Strategy Zoo / S0515
LongTermTrend_V0515
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1852
Fitness
0.5960
Generation
23
Complexity
13
Created
2026-09-22
Lineage
Parents (1)
added exit filter: vol_pctile < 0.1012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0515 [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 > 0.1852):
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 | 13.8% | 65.2% | 14.7% | 23.3% |
| Total Return | 181.3% | 350.9% | 65.8% | 2065.7% |
| Sharpe | 0.69 | 1.44 | 0.73 | 0.91 |
| Sortino | 0.45 | 1.25 | 0.50 | 0.65 |
| Calmar | 0.48 | 2.69 | 0.49 | 0.78 |
| Volatility | 22.4% | 40.3% | 21.9% | 27.0% |
| Max DD | -28.8% | -24.2% | -29.9% | -29.9% |
| Win Rate | 55.1% | 71.9% | 44.8% | 57.3% |
| Avg Win | 8.2% | 9.3% | 9.4% | 8.9% |
| Avg Loss | -3.4% | -3.9% | -3.7% | -3.6% |
| Payoff | 2.45 | 2.40 | 2.57 | 2.51 |
| Expectancy | 3.0% | 5.6% | 2.2% | 3.6% |
| Profit Factor | 3.00 | 6.12 | 2.08 | 3.36 |
| Trades | 49 | 32 | 29 | 110 |
| Avg Holding Days | 7.0 | 7.5 | 6.3 | 7.0 |
| Turnover | 12.4 | 21.3 | 15.7 | 15.0 |
| Exposure | 14.8% | 27.6% | 16.5% | 17.9% |
Growth of $100
LongTermTrend_V0515 vs TSLA Buy & Hold
LongTermTrend_V0515 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 | 18.9% | 1.45 | -6.6% | 3 |
| 2017 | 12.6% | 1.21 | -5.0% | 6 |
| 2018 | -0.7% | 0.01 | -12.1% | 4 |
| 2019 | 2.8% | 0.25 | -13.8% | 4 |
| 2020 | 248.3% | 2.34 | -24.2% | 15 |
| 2021 | 25.8% | 0.96 | -16.8% | 11 |
| 2022 | 2.5% | 0.23 | -13.2% | 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 | 9.2% | 0.89 | 3% |
| hidden test | EXPENSIVE | 83 | 32.3% | 0.98 | 40% |
| hidden test | EXTREME | 48 | 151.9% | 3.23 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 33.7% | 1.17 | 19% |
| hidden test | LOW VOLATILITY | 429 | 25.1% | 1.55 | 13% |
| hidden test | MEDIUM VOLATILITY | 249 | -17.6% | -0.78 | 20% |
| hidden test | NORMAL | 801 | 6.2% | 0.35 | 12% |
| hidden test | SIDEWAYS | 293 | 10.1% | 0.67 | 12% |
| hidden test | UPTREND | 371 | 25.7% | 0.83 | 30% |
| train | DOWNTREND | 518 | 2.4% | 0.43 | 2% |
| train | EXPENSIVE | 311 | 15.3% | 0.53 | 29% |
| train | EXTREME | 100 | 266.1% | 3.80 | 75% |
| train | HIGH VOLATILITY | 699 | 30.3% | 0.89 | 24% |
| train | LOW VOLATILITY | 745 | 4.6% | 0.48 | 11% |
| train | MEDIUM VOLATILITY | 568 | 11.2% | 0.75 | 8% |
| train | NORMAL | 1,601 | -0.2% | -0.02 | 8% |
| train | SIDEWAYS | 592 | -8.2% | -0.56 | 9% |
| train | UPTREND | 902 | 38.4% | 1.24 | 26% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 51.4% | 1.48 | 34% |
| validation | EXTREME | 144 | 230.9% | 3.02 | 69% |
| validation | HIGH VOLATILITY | 258 | 85.1% | 1.53 | 30% |
| validation | LOW VOLATILITY | 183 | 16.3% | 1.31 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 60.7% | 1.70 | 37% |
| validation | NORMAL | 474 | 7.8% | 0.38 | 13% |
| validation | SIDEWAYS | 206 | 12.5% | 0.48 | 21% |
| validation | UPTREND | 425 | 94.2% | 1.87 | 39% |
Trades (full period)
latest 100 of 110
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-02 | $435.79 | $423.74 | -6.12% | 3 | |
| 2026-05-08 | 2026-05-14 | $428.35 | $443.30 | 7.92% | 5 | |
| 2025-12-17 | 2025-12-24 | $467.26 | $485.40 | -1.08% | 6 | |
| 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 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 4.62% | 15 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-08 | 2025-06-03 | $284.82 | $344.27 | 23.82% | 18 | |
| 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 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-03 | 2024-07-22 | $246.39 | $251.51 | 3.23% | 13 | |
| 2024-05-20 | 2024-05-30 | $174.95 | $178.79 | -0.92% | 8 | |
| 2023-11-29 | 2023-12-11 | $244.14 | $239.74 | -1.37% | 9 | |
| 2023-09-15 | 2023-09-25 | $274.39 | $246.99 | -11.47% | 7 | |
| 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 | |
| 2023-05-25 | 2023-06-13 | $184.47 | $258.71 | 36.32% | 13 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-29 | 2022-08-12 | $297.15 | $300.03 | 1.84% | 11 | |
| 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 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.96% | 14 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 3.51% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 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 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-04-07 | 2021-04-29 | $223.66 | $225.67 | 0.20% | 17 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-24 | 2020-12-17 | $185.13 | $218.63 | 19.11% | 17 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-19 | 2020-09-08 | $125.24 | $110.07 | 10.62% | 14 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2020-01-08 | 2020-02-26 | $32.81 | $51.92 | 70.20% | 34 | |
| 2019-12-31 | 2020-01-07 | $27.89 | $31.27 | 8.67% | 5 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.33% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2018-10-29 | 2018-11-21 | $22.32 | $22.55 | 4.80% | 18 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-06-14 | 2018-06-26 | $23.85 | $22.80 | -3.60% | 9 | |
| 2017-06-14 | 2017-06-27 | $25.38 | $24.16 | 0.21% | 10 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.63% | 2 | |
| 2017-01-17 | 2017-01-31 | $15.71 | $16.80 | 5.21% | 11 | |
| 2017-01-04 | 2017-01-13 | $15.13 | $15.85 | 5.60% | 8 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-08 | 2016-04-01 | $13.51 | $15.84 | 11.70% | 18 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.67% | 6 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.24% | 2 | |
| 2015-04-28 | 2015-05-05 | $15.37 | $15.53 | -0.65% | 6 | |
| 2014-09-03 | 2014-09-05 | $18.75 | $18.49 | 0.47% | 3 | |
| 2014-08-18 | 2014-08-25 | $17.33 | $17.50 | -2.19% | 6 | |
| 2014-08-14 | 2014-08-15 | $17.43 | $17.47 | 0.21% | 2 | |
| 2014-03-20 | 2014-03-21 | $15.66 | $15.26 | -0.59% | 2 | |
| 2014-03-14 | 2014-03-17 | $15.40 | $15.60 | -3.07% | 2 | |
| 2014-03-12 | 2014-03-13 | $16.10 | $15.85 | 2.82% | 2 | |
| 2014-02-10 | 2014-03-11 | $13.10 | $15.63 | 27.79% | 21 | |
| 2014-01-22 | 2014-02-06 | $11.90 | $11.89 | -1.48% | 12 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -3.43% | 16 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-09-16 | 2013-09-17 | $11.11 | $11.08 | 0.43% | 2 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-08-21 | 2013-08-22 | $9.86 | $10.47 | -1.35% | 2 | |
| 2013-08-19 | 2013-08-20 | $9.66 | $9.97 | 1.84% | 2 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-24 | 2013-07-25 | $8.11 | $8.27 | -1.05% | 2 | |
| 2013-07-22 | 2013-07-23 | $8.16 | $8.18 | 2.10% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-06-20 | 2013-06-21 | $6.71 | $6.64 | -4.05% | 2 |