Strategy Zoo / S0543
LongTermTrend_V0543
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0531, exit from LongTermTrend_V0470
Fitness
0.6072
Generation
25
Complexity
27
Created
2026-09-22
Lineage
Parents (2)
removed entry condition: cumret_252d > -0.1997; changed ret_20d threshold -0.03 -> -0.1474
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0543 [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 > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close and macd_hist > -2.6055):
position = 1.0
if long and ret_20d < -0.1474:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.9% | 122.2% | -1.1% | 31.6% |
| Total Return | 417.8% | 997.6% | -4.2% | 5506.4% |
| Sharpe | 0.71 | 1.72 | 0.20 | 0.83 |
| Sortino | 0.94 | 2.13 | 0.27 | 1.08 |
| Calmar | 0.34 | 3.13 | -0.02 | 0.47 |
| Volatility | 40.8% | 55.4% | 45.3% | 45.3% |
| Max DD | -66.8% | -39.1% | -51.4% | -66.8% |
| Win Rate | 47.4% | 50.0% | 45.5% | 47.4% |
| Avg Win | 63.4% | 107.2% | 18.9% | 68.7% |
| Avg Loss | -14.9% | -8.2% | -13.5% | -13.1% |
| Payoff | 4.26 | 10.00 | 1.40 | 5.24 |
| Expectancy | 22.2% | 49.5% | 1.2% | 25.7% |
| Profit Factor | 3.83 | 10.00 | 1.17 | 4.71 |
| Trades | 19 | 8 | 11 | 38 |
| Avg Holding Days | 78.3 | 65.8 | 62.9 | 73.3 |
| Turnover | 4.9 | 5.3 | 6.2 | 5.2 |
| Exposure | 76.8% | 68.5% | 75.2% | 74.8% |
Growth of $100
LongTermTrend_V0543 vs TSLA Buy & Hold
LongTermTrend_V0543 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 | -9.8% | -0.19 | -34.6% | 2 |
| 2017 | 18.9% | 0.69 | -32.7% | 2 |
| 2018 | -11.0% | -0.08 | -35.3% | 3 |
| 2019 | 12.4% | 0.49 | -40.0% | 3 |
| 2020 | 817.7% | 3.31 | -33.7% | 2 |
| 2021 | 39.6% | 1.01 | -29.3% | 3 |
| 2022 | -27.9% | -0.69 | -32.6% | 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 | -13.9% | -0.44 | 40% |
| hidden test | EXPENSIVE | 83 | 65.5% | 1.15 | 89% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 22.2% | 0.40 | 65% |
| hidden test | LOW VOLATILITY | 429 | 37.8% | 1.07 | 77% |
| hidden test | MEDIUM VOLATILITY | 249 | -53.8% | -1.11 | 82% |
| hidden test | NORMAL | 801 | -7.3% | -0.17 | 72% |
| hidden test | SIDEWAYS | 293 | -41.1% | -0.92 | 87% |
| hidden test | UPTREND | 371 | 65.4% | 1.23 | 92% |
| train | DOWNTREND | 518 | -18.2% | -0.59 | 59% |
| train | EXPENSIVE | 311 | 86.2% | 1.95 | 86% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 50.3% | 0.98 | 67% |
| train | LOW VOLATILITY | 745 | 38.1% | 1.25 | 86% |
| train | MEDIUM VOLATILITY | 568 | -9.8% | -0.26 | 76% |
| train | NORMAL | 1,601 | -6.5% | -0.18 | 74% |
| train | SIDEWAYS | 592 | -4.2% | -0.11 | 72% |
| train | UPTREND | 902 | 77.5% | 1.65 | 90% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 91.2% | 1.51 | 82% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 120.0% | 1.70 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 97.7% | 1.90 | 69% |
| validation | NORMAL | 474 | 10.2% | 0.26 | 57% |
| validation | SIDEWAYS | 206 | -20.8% | -0.50 | 62% |
| validation | UPTREND | 425 | 167.3% | 2.53 | 86% |
Trades (full period)
39 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2026-07-01 | 2026-07-24 | $425.30 | $313.03 | -24.14% | 17 | |
| 2026-04-16 | 2026-06-26 | $388.90 | $379.71 | -4.49% | 50 | |
| 2025-04-28 | 2026-04-10 | $285.88 | $348.95 | 21.05% | 240 | |
| 2024-10-25 | 2025-02-12 | $269.19 | $336.51 | 25.87% | 74 | |
| 2024-08-20 | 2024-10-24 | $221.10 | $260.48 | -4.26% | 47 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2023-11-16 | 2024-01-18 | $233.59 | $211.88 | -11.42% | 42 | |
| 2023-08-30 | 2023-10-27 | $256.90 | $207.30 | -20.15% | 42 | |
| 2023-05-22 | 2023-08-15 | $188.87 | $232.96 | 32.84% | 59 | |
| 2023-03-24 | 2023-04-26 | $190.41 | $153.75 | -16.58% | 23 | |
| 2023-01-27 | 2023-03-13 | $177.90 | $174.48 | 8.01% | 31 | |
| 2022-06-27 | 2022-10-06 | $244.92 | $238.13 | -2.19% | 72 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-12-28 | 2022-01-26 | $362.82 | $312.47 | -16.21% | 21 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-06 | 2021-05-12 | $230.54 | $196.63 | -10.87% | 27 | |
| 2020-10-08 | 2021-02-23 | $141.97 | $232.95 | 67.66% | 94 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-11 | 2020-03-05 | $16.47 | $48.30 | 217.58% | 122 | |
| 2019-07-01 | 2019-08-16 | $15.14 | $14.66 | -3.69% | 34 | |
| 2019-01-11 | 2019-04-29 | $23.15 | $16.10 | -31.97% | 74 | |
| 2018-10-24 | 2019-01-04 | $19.23 | $21.18 | 1.91% | 49 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-04-30 | 2018-07-30 | $19.59 | $19.34 | 0.85% | 64 | |
| 2017-12-12 | 2018-03-27 | $22.74 | $18.61 | -7.70% | 72 | |
| 2017-07-25 | 2017-11-03 | $22.64 | $20.41 | -12.81% | 73 | |
| 2016-06-08 | 2017-07-10 | $15.70 | $21.07 | 34.54% | 274 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-27 | 2016-01-27 | $15.44 | $12.54 | -15.88% | 41 | |
| 2015-09-16 | 2015-10-13 | $17.48 | $14.62 | -15.15% | 20 | |
| 2015-02-04 | 2015-08-26 | $14.57 | $14.99 | 0.56% | 142 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-13 | $14.02 | $14.97 | 11.76% | 97 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-02 | 2013-10-29 | $1.93 | $10.96 | 455.67% | 249 | |
| 2012-08-14 | 2012-10-16 | $1.96 | $1.87 | -12.50% | 45 | |
| 2012-06-19 | 2012-08-03 | $2.14 | $1.82 | -18.19% | 33 | |
| 2012-01-31 | 2012-04-25 | $1.94 | $2.19 | 7.39% | 60 |