Strategy Zoo / S0443
LongTermTrend_V0443
ARCHIVEDhybridstructuralchanged ret_20d threshold 0.1 -> -0.0228; reduce exposure to 41% during HIGH_VOLATILITY
Fitness
0.5124
Generation
20
Complexity
12
Created
2026-09-19
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from MACDMomentum_V0334
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0443 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > -0.0228) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.7% | 77.4% | 5.3% | 14.6% |
| Total Return | 5.9% | 457.9% | 20.9% | 635.3% |
| Sharpe | 0.15 | 1.82 | 0.33 | 0.63 |
| Sortino | 0.14 | 2.26 | 0.29 | 0.63 |
| Calmar | 0.01 | 3.65 | 0.12 | 0.23 |
| Volatility | 25.0% | 34.9% | 25.6% | 27.5% |
| Max DD | -64.5% | -21.2% | -42.7% | -64.5% |
| Win Rate | 44.3% | 57.9% | 39.3% | 47.0% |
| Avg Win | 4.6% | 6.4% | 6.1% | 5.6% |
| Avg Loss | -3.3% | -2.4% | -3.0% | -3.0% |
| Payoff | 1.41 | 2.62 | 2.02 | 1.85 |
| Expectancy | 0.2% | 2.7% | 0.6% | 1.0% |
| Profit Factor | 1.12 | 3.60 | 1.31 | 1.64 |
| Trades | 149 | 76 | 56 | 281 |
| Avg Holding Days | 6.3 | 5.6 | 6.6 | 6.2 |
| Turnover | 33.5 | 40.0 | 27.1 | 33.1 |
| Exposure | 31.6% | 37.1% | 28.7% | 32.0% |
Growth of $100
LongTermTrend_V0443 vs TSLA Buy & Hold
LongTermTrend_V0443 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 | 2.8% | 0.25 | -23.0% | 12 |
| 2017 | 9.8% | 0.56 | -16.4% | 22 |
| 2018 | -23.0% | -1.66 | -26.9% | 17 |
| 2019 | -20.5% | -0.63 | -39.4% | 11 |
| 2020 | 251.3% | 3.17 | -10.5% | 35 |
| 2021 | 45.3% | 1.27 | -17.5% | 26 |
| 2022 | 8.9% | 0.46 | -17.4% | 14 |
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 | -21.2% | -1.05 | 23% |
| hidden test | EXPENSIVE | 83 | 9.3% | 0.28 | 40% |
| hidden test | EXTREME | 48 | 79.4% | 2.29 | 29% |
| hidden test | HIGH VOLATILITY | 254 | -2.2% | -0.11 | 14% |
| hidden test | LOW VOLATILITY | 429 | 47.1% | 1.85 | 36% |
| hidden test | MEDIUM VOLATILITY | 248 | -47.7% | -1.59 | 30% |
| hidden test | NORMAL | 800 | 4.1% | 0.17 | 27% |
| hidden test | SIDEWAYS | 293 | 0.8% | 0.04 | 30% |
| hidden test | UPTREND | 371 | 35.7% | 1.10 | 32% |
| train | DOWNTREND | 518 | -27.1% | -1.64 | 17% |
| train | EXPENSIVE | 311 | 21.0% | 0.70 | 43% |
| train | EXTREME | 100 | 181.9% | 4.76 | 50% |
| train | HIGH VOLATILITY | 699 | 14.4% | 0.52 | 17% |
| train | LOW VOLATILITY | 745 | 17.6% | 0.82 | 45% |
| train | MEDIUM VOLATILITY | 568 | -27.3% | -1.07 | 32% |
| train | NORMAL | 1,601 | -10.6% | -0.47 | 28% |
| train | SIDEWAYS | 592 | -6.5% | -0.30 | 32% |
| train | UPTREND | 902 | 28.4% | 0.94 | 40% |
| validation | DOWNTREND | 125 | 48.7% | 2.05 | 16% |
| validation | EXPENSIVE | 138 | 65.3% | 1.69 | 45% |
| validation | EXTREME | 144 | 201.6% | 4.30 | 45% |
| validation | HIGH VOLATILITY | 258 | 35.1% | 1.08 | 19% |
| validation | LOW VOLATILITY | 183 | 19.8% | 0.86 | 44% |
| validation | MEDIUM VOLATILITY | 315 | 111.8% | 2.68 | 48% |
| validation | NORMAL | 474 | 20.8% | 0.73 | 33% |
| validation | SIDEWAYS | 206 | 8.0% | 0.30 | 32% |
| validation | UPTREND | 425 | 94.5% | 2.32 | 46% |
Trades (full period)
latest 100 of 281
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-09-17 | $362.86 | $366.20 | 3.55% | 19 | |
| 2026-07-13 | 2026-07-15 | $394.76 | $394.46 | -1.15% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-20 | 2026-05-21 | $392.50 | $417.85 | 3.94% | 24 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 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 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-29 | 2025-06-03 | $292.03 | $344.27 | 10.36% | 25 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -2.09% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.02% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -2.57% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -1.43% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -0.80% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 9.43% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 6.34% | 16 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-04 | 2024-10-04 | $219.41 | $250.08 | 9.53% | 23 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 1.66% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 2.21% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 0.73% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.92% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 22.18% | 17 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -4.06% | 22 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -2.18% | 10 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 2.24% | 19 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 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 | |
| 2023-05-24 | 2023-06-27 | $182.90 | $250.21 | 29.50% | 23 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-06-22 | 2022-08-12 | $236.09 | $300.03 | 21.02% | 37 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 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 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 11.11% | 15 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.06% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -0.83% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.85% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -4.78% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.43% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 0.63% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.20% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 1.59% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -1.24% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 31.28% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -3.51% | 10 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-05 | 2021-04-29 | $230.35 | $225.67 | 3.91% | 19 | |
| 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 |