Strategy Zoo / S0495
LongTermTrend_V0495
ARCHIVEDhybridcrossoverentry = LongTermTrend_V0469 OR PriceMomentum_V0267
Fitness
0.6539
Generation
23
Complexity
11
Created
2026-09-22
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.1146
changed cumret_252d threshold -0.1997 -> 0.0541
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0495 [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) or ret_20d > 0.1146):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.9% | 118.6% | 18.4% | 39.0% |
| Total Return | 530.2% | 944.0% | 86.6% | 12537.4% |
| Sharpe | 0.80 | 1.71 | 0.63 | 1.00 |
| Sortino | 0.97 | 2.05 | 0.69 | 1.17 |
| Calmar | 0.50 | 2.74 | 0.42 | 0.75 |
| Volatility | 37.1% | 54.2% | 39.0% | 41.6% |
| Max DD | -52.1% | -43.2% | -43.4% | -52.1% |
| Win Rate | 40.9% | 50.0% | 50.0% | 45.5% |
| Avg Win | 55.3% | 92.2% | 21.9% | 61.0% |
| Avg Loss | -11.1% | -11.6% | -8.2% | -10.5% |
| Payoff | 4.96 | 7.95 | 2.66 | 5.80 |
| Expectancy | 16.0% | 40.3% | 6.8% | 22.0% |
| Profit Factor | 3.43 | 7.95 | 2.66 | 4.84 |
| Trades | 22 | 10 | 12 | 44 |
| Avg Holding Days | 53.1 | 50.0 | 40.4 | 50.7 |
| Turnover | 5.6 | 6.7 | 6.8 | 6.1 |
| Exposure | 60.8% | 64.8% | 52.9% | 59.6% |
Growth of $100
LongTermTrend_V0495 vs TSLA Buy & Hold
LongTermTrend_V0495 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 | -19.7% | -0.84 | -37.0% | 4 |
| 2017 | 15.7% | 0.61 | -34.5% | 2 |
| 2018 | -9.4% | -0.06 | -33.7% | 3 |
| 2019 | 69.6% | 1.74 | -24.9% | 1 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 64.5% | 1.42 | -24.7% | 3 |
| 2022 | -35.7% | -1.09 | -35.6% | 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 | 268 | 13.0% | 0.44 | 31% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 35.8% | 0.70 | 55% |
| hidden test | LOW VOLATILITY | 429 | 54.8% | 1.84 | 53% |
| hidden test | MEDIUM VOLATILITY | 249 | -39.3% | -1.02 | 51% |
| hidden test | NORMAL | 801 | 6.8% | 0.19 | 49% |
| hidden test | SIDEWAYS | 293 | -3.7% | -0.10 | 56% |
| hidden test | UPTREND | 371 | 55.1% | 1.17 | 66% |
| train | DOWNTREND | 518 | 0.7% | 0.04 | 24% |
| train | EXPENSIVE | 311 | 87.1% | 2.02 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 62.7% | 1.32 | 53% |
| train | LOW VOLATILITY | 745 | 33.0% | 1.24 | 66% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -0.44 | 64% |
| train | NORMAL | 1,601 | -5.4% | -0.17 | 54% |
| train | SIDEWAYS | 592 | -19.7% | -0.59 | 54% |
| train | UPTREND | 902 | 79.0% | 1.73 | 86% |
| validation | DOWNTREND | 125 | 40.5% | 1.83 | 14% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 125.0% | 1.80 | 55% |
| validation | LOW VOLATILITY | 183 | 42.2% | 1.34 | 80% |
| validation | MEDIUM VOLATILITY | 315 | 96.2% | 1.90 | 64% |
| validation | NORMAL | 474 | 5.1% | 0.14 | 50% |
| validation | SIDEWAYS | 206 | -14.2% | -0.35 | 57% |
| validation | UPTREND | 425 | 160.3% | 2.46 | 83% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2026-04-20 | 2026-06-10 | $392.50 | $381.59 | -1.18% | 37 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-08-11 | 2025-11-21 | $339.03 | $391.09 | 19.66% | 74 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -12.76% | 9 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-06 | 2024-10-22 | $210.73 | $217.97 | -5.12% | 33 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2023-11-17 | 2024-01-17 | $234.30 | $215.55 | -6.04% | 40 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-23 | 2023-08-03 | $185.77 | $259.32 | 34.27% | 50 | |
| 2023-01-25 | 2023-03-10 | $144.43 | $173.44 | 19.94% | 32 | |
| 2022-09-21 | 2022-10-04 | $300.80 | $249.44 | -21.64% | 10 | |
| 2022-07-14 | 2022-09-01 | $238.31 | $277.16 | 16.04% | 36 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-06-14 | 2021-12-03 | $205.90 | $338.32 | 77.48% | 122 | |
| 2021-04-05 | 2021-05-11 | $230.35 | $205.73 | -5.13% | 27 | |
| 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 | |
| 2019-06-21 | 2019-08-15 | $14.79 | $14.38 | -0.20% | 39 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-05-01 | 2018-07-16 | $19.99 | $20.67 | 8.28% | 53 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-22 | 2016-09-02 | $14.82 | $13.19 | -9.13% | 31 | |
| 2016-06-09 | 2016-06-24 | $15.29 | $12.88 | -16.78% | 12 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-12-17 | 2016-01-19 | $15.56 | $13.65 | -12.76% | 21 | |
| 2015-09-22 | 2015-10-12 | $17.40 | $14.37 | -16.64% | 15 | |
| 2015-04-24 | 2015-08-12 | $14.56 | $15.88 | 8.37% | 77 | |
| 2014-11-11 | 2014-12-09 | $16.74 | $14.46 | -11.57% | 20 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-26 | $9.84 | $14.20 | 49.18% | 70 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2012-11-06 | 2013-03-20 | $2.08 | $2.40 | 11.14% | 92 | |
| 2012-09-18 | 2012-10-16 | $2.09 | $1.87 | -16.18% | 21 | |
| 2012-08-24 | 2012-09-12 | $1.97 | $1.89 | -9.72% | 13 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |