Strategy Zoo / S0448
LongTermTrend_V0448
ARCHIVEDhybridstructuralswapped indicator ret_20d -> cumret_252d; reduce exposure to 41% during EXPENSIVE
Fitness
0.4629
Generation
20
Complexity
12
Created
2026-09-19
Lineage
Parents (1)
entry = LongTermTrend_V0165 AND PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0448 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and cumret_252d < 0.2308:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.7% | 62.4% | -9.7% | 14.9% |
| Total Return | 159.7% | 328.0% | -31.4% | 672.4% |
| Sharpe | 0.55 | 1.15 | -0.09 | 0.55 |
| Sortino | 0.62 | 1.40 | -0.09 | 0.60 |
| Calmar | 0.24 | 1.28 | -0.15 | 0.21 |
| Volatility | 29.9% | 55.9% | 37.1% | 38.4% |
| Max DD | -53.4% | -48.5% | -64.0% | -70.7% |
| Win Rate | 47.1% | 33.3% | 50.6% | 47.4% |
| Avg Win | 4.7% | 86.5% | 2.9% | 7.1% |
| Avg Loss | -2.0% | -3.0% | -3.6% | -2.5% |
| Payoff | 2.38 | 10.00 | 0.80 | 2.84 |
| Expectancy | 1.2% | 26.8% | -0.3% | 2.0% |
| Profit Factor | 2.12 | 10.00 | 0.82 | 2.56 |
| Trades | 206 | 15 | 87 | 308 |
| Avg Holding Days | 5.7 | 38.9 | 5.5 | 7.3 |
| Turnover | 51.8 | 14.7 | 49.7 | 43.7 |
| Exposure | 39.4% | 64.5% | 37.6% | 44.1% |
Growth of $100
LongTermTrend_V0448 vs TSLA Buy & Hold
LongTermTrend_V0448 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 | 1.5% | 0.17 | -20.7% | 34 |
| 2017 | 1.1% | 0.16 | -18.0% | 17 |
| 2018 | -10.4% | -0.35 | -20.7% | 36 |
| 2019 | -18.6% | -1.08 | -22.0% | 32 |
| 2020 | 282.8% | 2.16 | -48.5% | 0 |
| 2021 | 37.6% | 0.87 | -34.9% | 0 |
| 2022 | -30.0% | -1.14 | -30.2% | 15 |
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 | 1.1% | 0.03 | 32% |
| hidden test | EXPENSIVE | 83 | 22.3% | 0.73 | 43% |
| hidden test | EXTREME | 48 | 90.1% | 1.60 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 11.0% | 0.20 | 50% |
| hidden test | LOW VOLATILITY | 429 | 28.1% | 1.11 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -72.4% | -2.31 | 32% |
| hidden test | NORMAL | 800 | -11.6% | -0.32 | 34% |
| hidden test | SIDEWAYS | 293 | -17.6% | -0.59 | 36% |
| hidden test | UPTREND | 371 | 4.7% | 0.13 | 43% |
| train | DOWNTREND | 518 | -24.2% | -1.74 | 14% |
| train | EXPENSIVE | 311 | 35.7% | 1.14 | 42% |
| train | EXTREME | 100 | 354.6% | 5.10 | 96% |
| train | HIGH VOLATILITY | 699 | 40.2% | 1.09 | 32% |
| train | LOW VOLATILITY | 745 | 9.8% | 0.45 | 46% |
| train | MEDIUM VOLATILITY | 568 | -4.6% | -0.16 | 40% |
| train | NORMAL | 1,601 | -8.6% | -0.35 | 35% |
| train | SIDEWAYS | 592 | 21.7% | 0.71 | 42% |
| train | UPTREND | 902 | 36.1% | 1.01 | 52% |
| validation | DOWNTREND | 125 | 9.3% | 0.61 | 12% |
| validation | EXPENSIVE | 138 | -34.3% | -0.70 | 46% |
| validation | EXTREME | 144 | 306.0% | 3.64 | 96% |
| validation | HIGH VOLATILITY | 258 | 127.8% | 1.64 | 64% |
| validation | LOW VOLATILITY | 183 | 47.5% | 1.59 | 79% |
| validation | MEDIUM VOLATILITY | 315 | 21.5% | 0.48 | 57% |
| validation | NORMAL | 474 | 19.2% | 0.42 | 60% |
| validation | SIDEWAYS | 206 | 8.4% | 0.20 | 65% |
| validation | UPTREND | 425 | 107.1% | 1.57 | 79% |
Trades (full period)
latest 100 of 308
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-13 | 2026-07-20 | $394.76 | $369.57 | -6.79% | 6 | |
| 2026-06-03 | 2026-06-05 | $423.70 | $391.00 | -1.45% | 3 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-26 | 2026-05-29 | $433.59 | $435.79 | 3.57% | 4 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-04-20 | 2026-05-18 | $392.50 | $409.99 | 5.18% | 21 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-07-31 | 2025-11-14 | $308.27 | $404.35 | 20.14% | 76 | |
| 2024-11-07 | 2025-07-09 | $296.91 | $295.88 | -1.95% | 165 | |
| 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 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.54% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 4.37% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-12-07 | 2024-01-30 | $242.64 | $191.59 | -20.39% | 36 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-11-17 | 2023-12-04 | $234.30 | $235.58 | 2.04% | 11 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 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 | |
| 2023-07-03 | 2023-07-07 | $279.82 | $274.43 | 5.44% | 4 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-15 | 2022-08-30 | $309.32 | $277.70 | -5.26% | 12 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-07-28 | 2022-08-08 | $280.90 | $290.42 | 4.65% | 8 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-03-22 | 2022-05-02 | $331.33 | $300.98 | -5.65% | 29 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 |