Strategy Zoo / S0578
LongTermTrend_V0578
ARCHIVEDhybridstructuraladded exit filter: breakout_50 == 1; removed entry condition: (((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)
Fitness
0.4459
Generation
26
Complexity
17
Created
2026-09-23
Lineage
Parents (1)
logic of LongTermTrend_V0452 with risk overlay of Breakout20_V0374
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0578 [hybrid]
if flat and ((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 or breakout_50 == 1):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.7% | 43.9% | 8.0% | 14.0% |
| Total Return | 67.3% | 198.1% | 32.8% | 581.7% |
| Sharpe | 0.40 | 1.35 | 0.44 | 0.65 |
| Sortino | 0.35 | 1.52 | 0.40 | 0.61 |
| Calmar | 0.17 | 2.37 | 0.32 | 0.35 |
| Volatility | 22.9% | 30.3% | 24.0% | 24.9% |
| Max DD | -40.1% | -18.5% | -25.1% | -40.1% |
| Win Rate | 65.9% | 66.2% | 57.6% | 64.3% |
| Avg Win | 2.9% | 4.3% | 3.9% | 3.4% |
| Avg Loss | -4.4% | -3.6% | -4.1% | -4.1% |
| Payoff | 0.66 | 1.20 | 0.96 | 0.83 |
| Expectancy | 0.4% | 1.6% | 0.5% | 0.7% |
| Profit Factor | 1.28 | 2.35 | 1.30 | 1.49 |
| Trades | 182 | 74 | 66 | 322 |
| Avg Holding Days | 4.5 | 4.2 | 5.7 | 4.7 |
| Turnover | 38.9 | 43.8 | 32.1 | 38.1 |
| Exposure | 25.2% | 26.2% | 27.3% | 25.9% |
Growth of $100
LongTermTrend_V0578 vs TSLA Buy & Hold
LongTermTrend_V0578 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 | 15.7% | 1.14 | -8.8% | 12 |
| 2017 | -2.8% | -0.06 | -21.5% | 28 |
| 2018 | -0.4% | 0.06 | -14.0% | 25 |
| 2019 | 1.3% | 0.19 | -23.5% | 19 |
| 2020 | 143.2% | 2.65 | -13.0% | 36 |
| 2021 | -6.4% | -0.11 | -18.5% | 25 |
| 2022 | 15.0% | 0.72 | -12.8% | 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 | 269 | 9.5% | 0.60 | 18% |
| hidden test | EXPENSIVE | 83 | 68.9% | 2.81 | 23% |
| hidden test | EXTREME | 48 | 59.4% | 2.69 | 16% |
| hidden test | HIGH VOLATILITY | 254 | -3.0% | -0.14 | 16% |
| hidden test | LOW VOLATILITY | 429 | 27.0% | 1.20 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.9% | -0.14 | 30% |
| hidden test | NORMAL | 802 | 1.6% | 0.06 | 28% |
| hidden test | SIDEWAYS | 293 | -9.8% | -0.36 | 39% |
| hidden test | UPTREND | 371 | 27.3% | 1.05 | 25% |
| train | DOWNTREND | 518 | -9.4% | -0.56 | 15% |
| train | EXPENSIVE | 311 | 8.0% | 0.33 | 29% |
| train | EXTREME | 100 | 140.8% | 4.52 | 29% |
| train | HIGH VOLATILITY | 699 | 14.2% | 0.56 | 14% |
| train | LOW VOLATILITY | 745 | 23.4% | 1.19 | 36% |
| train | MEDIUM VOLATILITY | 568 | -16.2% | -0.69 | 25% |
| train | NORMAL | 1,601 | 1.0% | 0.05 | 24% |
| train | SIDEWAYS | 592 | 3.2% | 0.14 | 28% |
| train | UPTREND | 902 | 23.5% | 0.91 | 29% |
| validation | DOWNTREND | 125 | 29.1% | 1.35 | 9% |
| validation | EXPENSIVE | 138 | 34.8% | 0.98 | 30% |
| validation | EXTREME | 144 | 142.3% | 3.93 | 30% |
| validation | HIGH VOLATILITY | 258 | 32.8% | 1.12 | 12% |
| validation | LOW VOLATILITY | 183 | 9.8% | 0.50 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 65.7% | 1.83 | 34% |
| validation | NORMAL | 474 | 11.9% | 0.45 | 24% |
| validation | SIDEWAYS | 206 | 0.5% | 0.02 | 22% |
| validation | UPTREND | 425 | 64.0% | 1.79 | 33% |
Trades (full period)
latest 100 of 323
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 2.38% | 3 | OPEN |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -6.19% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-15 | 2026-05-21 | $422.24 | $417.85 | -6.07% | 5 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-04-16 | 2026-05-11 | $388.90 | $445.00 | 9.07% | 18 | |
| 2025-12-17 | 2025-12-30 | $467.26 | $454.43 | -6.37% | 9 | |
| 2025-12-04 | 2025-12-16 | $454.53 | $489.88 | 6.18% | 9 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-09-08 | 2025-09-12 | $346.40 | $395.94 | 4.91% | 5 | |
| 2025-08-28 | 2025-09-03 | $345.98 | $334.09 | -5.98% | 4 | |
| 2025-08-25 | 2025-08-27 | $346.60 | $349.60 | 3.22% | 3 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -1.64% | 2 | |
| 2025-05-29 | 2025-06-03 | $358.43 | $344.27 | -4.17% | 4 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.20% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 1.94% | 2 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 1.88% | 11 | |
| 2024-12-19 | 2024-12-24 | $436.17 | $462.28 | -3.64% | 4 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.02% | 2 | |
| 2024-11-26 | 2024-11-29 | $338.23 | $345.16 | -0.77% | 3 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.38% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 3.27% | 2 | |
| 2024-10-29 | 2024-11-07 | $259.52 | $296.91 | 4.14% | 8 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 1.29% | 2 | |
| 2024-10-01 | 2024-10-04 | $258.02 | $250.08 | -8.20% | 4 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-06 | 2024-09-26 | $210.73 | $254.22 | 7.02% | 15 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -3.09% | 9 | |
| 2024-07-11 | 2024-07-22 | $241.03 | $251.51 | -8.87% | 8 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-17 | 2024-06-27 | $187.44 | $197.42 | 10.10% | 8 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -4.06% | 22 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -2.05% | 2 | |
| 2023-12-15 | 2023-12-28 | $253.50 | $253.18 | 3.93% | 9 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-21 | 2023-06-27 | $259.46 | $250.21 | -12.35% | 5 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-22 | 2023-06-02 | $188.87 | $213.97 | 14.97% | 9 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-02-16 | 2023-02-23 | $202.04 | $202.07 | -2.60% | 5 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 2.51% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 1.15% | 2 | |
| 2023-01-27 | 2023-02-08 | $177.90 | $201.29 | 8.97% | 9 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-08 | 2022-08-12 | $290.42 | $300.03 | -0.73% | 5 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-11 | 2022-07-22 | $234.34 | $272.24 | 7.28% | 10 | |
| 2022-04-06 | 2022-04-11 | $348.59 | $325.31 | -6.22% | 4 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-21 | 2022-03-29 | $307.05 | $366.52 | 20.35% | 7 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.85% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | 4.31% | 12 | |
| 2021-11-05 | 2021-11-11 | $407.36 | $354.50 | -15.47% | 5 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-13 | 2021-09-16 | $247.67 | $252.33 | 2.45% | 4 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-02 | 2021-09-08 | $244.13 | $251.29 | 2.36% | 4 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -4.52% | 2 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 |