Strategy Zoo / S0556
LongTermTrend_V0556
ARCHIVEDhybridstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.6148
Generation
25
Complexity
24
Created
2026-09-22
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0556 [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) 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)))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.57Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.6% | 70.6% | 20.8% | 29.7% |
| Total Return | 345.5% | 396.6% | 101.0% | 4477.2% |
| Sharpe | 0.77 | 1.53 | 0.75 | 0.96 |
| Sortino | 0.84 | 1.71 | 0.79 | 1.03 |
| Calmar | 0.45 | 2.92 | 0.60 | 0.65 |
| Volatility | 30.0% | 40.3% | 31.7% | 32.8% |
| Max DD | -46.1% | -24.2% | -34.8% | -46.1% |
| Win Rate | 44.1% | 57.9% | 39.6% | 47.3% |
| Avg Win | 7.7% | 6.6% | 10.5% | 8.0% |
| Avg Loss | -3.1% | -2.9% | -3.6% | -3.2% |
| Payoff | 2.45 | 2.25 | 2.89 | 2.51 |
| Expectancy | 1.6% | 2.6% | 2.0% | 2.1% |
| Profit Factor | 1.93 | 3.09 | 1.89 | 2.25 |
| Trades | 136 | 76 | 48 | 260 |
| Avg Holding Days | 7.1 | 5.8 | 9.1 | 7.1 |
| Turnover | 32.9 | 45.5 | 26.3 | 33.8 |
| Exposure | 37.3% | 39.6% | 37.4% | 37.8% |
Growth of $100
LongTermTrend_V0556 vs TSLA Buy & Hold
LongTermTrend_V0556 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 | 13.4% | 0.90 | -14.3% | 11 |
| 2017 | 0.0% | 0.10 | -21.6% | 24 |
| 2018 | -5.3% | -0.08 | -23.3% | 11 |
| 2019 | 19.5% | 0.69 | -27.8% | 6 |
| 2020 | 226.2% | 2.28 | -24.2% | 36 |
| 2021 | 50.8% | 1.67 | -13.8% | 26 |
| 2022 | -6.8% | -0.20 | -19.4% | 13 |
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 | 4.5% | 0.17 | 28% |
| hidden test | EXPENSIVE | 83 | 57.4% | 1.23 | 51% |
| hidden test | EXTREME | 48 | 140.4% | 3.17 | 43% |
| hidden test | HIGH VOLATILITY | 254 | 26.9% | 0.64 | 45% |
| hidden test | LOW VOLATILITY | 429 | 58.8% | 2.28 | 39% |
| hidden test | MEDIUM VOLATILITY | 249 | -39.6% | -1.40 | 26% |
| hidden test | NORMAL | 801 | 13.4% | 0.47 | 36% |
| hidden test | SIDEWAYS | 293 | 7.1% | 0.25 | 43% |
| hidden test | UPTREND | 371 | 51.1% | 1.39 | 40% |
| train | DOWNTREND | 518 | -5.8% | -0.38 | 16% |
| train | EXPENSIVE | 311 | 35.8% | 1.17 | 55% |
| train | EXTREME | 100 | 333.5% | 4.81 | 76% |
| train | HIGH VOLATILITY | 699 | 51.7% | 1.27 | 39% |
| train | LOW VOLATILITY | 745 | 30.1% | 1.32 | 46% |
| train | MEDIUM VOLATILITY | 568 | -21.1% | -0.96 | 24% |
| train | NORMAL | 1,601 | 1.3% | 0.05 | 31% |
| train | SIDEWAYS | 592 | 12.7% | 0.49 | 35% |
| train | UPTREND | 902 | 46.6% | 1.23 | 51% |
| validation | DOWNTREND | 125 | 37.2% | 1.79 | 15% |
| validation | EXPENSIVE | 138 | 61.3% | 1.80 | 32% |
| validation | EXTREME | 144 | 195.7% | 2.70 | 70% |
| validation | HIGH VOLATILITY | 258 | 60.9% | 1.06 | 41% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.30 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 79.4% | 2.73 | 31% |
| validation | NORMAL | 474 | 20.7% | 0.82 | 32% |
| validation | SIDEWAYS | 206 | 8.2% | 0.32 | 31% |
| validation | UPTREND | 425 | 94.4% | 1.92 | 51% |
Trades (full period)
latest 100 of 261
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | -0.36% | 2 | OPEN |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.97% | 18 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -3.33% | 10 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 8.20% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.93% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.11% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -3.94% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.05% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.98% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.52% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.65% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 20.55% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -7.32% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.14% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 19.24% | 26 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 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 | 14.23% | 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 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 5.44% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 31.86% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | 0.01% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -2.89% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.11% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.78% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -1.92% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.44% | 5 | |
| 2022-06-24 | 2022-08-12 | $245.71 | $300.03 | 16.64% | 35 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.24% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.20% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.53% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.51% | 16 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -6.49% | 12 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.24% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 35.06% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.08% | 2 | |
| 2021-04-05 | 2021-04-29 | $230.35 | $225.67 | 3.40% | 19 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.30% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.21% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.01% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.03% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 9.01% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.78% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.08% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.28% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.37% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 22.10% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.31% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.57% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 |