Strategy Zoo / S0488
LongTermTrend_V0488
ARCHIVEDhybridstructuraladded exit filter: vol_pctile < 0.1012
Fitness
0.6606
Generation
22
Complexity
13
Created
2026-09-19
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from MACDMomentum_V0334
Children (1)
Strategy Logic (pseudocode)
# LongTermTrend_V0488 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) 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 or vol_pctile < 0.1012):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.0% | 80.9% | 8.5% | 28.1% |
| Total Return | 358.5% | 492.4% | 35.4% | 3685.4% |
| Sharpe | 0.80 | 1.55 | 0.44 | 0.92 |
| Sortino | 0.81 | 1.73 | 0.40 | 0.93 |
| Calmar | 0.48 | 2.91 | 0.26 | 0.65 |
| Volatility | 29.1% | 44.7% | 26.9% | 32.5% |
| Max DD | -43.5% | -27.8% | -33.1% | -43.5% |
| Win Rate | 48.1% | 59.6% | 38.3% | 49.7% |
| Avg Win | 5.8% | 5.7% | 7.3% | 6.0% |
| Avg Loss | -2.6% | -2.8% | -3.3% | -2.8% |
| Payoff | 2.23 | 2.04 | 2.23 | 2.14 |
| Expectancy | 1.4% | 2.3% | 0.8% | 1.6% |
| Profit Factor | 2.07 | 3.01 | 1.39 | 2.11 |
| Trades | 162 | 94 | 60 | 316 |
| Avg Holding Days | 4.9 | 4.4 | 5.5 | 4.9 |
| Turnover | 40.7 | 62.7 | 32.5 | 43.1 |
| Exposure | 31.3% | 42.3% | 28.8% | 32.9% |
Growth of $100
LongTermTrend_V0488 vs TSLA Buy & Hold
LongTermTrend_V0488 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 | 30.1% | 1.93 | -6.6% | 10 |
| 2017 | 8.0% | 0.47 | -18.5% | 27 |
| 2018 | -28.9% | -1.18 | -33.7% | 14 |
| 2019 | 35.1% | 1.39 | -9.4% | 11 |
| 2020 | 318.0% | 2.53 | -24.2% | 36 |
| 2021 | 29.5% | 0.99 | -18.4% | 46 |
| 2022 | 8.9% | 0.44 | -19.4% | 11 |
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 | -18.4% | -0.86 | 24% |
| hidden test | EXPENSIVE | 83 | 10.9% | 0.27 | 49% |
| hidden test | EXTREME | 48 | 151.1% | 3.22 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 9.8% | 0.30 | 29% |
| hidden test | LOW VOLATILITY | 429 | 37.9% | 1.69 | 28% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.3% | -1.14 | 29% |
| hidden test | NORMAL | 800 | 3.5% | 0.15 | 26% |
| hidden test | SIDEWAYS | 293 | 8.2% | 0.42 | 25% |
| hidden test | UPTREND | 371 | 36.4% | 1.05 | 35% |
| train | DOWNTREND | 518 | 1.4% | 0.13 | 9% |
| train | EXPENSIVE | 311 | 26.4% | 0.76 | 53% |
| train | EXTREME | 100 | 348.1% | 4.87 | 83% |
| train | HIGH VOLATILITY | 699 | 57.0% | 1.44 | 34% |
| train | LOW VOLATILITY | 745 | 17.0% | 0.89 | 33% |
| train | MEDIUM VOLATILITY | 568 | -10.4% | -0.43 | 26% |
| train | NORMAL | 1,601 | 2.3% | 0.10 | 24% |
| train | SIDEWAYS | 592 | 7.5% | 0.35 | 31% |
| train | UPTREND | 902 | 46.0% | 1.18 | 44% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 62.7% | 1.46 | 46% |
| validation | EXTREME | 144 | 255.5% | 3.29 | 78% |
| validation | HIGH VOLATILITY | 258 | 61.4% | 1.02 | 42% |
| validation | LOW VOLATILITY | 183 | 24.5% | 1.34 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 101.6% | 2.50 | 49% |
| validation | NORMAL | 474 | 14.6% | 0.52 | 30% |
| validation | SIDEWAYS | 206 | 26.3% | 0.88 | 33% |
| validation | UPTREND | 425 | 95.6% | 1.77 | 53% |
Trades (full period)
latest 100 of 316
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 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 | |
| 2026-05-15 | 2026-05-21 | $422.24 | $417.85 | -6.07% | 5 | |
| 2026-04-20 | 2026-05-14 | $392.50 | $443.30 | 10.92% | 19 | |
| 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 | |
| 2025-12-17 | 2025-12-24 | $467.26 | $485.40 | -1.08% | 6 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 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 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -3.09% | 10 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-30 | 2025-06-03 | $282.16 | $344.27 | 17.11% | 24 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 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 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 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 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-11-17 | 2023-12-11 | $234.30 | $239.74 | 4.18% | 16 | |
| 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 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 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 | |
| 2023-06-21 | 2023-06-27 | $259.46 | $250.21 | -12.35% | 5 | |
| 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 | |
| 2023-05-24 | 2023-06-13 | $182.90 | $258.71 | 34.21% | 14 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-06-24 | 2022-08-12 | $245.71 | $300.03 | 21.70% | 35 | |
| 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 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.43% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-26 | 2021-11-11 | $339.48 | $354.50 | 4.00% | 13 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.28% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 1.06% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 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 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.51% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.37% | 2 |