7% | 57.1% | 60.0% | 51.7% |
| Avg Win | 81.4% | 135.8% | 16.0% | 76.7% |
| Avg Loss | -9.8% | -14.3% | -16.5% | -12.7% |
| Payoff | 8.30 | 9.48 | 0.97 | 6.05 |
| Expectancy | 28.2% | 71.4% | 3.0% | 33.6% |
| Profit Factor | 5.93 | 10.00 | 1.46 | 6.48 |
| Trades | 12 | 7 | 10 | 29 |
| Avg Holding Days | 136.2 | 76.6 | 72.2 | 102.4 |
| Turnover | 3.1 | 4.7 | 5.7 | 4.0 |
| Exposure | 84.4% | 70.0% | 78.6% | 80.0% |
Growth of $100
LongTermTrend_V0407 vs TSLA Buy & Hold
LongTermTrend_V0407 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 | -16.7% | -0.44 | -37.9% | 2 |
| 2017 | 43.6% | 1.20 | -22.3% | 0 |
| 2018 | -3.8% | 0.16 | -37.3% | 2 |
| 2019 | 27.2% | 0.77 | -39.3% | 2 |
| 2020 | 657.6% | 2.99 | -33.8% | 1 |
| 2021 | 47.8% | 1.15 | -27.8% | 3 |
| 2022 | -34.5% | -0.88 | -38.0% | 3 |
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 | -0.5% | -0.01 | 57% |
| hidden test | EXPENSIVE | 83 | 33.9% | 0.68 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 50.0% | 0.82 | 66% |
| hidden test | LOW VOLATILITY | 429 | 32.8% | 0.89 | 83% |
| hidden test | MEDIUM VOLATILITY | 248 | -46.9% | -0.94 | 83% |
| hidden test | NORMAL | 800 | 4.3% | 0.09 | 77% |
| hidden test | SIDEWAYS | 293 | -27.0% | -0.60 | 89% |
| hidden test | UPTREND | 371 | 62.5% | 1.23 | 87% |
| train | DOWNTREND | 518 | -12.9% | -0.36 | 72% |
| train | EXPENSIVE | 311 | 80.8% | 1.69 | 93% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 56.4% | 1.01 | 79% |
| train | LOW VOLATILITY | 745 | 37.8% | 1.19 | 91% |
| train | MEDIUM VOLATILITY | 568 | -2.9% | -0.07 | 83% |
| train | NORMAL | 1,601 | -0.5% | -0.01 | 82% |
| train | SIDEWAYS | 592 | -5.2% | -0.13 | 80% |
| train | UPTREND | 902 | 84.0% | 1.70 | 95% |
| validation | DOWNTREND | 125 | 48.5% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 87.1% | 1.41 | 86% |
| validation | EXTREME | 144 | 352.1% | 4.02 | 98% |
| validation | HIGH VOLATILITY | 258 | 86.0% | 1.18 | 60% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 98.3% | 1.91 | 68% |
| validation | NORMAL | 474 | 1.4% | 0.04 | 57% |
| validation | SIDEWAYS | 206 | -30.3% | -0.69 | 64% |
| validation | UPTREND | 425 | 149.6% | 2.24 | 87% |
Trades (full period)
30 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.45% | 20 | OPEN |
| 2025-04-08 | 2026-07-28 | $221.86 | $307.44 | 32.28% | 327 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2024-09-04 | 2024-10-24 | $219.41 | $260.48 | 1.25% | 37 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2024-04-15 | 2024-04-23 | $161.48 | $144.68 | -17.13% | 7 | |
| 2024-02-26 | 2024-03-18 | $199.40 | $173.80 | -14.96% | 16 | |
| 2023-11-17 | 2024-01-22 | $234.30 | $208.80 | -9.34% | 43 | |
| 2023-09-12 | 2023-10-30 | $267.48 | $197.36 | -24.38% | 35 | |
| 2023-05-19 | 2023-08-15 | $180.14 | $232.96 | 35.27% | 60 | |
| 2023-01-25 | 2023-04-27 | $144.43 | $160.19 | 6.64% | 65 | |
| 2022-06-22 | 2022-10-07 | $236.09 | $223.07 | 0.26% | 76 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-28 | $383.20 | $282.12 | -31.04% | 18 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -6.91% | 28 | |
| 2020-04-14 | 2021-02-24 | $47.33 | $247.34 | 435.76% | 219 | |
| 2019-09-12 | 2020-03-10 | $16.39 | $43.02 | 145.56% | 124 | |
| 2019-06-18 | 2019-08-22 | $14.98 | $14.81 | -2.06% | 47 | |
| 2018-10-04 | 2019-05-01 | $18.79 | $15.60 | -19.20% | 143 | |
| 2018-04-27 | 2018-09-06 | $19.61 | $18.73 | -1.85% | 92 | |
| 2016-06-08 | 2018-03-28 | $15.70 | $17.19 | 19.92% | 455 | |
| 2016-03-04 | 2016-05-06 | $13.40 | $14.33 | 7.85% | 45 | |
| 2015-11-09 | 2016-01-28 | $15.02 | $12.65 | -19.23% | 55 | |
| 2015-09-21 | 2015-10-15 | $17.61 | $14.75 | -16.95% | 19 | |
| 2015-02-10 | 2015-08-26 | $14.42 | $14.99 | 0.97% | 138 | |
| 2014-05-28 | 2014-12-15 | $14.02 | $13.60 | -2.35% | 141 | |
| 2013-12-13 | 2014-03-28 | $9.84 | $14.16 | 40.30% | 72 | |
| 2012-06-19 | 2013-11-08 | $2.14 | $9.20 | 338.10% | 351 | |
| 2012-02-02 | 2012-05-21 | $2.02 | $1.92 | -7.01% | 76 |