Strategy Zoo / S0470
LongTermTrend_V0470
ARCHIVEDhybridstructuralremoved entry condition: cumret_252d > -0.1997; changed ret_20d threshold -0.03 -> -0.1474
Fitness
0.6600
Generation
21
Complexity
8
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.085
Children (4)
Strategy Logic (pseudocode)
# LongTermTrend_V0470 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.1474:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.8% | 122.6% | 8.5% | 36.5% |
| Total Return | 525.7% | 1003.2% | 35.1% | 9498.8% |
| Sharpe | 0.78 | 1.73 | 0.40 | 0.93 |
| Sortino | 1.01 | 2.12 | 0.53 | 1.18 |
| Calmar | 0.45 | 2.86 | 0.14 | 0.61 |
| Volatility | 38.9% | 54.9% | 43.4% | 43.7% |
| Max DD | -57.4% | -42.9% | -59.9% | -59.9% |
| Win Rate | 44.4% | 62.5% | 60.0% | 52.8% |
| Avg Win | 67.1% | 87.1% | 17.3% | 63.5% |
| Avg Loss | -13.0% | -11.9% | -14.4% | -13.1% |
| Payoff | 5.17 | 7.35 | 1.20 | 4.85 |
| Expectancy | 22.6% | 50.0% | 4.6% | 27.3% |
| Profit Factor | 4.14 | 10.00 | 1.81 | 5.42 |
| Trades | 18 | 8 | 10 | 36 |
| Avg Holding Days | 75.1 | 65.4 | 65.1 | 72.3 |
| Turnover | 4.6 | 5.3 | 5.7 | 5.0 |
| Exposure | 70.0% | 68.1% | 70.9% | 69.9% |
Growth of $100
LongTermTrend_V0470 vs TSLA Buy & Hold
LongTermTrend_V0470 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 | -9.8% | -0.19 | -34.6% | 2 |
| 2017 | 17.3% | 0.66 | -33.6% | 2 |
| 2018 | -18.5% | -0.32 | -41.1% | 3 |
| 2019 | 57.3% | 1.50 | -26.2% | 2 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 51.1% | 1.20 | -26.1% | 3 |
| 2022 | -25.9% | -0.61 | -30.8% | 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 | 3.4% | 0.09 | 48% |
| hidden test | EXPENSIVE | 83 | 33.9% | 0.68 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 54.0% | 1.02 | 61% |
| hidden test | LOW VOLATILITY | 429 | 30.9% | 0.87 | 77% |
| hidden test | MEDIUM VOLATILITY | 248 | -43.0% | -0.96 | 70% |
| hidden test | NORMAL | 800 | 5.8% | 0.14 | 68% |
| hidden test | SIDEWAYS | 293 | -17.9% | -0.46 | 73% |
| hidden test | UPTREND | 371 | 55.7% | 1.10 | 86% |
| train | DOWNTREND | 518 | 1.6% | 0.06 | 43% |
| train | EXPENSIVE | 311 | 84.9% | 1.94 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 56.9% | 1.16 | 60% |
| train | LOW VOLATILITY | 745 | 35.2% | 1.24 | 79% |
| train | MEDIUM VOLATILITY | 568 | -8.5% | -0.23 | 72% |
| train | NORMAL | 1,601 | -4.3% | -0.13 | 66% |
| train | SIDEWAYS | 592 | -20.6% | -0.57 | 65% |
| train | UPTREND | 902 | 80.5% | 1.74 | 89% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 118.1% | 1.69 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 99.2% | 1.93 | 67% |
| validation | NORMAL | 474 | 8.7% | 0.23 | 56% |
| validation | SIDEWAYS | 206 | -17.5% | -0.41 | 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 | |
| 2025-04-10 | 2026-04-10 | $252.40 | $348.95 | 26.71% | 251 | |
| 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 | |
| 2024-02-27 | 2024-03-18 | $199.73 | $173.80 | -18.13% | 15 | |
| 2023-11-17 | 2024-01-18 | $234.30 | $211.88 | -7.91% | 41 | |
| 2023-09-12 | 2023-10-27 | $267.48 | $207.30 | -24.94% | 34 | |
| 2023-05-19 | 2023-08-15 | $180.14 | $232.96 | 35.27% | 60 | |
| 2023-01-25 | 2023-03-13 | $144.43 | $174.48 | 20.30% | 33 | |
| 2022-06-24 | 2022-10-06 | $245.71 | $238.13 | 2.24% | 73 | |
| 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 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -6.91% | 28 | |
| 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 | |
| 2019-06-19 | 2019-08-16 | $15.10 | $14.66 | -4.24% | 42 | |
| 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 | |
| 2018-04-27 | 2018-07-30 | $19.61 | $19.34 | 3.89% | 65 | |
| 2017-12-12 | 2018-03-27 | $22.74 | $18.61 | -7.70% | 72 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-06-08 | 2017-07-10 | $15.70 | $21.07 | 34.54% | 274 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-30 | 2016-01-27 | $15.35 | $12.54 | -16.60% | 40 | |
| 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 | 2014-10-13 | $14.02 | $14.97 | 11.76% | 97 | |
| 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 | 2012-08-03 | $2.14 | $1.82 | -18.19% | 33 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |