Strategy Zoo / S0432
LongTermTrend_V0432
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0235, exit from PriceMomentum_V0227
Fitness
0.5964
Generation
20
Complexity
12
Created
2026-09-19
Lineage
Parents (2)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
added entry filter: dist_sma_50 > -0.0774
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0432 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.7% | 116.2% | 13.8% | 34.9% |
| Total Return | 381.2% | 910.6% | 61.4% | 7981.3% |
| Sharpe | 0.70 | 1.68 | 0.53 | 0.92 |
| Sortino | 0.87 | 2.05 | 0.63 | 1.11 |
| Calmar | 0.32 | 2.56 | 0.29 | 0.52 |
| Volatility | 38.0% | 54.8% | 39.3% | 42.3% |
| Max DD | -67.4% | -45.4% | -47.0% | -67.4% |
| Win Rate | 40.0% | 50.0% | 62.5% | 47.2% |
| Avg Win | 69.7% | 108.4% | 19.0% | 71.6% |
| Avg Loss | -13.9% | -10.4% | -11.4% | -12.8% |
| Payoff | 5.01 | 10.00 | 1.67 | 5.60 |
| Expectancy | 19.5% | 49.0% | 7.6% | 27.0% |
| Profit Factor | 3.34 | 10.00 | 2.78 | 5.01 |
| Trades | 20 | 8 | 8 | 36 |
| Avg Holding Days | 61.6 | 65.1 | 71.0 | 66.6 |
| Turnover | 5.1 | 5.3 | 4.6 | 5.0 |
| Exposure | 64.1% | 67.9% | 62.2% | 64.4% |
Growth of $100
LongTermTrend_V0432 vs TSLA Buy & Hold
LongTermTrend_V0432 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 | -21.5% | -0.89 | -39.6% | 4 |
| 2017 | 15.7% | 0.61 | -34.5% | 2 |
| 2018 | -21.6% | -0.41 | -41.1% | 3 |
| 2019 | 42.0% | 1.23 | -24.9% | 2 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 44.7% | 1.10 | -29.3% | 3 |
| 2022 | -29.1% | -0.74 | -33.8% | 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 | -16.6% | -0.71 | 30% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 12.0% | 0.27 | 46% |
| hidden test | LOW VOLATILITY | 429 | 45.9% | 1.37 | 71% |
| hidden test | MEDIUM VOLATILITY | 248 | -13.9% | -0.33 | 63% |
| hidden test | NORMAL | 800 | 3.7% | 0.10 | 59% |
| hidden test | SIDEWAYS | 293 | -8.1% | -0.23 | 66% |
| hidden test | UPTREND | 371 | 70.4% | 1.42 | 82% |
| train | DOWNTREND | 518 | -8.4% | -0.38 | 28% |
| train | EXPENSIVE | 311 | 83.7% | 1.92 | 83% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 50.1% | 1.03 | 57% |
| train | LOW VOLATILITY | 745 | 32.5% | 1.21 | 69% |
| train | MEDIUM VOLATILITY | 568 | -9.4% | -0.27 | 67% |
| train | NORMAL | 1,601 | -8.6% | -0.26 | 58% |
| train | SIDEWAYS | 592 | -24.4% | -0.69 | 60% |
| train | UPTREND | 902 | 80.6% | 1.76 | 88% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 109.4% | 1.57 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 99.2% | 1.93 | 67% |
| validation | NORMAL | 474 | 3.9% | 0.10 | 55% |
| validation | SIDEWAYS | 206 | -22.9% | -0.55 | 62% |
| validation | UPTREND | 425 | 162.9% | 2.49 | 85% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.82% | 19 | OPEN |
| 2026-04-20 | 2026-06-26 | $392.50 | $379.71 | -6.55% | 48 | |
| 2025-04-30 | 2026-04-09 | $282.16 | $345.62 | 17.30% | 237 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 37.37% | 54 | |
| 2024-09-04 | 2024-10-23 | $219.41 | $213.65 | 3.30% | 36 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2023-11-17 | 2024-01-18 | $234.30 | $211.88 | -7.91% | 41 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-24 | 2023-08-14 | $182.90 | $239.76 | 30.36% | 56 | |
| 2022-06-27 | 2022-10-06 | $244.92 | $238.13 | -2.19% | 72 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -23.61% | 16 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-06 | 2021-05-12 | $230.54 | $196.63 | -10.87% | 27 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-07-16 | 2019-08-15 | $16.83 | $14.38 | -13.54% | 23 | |
| 2018-10-29 | 2019-01-04 | $22.32 | $21.18 | -9.41% | 46 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-04-30 | 2018-07-30 | $19.59 | $19.34 | 0.85% | 64 | |
| 2017-12-12 | 2018-03-26 | $22.74 | $20.28 | -8.50% | 71 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-14 | 2017-07-07 | $13.25 | $20.88 | 55.55% | 141 | |
| 2016-07-19 | 2016-09-06 | $15.02 | $13.52 | -12.76% | 35 | |
| 2016-06-08 | 2016-06-27 | $15.70 | $13.24 | -17.03% | 14 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-30 | 2016-01-21 | $15.35 | $13.33 | -14.38% | 36 | |
| 2015-09-21 | 2015-10-13 | $17.61 | $14.62 | -17.45% | 17 | |
| 2015-04-09 | 2015-08-26 | $14.01 | $14.99 | 5.74% | 98 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 415.98% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -11.25% | 37 | |
| 2012-06-19 | 2012-08-02 | $2.14 | $1.74 | -17.72% | 32 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |