Strategy Zoo / S0537
LongTermTrend_V0537
ARCHIVEDhybridparameterchanged ret_20d threshold -0.1474 -> -0.2031
Fitness
0.6021
Generation
24
Complexity
8
Created
2026-09-22
Lineage
Parents (1)
removed entry condition: cumret_252d > -0.1997; changed ret_20d threshold -0.03 -> -0.1474
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0537 [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 < -0.2031:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 30.8% | 78.5% | 8.2% | 33.2% |
| Total Return | 754.0% | 469.2% | 33.8% | 6595.5% |
| Sharpe | 0.82 | 1.30 | 0.41 | 0.83 |
| Sortino | 1.16 | 1.59 | 0.59 | 1.13 |
| Calmar | 0.54 | 1.48 | 0.12 | 0.46 |
| Volatility | 45.0% | 57.5% | 50.9% | 49.3% |
| Max DD | -57.5% | -53.0% | -68.3% | -72.3% |
| Win Rate | 42.9% | 42.9% | 57.1% | 47.6% |
| Avg Win | 148.6% | 171.0% | 25.0% | 117.8% |
| Avg Loss | -14.6% | -12.9% | -16.8% | -14.6% |
| Payoff | 10.00 | 10.00 | 1.49 | 8.07 |
| Expectancy | 55.3% | 65.9% | 7.1% | 48.4% |
| Profit Factor | 7.63 | 9.94 | 1.98 | 7.34 |
| Trades | 7 | 7 | 7 | 21 |
| Avg Holding Days | 237.9 | 79.4 | 110.0 | 149.0 |
| Turnover | 1.9 | 4.7 | 4.1 | 2.9 |
| Exposure | 89.2% | 72.6% | 84.0% | 84.5% |
Growth of $100
LongTermTrend_V0537 vs TSLA Buy & Hold
LongTermTrend_V0537 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 | -15.5% | -0.34 | -31.6% | 1 |
| 2017 | 43.6% | 1.20 | -22.3% | 0 |
| 2018 | -14.3% | -0.13 | -34.1% | 2 |
| 2019 | 26.3% | 0.73 | -43.0% | 1 |
| 2020 | 598.7% | 2.86 | -39.0% | 1 |
| 2021 | 21.4% | 0.66 | -33.1% | 3 |
| 2022 | -35.8% | -0.91 | -35.7% | 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 | 268 | 10.6% | 0.22 | 66% |
| hidden test | EXPENSIVE | 83 | 135.9% | 1.95 | 100% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 91.9% | 1.40 | 71% |
| hidden test | LOW VOLATILITY | 429 | 19.5% | 0.50 | 90% |
| hidden test | MEDIUM VOLATILITY | 249 | -49.7% | -0.97 | 87% |
| hidden test | NORMAL | 801 | -1.0% | -0.02 | 81% |
| hidden test | SIDEWAYS | 293 | -52.4% | -1.11 | 91% |
| hidden test | UPTREND | 371 | 85.9% | 1.53 | 91% |
| train | DOWNTREND | 518 | -26.6% | -0.77 | 69% |
| train | EXPENSIVE | 311 | 84.0% | 1.72 | 96% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 61.4% | 1.09 | 81% |
| train | LOW VOLATILITY | 745 | 43.5% | 1.39 | 89% |
| train | MEDIUM VOLATILITY | 568 | -1.9% | -0.04 | 99% |
| train | NORMAL | 1,601 | 4.1% | 0.10 | 87% |
| train | SIDEWAYS | 592 | 16.5% | 0.37 | 91% |
| train | UPTREND | 902 | 86.8% | 1.72 | 100% |
| validation | DOWNTREND | 125 | 31.2% | 1.12 | 22% |
| validation | EXPENSIVE | 138 | 65.7% | 1.03 | 86% |
| validation | EXTREME | 144 | 360.0% | 4.10 | 99% |
| validation | HIGH VOLATILITY | 258 | 79.8% | 1.08 | 60% |
| validation | LOW VOLATILITY | 183 | 45.6% | 1.35 | 89% |
| validation | MEDIUM VOLATILITY | 315 | 87.1% | 1.65 | 74% |
| validation | NORMAL | 474 | -9.6% | -0.24 | 61% |
| validation | SIDEWAYS | 206 | -31.9% | -0.72 | 66% |
| validation | UPTREND | 425 | 138.9% | 2.03 | 91% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2025-04-10 | 2026-07-29 | $252.40 | $298.32 | 12.71% | 326 | |
| 2024-09-04 | 2025-02-26 | $219.41 | $290.80 | 43.50% | 120 | |
| 2024-02-27 | 2024-08-06 | $199.73 | $200.64 | -0.46% | 112 | |
| 2023-11-17 | 2024-01-26 | $234.30 | $183.25 | -21.97% | 47 | |
| 2023-09-12 | 2023-10-31 | $267.48 | $200.84 | -28.01% | 36 | |
| 2023-05-19 | 2023-08-16 | $180.14 | $225.60 | 31.44% | 61 | |
| 2023-01-25 | 2023-05-02 | $144.43 | $160.31 | 12.24% | 68 | |
| 2022-06-24 | 2022-10-10 | $245.71 | $222.96 | -5.29% | 75 | |
| 2022-03-22 | 2022-05-04 | $331.33 | $317.54 | -1.48% | 31 | |
| 2022-01-04 | 2022-01-28 | $383.20 | $282.12 | -31.04% | 18 | |
| 2021-06-14 | 2021-12-21 | $205.90 | $312.84 | 47.26% | 134 | |
| 2021-04-05 | 2021-05-14 | $230.35 | $196.58 | -13.78% | 30 | |
| 2020-04-14 | 2021-02-24 | $47.33 | $247.34 | 435.76% | 219 | |
| 2019-06-19 | 2020-03-13 | $15.10 | $36.44 | 148.92% | 186 | |
| 2018-10-29 | 2019-05-20 | $22.32 | $13.69 | -36.35% | 139 | |
| 2018-04-27 | 2018-09-06 | $19.61 | $18.73 | -1.85% | 92 | |
| 2016-03-04 | 2018-03-28 | $13.40 | $17.19 | 42.35% | 521 | |
| 2015-04-09 | 2016-02-04 | $14.01 | $11.69 | -16.63% | 209 | |
| 2013-12-13 | 2014-12-16 | $9.84 | $13.19 | 38.08% | 254 | |
| 2012-02-02 | 2013-11-11 | $2.02 | $9.65 | 365.44% | 447 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |