Strategy Zoo / S0553
LongTermTrend_V0553
ARCHIVEDhybridstructuraladded entry filter: volume_breakout == 1
Fitness
0.4792
Generation
25
Complexity
10
Created
2026-09-22
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.0541
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0553 [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 and volume_breakout == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.5% | 45.5% | 4.0% | 19.2% |
| Total Return | 261.8% | 208.1% | 15.4% | 1224.9% |
| Sharpe | 0.74 | 1.29 | 0.30 | 0.80 |
| Sortino | 0.64 | 0.83 | 0.18 | 0.59 |
| Calmar | 0.45 | 1.67 | 0.19 | 0.50 |
| Volatility | 26.2% | 33.2% | 19.2% | 26.3% |
| Max DD | -38.7% | -27.2% | -21.0% | -38.7% |
| Win Rate | 40.0% | 75.0% | 66.7% | 50.0% |
| Avg Win | 40.6% | 49.8% | 13.3% | 43.1% |
| Avg Loss | -7.7% | -3.2% | -9.1% | -7.4% |
| Payoff | 5.29 | 10.00 | 1.46 | 5.82 |
| Expectancy | 11.7% | 36.6% | 5.8% | 17.8% |
| Profit Factor | 3.53 | 10.00 | 2.93 | 5.82 |
| Trades | 15 | 4 | 3 | 22 |
| Avg Holding Days | 32.8 | 36.3 | 36.3 | 36.0 |
| Turnover | 3.9 | 2.7 | 1.6 | 3.0 |
| Exposure | 25.9% | 18.7% | 11.4% | 20.8% |
Growth of $100
LongTermTrend_V0553 vs TSLA Buy & Hold
LongTermTrend_V0553 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 | -2.4% | -0.18 | -12.6% | 1 |
| 2017 | -7.2% | -0.35 | -14.8% | 2 |
| 2018 | -13.5% | -0.78 | -20.2% | 1 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 141.8% | 2.02 | -27.2% | 2 |
| 2021 | 22.7% | 0.87 | -17.6% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | -6.8% | -0.54 | 7% |
| hidden test | EXPENSIVE | 83 | 4.7% | 0.12 | 61% |
| hidden test | EXTREME | 48 | 194.8% | 3.46 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 6.8% | 0.25 | 21% |
| hidden test | LOW VOLATILITY | 429 | 18.1% | 1.99 | 4% |
| hidden test | MEDIUM VOLATILITY | 249 | -16.7% | -0.74 | 15% |
| hidden test | NORMAL | 801 | -5.5% | -0.67 | 3% |
| hidden test | SIDEWAYS | 293 | -1.3% | -0.99 | 0% |
| hidden test | UPTREND | 371 | 20.3% | 0.71 | 23% |
| train | DOWNTREND | 518 | -5.6% | -0.77 | 1% |
| train | EXPENSIVE | 311 | 45.7% | 1.40 | 47% |
| train | EXTREME | 100 | 358.9% | 4.96 | 87% |
| train | HIGH VOLATILITY | 699 | 50.2% | 1.46 | 26% |
| train | LOW VOLATILITY | 745 | 14.3% | 0.75 | 31% |
| train | MEDIUM VOLATILITY | 568 | -11.7% | -0.52 | 18% |
| train | NORMAL | 1,601 | -6.8% | -0.39 | 18% |
| train | SIDEWAYS | 592 | -3.8% | -0.27 | 9% |
| train | UPTREND | 902 | 49.1% | 1.33 | 51% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 101.7% | 2.55 | 46% |
| validation | EXTREME | 144 | 105.5% | 1.78 | 36% |
| validation | HIGH VOLATILITY | 258 | 31.3% | 0.70 | 19% |
| validation | LOW VOLATILITY | 183 | 5.2% | 0.47 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 74.5% | 2.42 | 26% |
| validation | NORMAL | 474 | 6.9% | 0.46 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 76.5% | 1.73 | 33% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-11 | 2025-01-14 | $350.00 | $396.36 | 25.32% | 43 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-07-14 | 2020-08-10 | $101.12 | $94.57 | -3.16% | 20 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2017-06-12 | 2017-07-06 | $23.93 | $20.59 | -8.64% | 18 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-04-04 | 2016-05-04 | $16.47 | $14.84 | -2.41% | 23 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.05% | 64 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -8.66% | 7 | |
| 2014-06-17 | 2014-07-17 | $15.44 | $14.36 | -3.51% | 22 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-07-17 | 2013-10-22 | $8.02 | $11.44 | 57.97% | 69 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-12 | 2013-02-26 | $2.53 | $2.30 | -10.70% | 10 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -15.54% | 8 | |
| 2012-06-21 | 2012-07-20 | $2.15 | $2.12 | -4.67% | 21 | |
| 2012-02-16 | 2012-04-10 | $2.28 | $2.16 | -1.53% | 37 |