Strategy Zoo / S0663

LongTermTrend_V0663

ARCHIVEDhybrid

structuralswapped indicator macd_hist -> rsi_14

Fitness
0.7067
Generation
30
Complexity
27
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 (12)
LongTermTrend_V0673S0673 · gen 31ARCHIVEDllm
LongTermTrend_V0691S0691 · gen 32ARCHIVEDcrossover
PriceMomentum_V0736S0736 · gen 34ARCHIVEDcrossover
LongTermTrend_V0769S0769 · gen 35ARCHIVEDllm
PriceMomentum_V0782S0782 · gen 36ARCHIVEDcrossover
LongTermTrend_V0883S0883 · gen 40ARCHIVEDstructural
LongTermTrend_V0894S0894 · gen 41ARCHIVEDcrossover
LongTermTrend_V0958S0958 · gen 44ARCHIVEDcrossover
LongTermTrend_V0981S0981 · gen 45ARCHIVEDcrossover
LongTermTrend_V1030S1030 · gen 47ARCHIVEDllm
LongTermTrend_V1083S1083 · gen 49ELITEstructural
LongTermTrend_V1100S1100 · gen 50ARCHIVEDstructural

Strategy Logic (pseudocode)

# LongTermTrend_V0663  [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 rsi_14 > 34.4934):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR19.0%95.8%28.1%34.5%
Total Return300.9%650.5%150.2%7649.6%
Sharpe0.691.700.901.00
Sortino0.731.980.981.09
Calmar0.403.500.770.73
Volatility32.7%45.4%33.8%36.0%
Max DD-47.5%-27.4%-36.6%-47.5%
Win Rate42.9%56.1%38.3%45.2%
Avg Win9.0%10.1%12.2%10.2%
Avg Loss-3.8%-2.9%-3.6%-3.6%
Payoff2.383.433.352.86
Expectancy1.7%4.4%2.4%2.7%
Profit Factor1.794.392.082.36
Trades1265747230
Avg Holding Days7.67.19.17.8
Turnover31.738.025.631.4
Exposure41.7%45.6%41.4%42.4%

Growth of $100

LongTermTrend_V0663 vs TSLA Buy & Hold
LongTermTrend_V0663 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
201620.4%1.16-16.4%10
20171.5%0.18-24.2%21
2018-2.8%0.05-24.6%12
201911.8%0.49-29.2%8
2020351.9%2.70-27.4%28
202144.2%1.25-17.2%20
20220.8%0.17-18.4%8

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 testDOWNTREND27022.0%0.8729%
hidden testEXPENSIVE8361.5%1.3157%
hidden testEXTREME48151.9%3.2346%
hidden testHIGH VOLATILITY25442.8%1.0143%
hidden testLOW VOLATILITY43060.8%2.2941%
hidden testMEDIUM VOLATILITY250-34.5%-0.9940%
hidden testNORMAL80319.9%0.6440%
hidden testSIDEWAYS2935.7%0.1847%
hidden testUPTREND37156.1%1.4146%
trainDOWNTREND518-6.5%-0.3520%
trainEXPENSIVE31140.8%1.1459%
trainEXTREME100342.1%4.7982%
trainHIGH VOLATILITY69949.6%1.1541%
trainLOW VOLATILITY74527.8%1.2047%
trainMEDIUM VOLATILITY568-17.3%-0.6235%
trainNORMAL1,601-0.8%-0.0336%
trainSIDEWAYS59218.1%0.6541%
trainUPTREND90242.4%1.0454%
validationDOWNTREND12541.2%1.6419%
validationEXPENSIVE13851.8%1.2246%
validationEXTREME144277.2%3.6874%
validationHIGH VOLATILITY25858.8%1.0038%
validationLOW VOLATILITY18327.3%1.1550%
validationMEDIUM VOLATILITY315121.7%2.8749%
validationNORMAL47424.2%0.7637%
validationSIDEWAYS20618.3%0.5935%
validationUPTREND425116.7%2.1258%

Trades (full period)

latest 100 of 231
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
2026-05-272026-06-02$440.36$423.74-4.27%5
2026-05-222026-05-26$426.01$433.591.75%2
2026-04-162026-05-21$388.90$417.856.24%26
2025-12-042025-12-30$454.53$454.432.68%18
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-05$468.37$462.07-2.89%3
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-092025-10-10$435.54$413.49-0.92%2
2025-10-072025-10-08$433.09$438.69-4.64%2
2025-09-052025-10-06$350.84$453.2526.72%22
2025-08-252025-09-03$346.60$334.09-3.32%7
2025-08-082025-08-22$329.65$340.01-0.87%11
2025-07-212025-08-01$328.49$302.63-6.67%10
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-04-282025-06-03$285.88$344.2720.02%26
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-062024-12-24$389.22$462.2816.31%13
2024-12-042024-12-05$357.93$369.491.65%2
2024-12-022024-12-03$357.09$351.423.25%2
2024-10-252024-11-29$269.19$345.1627.55%25
2024-10-092024-10-10$241.05$238.77-1.61%2
2024-10-072024-10-08$240.83$244.50-3.90%2
2024-09-042024-10-04$219.41$250.0814.05%23
2024-08-202024-08-30$221.10$214.11-7.57%9
2024-07-232024-07-24$246.38$215.99-2.24%2
2024-06-172024-07-22$187.44$251.5134.11%24
2024-04-302024-05-30$183.28$178.79-9.39%22
2023-12-152024-01-02$253.50$248.42-1.22%11
2023-11-162023-12-14$233.59$251.05-1.66%20
2023-10-062023-10-17$260.53$254.85-2.55%8
2023-08-302023-09-25$256.90$246.99-4.97%18
2023-07-202023-07-21$262.90$260.02-9.93%2
2023-07-182023-07-19$293.34$291.260.82%2
2023-07-142023-07-17$281.38$290.381.05%2
2023-07-122023-07-13$271.99$277.900.61%2
2023-07-102023-07-11$269.61$269.79-1.95%2
2023-07-052023-07-07$282.48$274.43-1.37%3
2023-06-302023-07-03$261.77$279.821.46%2
2023-06-282023-06-29$256.24$257.502.21%2
2023-05-222023-06-27$188.87$250.2133.55%25
2023-03-242023-04-06$190.41$185.06-3.68%10
2023-01-272023-02-23$177.90$202.0725.09%19
2022-09-132022-09-23$292.13$275.33-5.39%9
2022-08-242022-08-25$297.10$296.070.02%2
2022-08-222022-08-23$289.91$296.45-2.47%2
2022-08-152022-08-19$309.32$296.670.75%5
2022-06-272022-08-12$244.92$300.0316.42%34
2022-03-212022-04-11$307.05$325.3113.04%16
2022-01-132022-01-14$343.85$349.87-6.94%2
2021-12-282022-01-12$362.82$368.74-2.90%12
2021-11-222021-11-23$385.62$369.681.54%2
2021-11-182021-11-19$365.46$379.020.48%2
2021-11-122021-11-15$344.47$337.80-3.03%2
2021-10-122021-11-11$268.57$354.5034.59%23
2021-10-082021-10-11$261.83$263.98-1.22%2
2021-09-272021-10-07$263.79$264.540.88%9
2021-09-232021-09-24$251.21$258.130.03%2
2021-08-312021-09-21$245.24$246.46-0.30%15
2021-08-262021-08-27$233.72$237.31-1.61%2
2021-08-242021-08-25$236.16$237.070.11%2
2021-08-192021-08-20$224.49$226.75-2.45%2
2021-08-022021-08-17$236.56$221.90-0.35%12
2021-07-132021-07-15$222.85$216.87-4.91%3
2021-06-142021-07-12$205.90$228.577.50%20
2021-04-062021-04-29$230.54$225.670.28%18
2021-02-042021-02-05$283.33$284.08-0.75%2
2021-02-022021-02-03$290.93$284.903.72%2
2021-01-282021-01-29$278.48$264.51-3.52%2
2021-01-262021-01-27$294.36$288.050.06%2
2021-01-052021-01-25$245.04$293.6015.78%14
2020-12-312021-01-04$235.22$243.261.37%2
2020-12-292020-12-30$222.00$231.590.15%2
2020-12-242020-12-28$220.59$221.232.24%2
2020-12-182020-12-23$231.67$215.33-2.56%4
2020-11-182020-12-17$162.21$218.6340.75%21
2020-11-092020-11-11$140.42$139.04-4.75%3
2020-10-142020-10-20$153.77$140.65-3.73%5
2020-10-122020-10-13$147.43$148.881.71%2
2020-10-082020-10-09$141.97$144.67-0.05%2
2020-09-232020-09-24$126.79$129.26-10.53%2
2020-09-212020-09-22$149.80$141.411.44%2
2020-09-172020-09-18$141.14$147.38-4.35%2
2020-09-152020-09-16$149.92$147.256.98%2
2020-08-182020-09-08$125.81$110.0713.72%15
2020-08-142020-08-17$110.05$122.381.63%2
2020-07-302020-07-31$99.17$95.38-0.97%2
2020-07-282020-07-29$98.43$99.94-4.29%2
2020-07-022020-07-27$80.58$102.6426.32%17
2020-06-302020-07-01$71.99$74.646.77%2
2020-06-262020-06-29$63.98$67.29-2.86%2
2020-06-032020-06-25$58.86$65.738.78%17
2020-06-012020-06-02$59.87$58.777.35%2
2020-05-282020-05-29$53.72$55.67-1.96%2
2020-05-262020-05-27$54.59$54.680.04%2