Strategy Zoo / S0469
LongTermTrend_V0469
ARCHIVEDhybridparameterchanged cumret_252d threshold -0.1997 -> 0.0541
Fitness
0.6686
Generation
21
Complexity
9
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.085
Children (4)
Strategy Logic (pseudocode)
# LongTermTrend_V0469 [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 > 0.0541):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.2% | 103.3% | 1.1% | 30.1% |
| Total Return | 428.0% | 739.8% | 4.0% | 4649.7% |
| Sharpe | 0.82 | 1.64 | 0.19 | 0.91 |
| Sortino | 0.84 | 1.81 | 0.16 | 0.90 |
| Calmar | 0.50 | 3.06 | 0.03 | 0.65 |
| Volatility | 31.0% | 51.4% | 30.2% | 36.0% |
| Max DD | -46.0% | -33.7% | -34.0% | -46.0% |
| Win Rate | 44.4% | 60.0% | 45.5% | 49.1% |
| Avg Win | 28.4% | 41.3% | 14.3% | 32.2% |
| Avg Loss | -6.7% | -10.1% | -9.3% | -8.0% |
| Payoff | 4.26 | 4.09 | 1.54 | 4.02 |
| Expectancy | 8.9% | 20.7% | 1.4% | 11.7% |
| Profit Factor | 3.41 | 6.14 | 1.28 | 3.87 |
| Trades | 27 | 15 | 11 | 53 |
| Avg Holding Days | 30.0 | 29.9 | 27.4 | 30.3 |
| Turnover | 6.9 | 10.0 | 6.2 | 7.3 |
| Exposure | 41.1% | 57.3% | 33.2% | 42.4% |
Growth of $100
LongTermTrend_V0469 vs TSLA Buy & Hold
LongTermTrend_V0469 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 | 12.9% | 0.91 | -12.6% | 1 |
| 2017 | -2.7% | 0.03 | -28.8% | 5 |
| 2018 | -23.0% | -0.88 | -32.5% | 4 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 545.8% | 2.93 | -33.7% | 5 |
| 2021 | 56.8% | 1.37 | -24.8% | 5 |
| 2022 | -20.6% | -0.54 | -26.4% | 5 |
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 | -30.9% | -1.42 | 22% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 9.6% | 0.27 | 31% |
| hidden test | LOW VOLATILITY | 429 | 34.2% | 1.39 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -47.7% | -1.47 | 32% |
| hidden test | NORMAL | 800 | -14.2% | -0.56 | 27% |
| hidden test | SIDEWAYS | 293 | 15.0% | 0.59 | 28% |
| hidden test | UPTREND | 371 | 24.7% | 0.65 | 45% |
| train | DOWNTREND | 518 | -9.6% | -0.90 | 7% |
| train | EXPENSIVE | 311 | 58.4% | 1.48 | 75% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 50.1% | 1.27 | 36% |
| train | LOW VOLATILITY | 745 | 33.7% | 1.45 | 48% |
| train | MEDIUM VOLATILITY | 568 | -15.3% | -0.54 | 38% |
| train | NORMAL | 1,601 | -4.4% | -0.19 | 31% |
| train | SIDEWAYS | 592 | -2.1% | -0.09 | 31% |
| train | UPTREND | 902 | 63.9% | 1.54 | 67% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 56.4% | 1.02 | 63% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 99.9% | 1.47 | 51% |
| validation | LOW VOLATILITY | 183 | 26.5% | 0.97 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 104.8% | 2.27 | 59% |
| validation | NORMAL | 474 | 12.3% | 0.37 | 45% |
| validation | SIDEWAYS | 206 | -27.3% | -0.77 | 46% |
| validation | UPTREND | 425 | 149.7% | 2.39 | 76% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.82% | 19 | OPEN |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-11 | 2025-11-14 | $339.03 | $404.35 | 21.70% | 69 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | 9.05% | 32 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-06-14 | 2023-08-02 | $256.79 | $254.11 | 0.71% | 34 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2018-11-02 | 2018-12-19 | $23.09 | $22.20 | -2.30% | 32 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-09 | 2017-03-08 | $15.42 | $16.46 | 8.33% | 41 | |
| 2016-03-08 | 2016-05-04 | $13.51 | $14.84 | 12.94% | 41 | |
| 2015-12-17 | 2016-01-05 | $15.56 | $14.90 | -4.92% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.05% | 64 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -15.54% | 8 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -9.26% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 11.85% | 47 |