Strategy Zoo / S0646

LongTermTrend_V0646

ARCHIVEDhybrid

structuraladded exit filter: sma_10 > sma_200

Fitness
0.1827
Generation
29
Complexity
29
Created
2026-09-24

Lineage

Parents (1)
LongTermTrend_V0531S0531 · gen 24ARCHIVEDstructural

added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V0646  [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 (macd_hist < 0.0 or sma_10 > sma_200):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR-6.4%39.9%18.8%7.9%
Total Return-41.1%173.9%89.5%205.6%
Sharpe-0.141.080.740.41
Sortino-0.131.080.760.39
Calmar-0.121.120.510.14
Volatility24.9%38.0%28.7%29.0%
Max DD-55.3%-35.5%-37.0%-55.3%
Win Rate45.6%53.6%48.2%48.2%
Avg Win2.6%3.9%4.2%3.3%
Avg Loss-2.3%-2.9%-2.8%-2.5%
Payoff1.121.331.521.29
Expectancy-0.1%0.7%0.6%0.3%
Profit Factor0.941.541.411.20
Trades375166139681
Avg Holding Days2.52.32.92.5
Turnover94.1110.775.392.8
Exposure28.2%28.2%29.0%28.4%

Growth of $100

LongTermTrend_V0646 vs TSLA Buy & Hold
LongTermTrend_V0646 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
YearCAGRSharpeMax DDTrades
201616.9%1.09-17.2%24
2017-8.2%-0.38-17.9%68
2018-9.1%-0.20-20.7%35
2019-16.0%-0.45-29.3%25
2020103.5%1.56-35.5%89
20219.6%0.50-16.3%59
202218.8%0.79-17.2%17

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND27023.4%0.9329%
hidden testEXPENSIVE8370.9%1.7830%
hidden testEXTREME4860.0%1.9329%
hidden testHIGH VOLATILITY2549.1%0.2334%
hidden testLOW VOLATILITY43048.5%2.1429%
hidden testMEDIUM VOLATILITY250-13.1%-0.5325%
hidden testNORMAL80313.9%0.5129%
hidden testSIDEWAYS2934.9%0.1832%
hidden testUPTREND37132.8%1.0227%
trainDOWNTREND518-5.7%-0.3020%
trainEXPENSIVE31111.1%0.4035%
trainEXTREME10097.8%2.4746%
trainHIGH VOLATILITY699-5.1%-0.1726%
trainLOW VOLATILITY74510.4%0.5432%
trainMEDIUM VOLATILITY568-19.9%-0.8226%
trainNORMAL1,601-12.7%-0.5526%
trainSIDEWAYS592-1.3%-0.0529%
trainUPTREND902-3.7%-0.1332%
validationDOWNTREND12541.2%1.6419%
validationEXPENSIVE13817.8%0.4127%
validationEXTREME144159.7%2.5943%
validationHIGH VOLATILITY2583.9%0.0823%
validationLOW VOLATILITY18312.1%0.6532%
validationMEDIUM VOLATILITY31587.8%2.5830%
validationNORMAL47411.4%0.4724%
validationSIDEWAYS20624.7%1.0421%
validationUPTREND42548.6%1.0634%

Trades (full period)

latest 100 of 682
EntryExitEntry PxExit PxReturnDays
2026-09-18—$364.27—3.36%4OPEN
2026-08-242026-09-17$348.95$366.20-1.52%18
2026-07-012026-07-15$425.30$394.46-5.99%10
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-262026-05-27$433.59$440.361.58%2
2026-05-212026-05-22$417.85$426.01-0.06%2
2026-05-192026-05-20$404.11$417.26-1.63%2
2026-05-152026-05-18$422.24$409.99-4.95%2
2026-04-162026-05-14$388.90$443.3013.38%21
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-072025-10-08$433.09$438.69-4.64%2
2025-10-032025-10-06$429.83$453.25-1.61%2
2025-10-012025-10-02$459.46$436.003.11%2
2025-09-292025-09-30$443.21$444.720.44%2
2025-09-252025-09-26$423.39$440.40-4.58%2
2025-09-232025-09-24$425.85$442.79-2.12%2
2025-09-192025-09-22$426.07$434.212.01%2
2025-09-172025-09-18$425.86$416.850.80%2
2025-09-152025-09-16$410.04$421.623.36%2
2025-09-112025-09-12$368.81$395.945.84%2
2025-09-092025-09-10$346.97$347.79-0.04%2
2025-09-052025-09-08$350.84$346.403.43%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-212025-08-22$320.11$340.01-1.37%2
2025-08-192025-08-20$329.31$323.90-1.94%2
2025-08-082025-08-18$329.65$335.162.37%7
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-212025-07-24$328.49$305.300.68%4
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-04-282025-05-15$285.88$342.8221.77%14
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2
2024-11-082024-11-11$321.22$350.007.98%2
2024-11-062024-11-07$288.53$296.9114.54%2
2024-11-042024-11-05$242.84$251.44-2.66%2
2024-10-312024-11-01$249.85$248.98-3.19%2
2024-10-292024-10-30$259.52$257.55-1.34%2
2024-10-252024-10-28$269.19$262.513.14%2
2024-10-092024-10-10$241.05$238.77-1.61%2
2024-10-072024-10-08$240.83$244.50-3.90%2
2024-10-022024-10-03$249.02$240.66-3.68%2
2024-09-302024-10-01$261.63$258.020.25%2
2024-09-262024-09-27$254.22$260.46-1.29%2
2024-09-242024-09-25$254.27$257.021.51%2
2024-09-202024-09-23$238.25$250.00-2.52%2
2024-09-182024-09-19$227.20$243.92-0.49%2
2024-09-162024-09-17$226.78$227.87-1.72%2
2024-09-122024-09-13$229.81$230.290.54%2
2024-09-102024-09-11$226.17$228.134.37%2
2024-09-062024-09-09$210.73$216.27-8.64%2
2024-09-042024-09-05$219.41$230.173.98%2
2024-08-262024-08-27$213.21$209.21-3.42%2
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-07-232024-07-24$246.38$215.99-2.24%2
2024-07-192024-07-22$239.20$251.51-4.22%2
2024-07-172024-07-18$248.50$249.23-3.34%2
2024-07-152024-07-16$252.64$256.561.57%2
2024-07-112024-07-12$241.03$248.23-8.64%2
2024-07-092024-07-10$262.33$263.263.51%2
2024-06-172024-07-08$187.44$252.9441.02%14
2024-04-302024-05-30$183.28$178.79-9.39%22
2023-12-282023-12-29$253.18$248.48-3.36%2
2023-12-262023-12-27$256.61$261.441.41%2