Strategy Zoo / S0530
LongTermTrend_V0530
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0158
Fitness
0.5959
Generation
24
Complexity
13
Created
2026-09-22
Lineage
Parents (1)
entry = LongTermTrend_V0323 OR PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0530 [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) or ret_20d > -0.0158):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.4% | 104.8% | 6.4% | 26.8% |
| Total Return | 193.0% | 758.5% | 25.7% | 3156.3% |
| Sharpe | 0.56 | 1.63 | 0.35 | 0.79 |
| Sortino | 0.65 | 1.88 | 0.39 | 0.91 |
| Calmar | 0.24 | 2.54 | 0.12 | 0.44 |
| Volatility | 35.3% | 52.3% | 38.9% | 40.2% |
| Max DD | -60.7% | -41.3% | -54.8% | -60.7% |
| Win Rate | 41.5% | 46.3% | 29.6% | 39.1% |
| Avg Win | 6.0% | 16.2% | 8.6% | 8.4% |
| Avg Loss | -2.7% | -3.6% | -2.8% | -2.9% |
| Payoff | 2.19 | 4.50 | 3.04 | 2.91 |
| Expectancy | 0.9% | 5.6% | 0.6% | 1.5% |
| Profit Factor | 1.55 | 3.88 | 1.28 | 1.87 |
| Trades | 229 | 54 | 98 | 381 |
| Avg Holding Days | 5.5 | 9.0 | 5.4 | 6.0 |
| Turnover | 57.5 | 36.0 | 53.3 | 52.0 |
| Exposure | 52.1% | 56.9% | 48.3% | 52.2% |
Growth of $100
LongTermTrend_V0530 vs TSLA Buy & Hold
LongTermTrend_V0530 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 | -3.4% | -0.03 | -35.4% | 27 |
| 2017 | 43.8% | 1.50 | -14.0% | 32 |
| 2018 | -41.8% | -1.55 | -45.7% | 33 |
| 2019 | 26.9% | 0.88 | -26.4% | 29 |
| 2020 | 605.6% | 2.99 | -33.7% | 13 |
| 2021 | 21.0% | 0.69 | -29.7% | 24 |
| 2022 | -3.6% | 0.04 | -28.5% | 17 |
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 | -1.8% | -0.05 | 35% |
| hidden test | EXPENSIVE | 83 | 112.2% | 2.17 | 67% |
| hidden test | EXTREME | 48 | 153.9% | 2.66 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 0.27 | 50% |
| hidden test | LOW VOLATILITY | 429 | 51.1% | 1.75 | 48% |
| hidden test | MEDIUM VOLATILITY | 249 | -50.9% | -1.37 | 47% |
| hidden test | NORMAL | 801 | -4.9% | -0.14 | 45% |
| hidden test | SIDEWAYS | 293 | -31.5% | -0.94 | 50% |
| hidden test | UPTREND | 371 | 60.7% | 1.33 | 57% |
| train | DOWNTREND | 518 | -27.8% | -1.28 | 30% |
| train | EXPENSIVE | 311 | 60.0% | 1.48 | 72% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 42.5% | 0.93 | 49% |
| train | LOW VOLATILITY | 745 | 27.5% | 1.06 | 59% |
| train | MEDIUM VOLATILITY | 568 | -18.9% | -0.62 | 46% |
| train | NORMAL | 1,601 | -12.5% | -0.42 | 45% |
| train | SIDEWAYS | 592 | 1.8% | 0.06 | 47% |
| train | UPTREND | 902 | 58.5% | 1.35 | 69% |
| validation | DOWNTREND | 125 | 59.4% | 2.84 | 14% |
| validation | EXPENSIVE | 138 | 58.6% | 1.02 | 64% |
| validation | EXTREME | 144 | 366.1% | 4.31 | 94% |
| validation | HIGH VOLATILITY | 258 | 106.2% | 1.53 | 53% |
| validation | LOW VOLATILITY | 183 | 29.5% | 1.19 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 100.7% | 2.12 | 58% |
| validation | NORMAL | 474 | 7.9% | 0.24 | 44% |
| validation | SIDEWAYS | 206 | -20.6% | -0.58 | 45% |
| validation | UPTREND | 425 | 144.4% | 2.25 | 75% |
Trades (full period)
latest 100 of 382
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.45% | 21 | OPEN |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -3.09% | 3 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-17 | 2026-06-18 | $396.38 | $400.49 | -2.24% | 2 | |
| 2026-05-01 | 2026-06-08 | $390.82 | $408.95 | 2.25% | 26 | |
| 2026-04-27 | 2026-04-30 | $378.67 | $381.63 | -1.13% | 4 | |
| 2026-04-23 | 2026-04-24 | $373.72 | $376.30 | -3.75% | 2 | |
| 2026-04-17 | 2026-04-22 | $400.62 | $387.51 | -0.83% | 4 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -2.17% | 15 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-05 | 2025-11-07 | $462.07 | $429.52 | 0.17% | 3 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-09-11 | 2025-10-15 | $368.81 | $435.15 | 23.18% | 25 | |
| 2025-08-22 | 2025-09-10 | $340.01 | $347.79 | 8.18% | 13 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-07 | 2025-08-18 | $322.27 | $335.16 | 3.12% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-22 | 2025-07-23 | $332.11 | $332.56 | 0.90% | 2 | |
| 2025-07-18 | 2025-07-21 | $329.65 | $328.49 | 3.00% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.10% | 2 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 4.35% | 2 | |
| 2025-05-05 | 2025-06-06 | $280.26 | $295.14 | -1.07% | 24 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2025-04-21 | 2025-04-22 | $227.50 | $237.97 | -5.94% | 2 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-04 | 2025-04-07 | $239.43 | $233.29 | -10.61% | 2 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 5.12% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -5.37% | 2 | |
| 2025-01-10 | 2025-01-13 | $394.74 | $403.31 | -0.25% | 2 | |
| 2024-11-06 | 2025-01-08 | $288.53 | $394.94 | 56.55% | 43 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.66% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-09-19 | 2024-10-11 | $243.92 | $217.80 | 4.89% | 17 | |
| 2024-09-03 | 2024-09-18 | $210.60 | $227.20 | 6.21% | 12 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-06-24 | 2024-08-01 | $182.58 | $216.86 | 26.55% | 28 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-06-13 | 2024-06-17 | $182.47 | $187.44 | 0.21% | 3 | |
| 2024-06-11 | 2024-06-12 | $170.66 | $177.29 | -2.00% | 2 | |
| 2024-06-07 | 2024-06-10 | $177.48 | $173.79 | -0.46% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-13 | 2024-05-24 | $171.89 | $179.24 | 2.92% | 10 | |
| 2024-05-09 | 2024-05-10 | $171.97 | $168.47 | -1.77% | 2 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-12 | 2024-04-16 | $171.05 | $157.11 | -7.70% | 3 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-03-06 | 2024-03-07 | $176.54 | $178.65 | -2.52% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.38% | 2 | |
| 2024-01-02 | 2024-01-04 | $248.42 | $237.93 | -4.23% | 3 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.72% | 5 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.75% | 5 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.53% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.62% | 2 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-27 | 2023-09-28 | $240.50 | $246.38 | -1.68% | 2 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -9.90% | 11 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -5.26% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.31% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.17% | 2 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -5.15% | 4 | |
| 2023-05-19 | 2023-07-21 | $180.14 | $260.02 | 48.33% | 43 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.66% | 2 | |
| 2023-04-14 | 2023-04-17 | $185.00 | $187.04 | -0.68% | 2 | |
| 2023-04-10 | 2023-04-13 | $184.51 | $185.90 | -2.64% | 4 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-03-31 | 2023-04-04 | $207.46 | $192.58 | -0.45% | 3 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-01-24 | 2023-03-07 | $143.89 | $187.71 | 34.55% | 30 | |
| 2022-09-28 | 2022-09-29 | $287.81 | $268.21 | 1.52% | 2 |