Strategy Zoo / S0682
LongTermTrend_V0682
ARCHIVEDhybridstructuralswapped indicator macd_hist -> rsi_14; changed ret_20d threshold 0.085 -> 0.1653
Fitness
0.6956
Generation
31
Complexity
27
Created
2026-09-24
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0682 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1653) 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 rsi_14 < 55.5243:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.9% | 90.1% | 8.1% | 32.6% |
| Total Return | 571.5% | 586.9% | 33.7% | 6246.8% |
| Sharpe | 0.90 | 1.61 | 0.40 | 0.97 |
| Sortino | 0.93 | 1.59 | 0.39 | 0.97 |
| Calmar | 0.69 | 2.34 | 0.17 | 0.68 |
| Volatility | 32.1% | 46.6% | 33.0% | 35.8% |
| Max DD | -39.2% | -38.4% | -48.2% | -48.2% |
| Win Rate | 39.8% | 47.1% | 27.0% | 36.6% |
| Avg Win | 11.5% | 19.4% | 10.5% | 13.2% |
| Avg Loss | -3.0% | -2.8% | -2.7% | -2.9% |
| Payoff | 3.78 | 6.94 | 3.81 | 4.57 |
| Expectancy | 2.7% | 7.6% | 0.8% | 3.0% |
| Profit Factor | 2.50 | 6.17 | 1.41 | 2.64 |
| Trades | 108 | 34 | 74 | 216 |
| Avg Holding Days | 8.6 | 10.8 | 5.4 | 7.9 |
| Turnover | 27.2 | 22.7 | 40.2 | 29.5 |
| Exposure | 41.4% | 44.0% | 35.0% | 40.3% |
Growth of $100
LongTermTrend_V0682 vs TSLA Buy & Hold
LongTermTrend_V0682 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 | 24.1% | 1.32 | -16.6% | 6 |
| 2017 | 17.8% | 0.81 | -14.3% | 17 |
| 2018 | 6.6% | 0.38 | -13.3% | 16 |
| 2019 | 15.1% | 0.58 | -27.0% | 9 |
| 2020 | 376.6% | 2.61 | -38.4% | 8 |
| 2021 | 23.6% | 0.82 | -21.6% | 18 |
| 2022 | 12.0% | 0.57 | -16.6% | 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
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 270 | -1.0% | -0.05 | 17% |
| hidden test | EXPENSIVE | 83 | 85.0% | 1.73 | 59% |
| hidden test | EXTREME | 48 | 177.9% | 3.44 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 10.3% | 0.24 | 38% |
| hidden test | LOW VOLATILITY | 430 | 49.9% | 1.99 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -46.8% | -1.40 | 34% |
| hidden test | NORMAL | 803 | -4.0% | -0.14 | 31% |
| hidden test | SIDEWAYS | 293 | -17.0% | -0.58 | 38% |
| hidden test | UPTREND | 371 | 47.6% | 1.14 | 46% |
| train | DOWNTREND | 518 | -3.7% | -0.23 | 14% |
| train | EXPENSIVE | 311 | 57.3% | 1.54 | 66% |
| train | EXTREME | 100 | 383.5% | 5.28 | 98% |
| train | HIGH VOLATILITY | 699 | 60.4% | 1.43 | 39% |
| train | LOW VOLATILITY | 745 | 31.5% | 1.40 | 50% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.47 | 34% |
| train | NORMAL | 1,601 | 1.3% | 0.05 | 33% |
| train | SIDEWAYS | 592 | 16.5% | 0.66 | 34% |
| train | UPTREND | 902 | 55.8% | 1.34 | 62% |
| validation | DOWNTREND | 125 | 28.6% | 1.32 | 7% |
| validation | EXPENSIVE | 138 | 65.6% | 1.29 | 50% |
| validation | EXTREME | 144 | 276.9% | 3.48 | 85% |
| validation | HIGH VOLATILITY | 258 | 39.3% | 0.64 | 38% |
| validation | LOW VOLATILITY | 183 | 30.8% | 1.37 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 130.2% | 3.07 | 47% |
| validation | NORMAL | 474 | 16.6% | 0.61 | 30% |
| validation | SIDEWAYS | 206 | 2.8% | 0.11 | 28% |
| validation | UPTREND | 425 | 123.9% | 2.13 | 63% |
Trades (full period)
latest 100 of 217
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-22 | — | $378.90 | — | 0.86% | 2 | OPEN |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.97% | 2 | |
| 2026-09-09 | 2026-09-11 | $367.81 | $365.44 | -1.45% | 3 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-22 | 2026-06-02 | $426.01 | $423.74 | -0.67% | 7 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-07 | 2026-05-19 | $411.79 | $404.11 | 2.62% | 9 | |
| 2026-05-04 | 2026-05-06 | $392.51 | $398.73 | -0.57% | 3 | |
| 2026-04-16 | 2026-04-22 | $388.90 | $387.51 | -1.61% | 5 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 3.05% | 14 | |
| 2025-12-04 | 2025-12-09 | $454.53 | $445.17 | -1.80% | 4 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-05 | 2025-10-13 | $350.84 | $435.90 | 21.90% | 27 | |
| 2025-08-25 | 2025-09-02 | $346.60 | $329.36 | -2.00% | 6 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-08 | 2025-08-18 | $329.65 | $335.16 | 2.37% | 7 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-25 | $332.56 | $316.06 | -8.26% | 3 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-09 | 2025-06-05 | $298.26 | $284.70 | 16.35% | 19 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-04-28 | 2025-05-06 | $285.88 | $275.35 | -1.84% | 7 | |
| 2024-11-06 | 2024-12-31 | $288.53 | $403.84 | 65.70% | 38 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.66% | 2 | |
| 2024-10-25 | 2024-11-01 | $269.19 | $248.98 | -4.27% | 6 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -1.54% | 11 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.49% | 2 | |
| 2024-09-12 | 2024-09-17 | $229.81 | $227.87 | -0.79% | 4 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 4.37% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-26 | 2024-07-25 | $196.37 | $220.25 | 15.06% | 21 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-09 | 2024-05-10 | $171.97 | $168.47 | -1.77% | 2 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-12-22 | 2024-01-02 | $252.54 | $248.42 | -2.56% | 6 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.75% | 5 | |
| 2023-12-08 | 2023-12-12 | $243.84 | $237.01 | -1.39% | 3 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-29 | 2023-12-01 | $244.14 | $238.83 | -2.89% | 3 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-10-10 | 2023-10-13 | $263.62 | $251.12 | -0.51% | 4 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-12 | 2023-09-21 | $267.48 | $255.70 | -4.21% | 8 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-05-22 | 2023-07-21 | $188.87 | $260.02 | 45.66% | 42 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-03-30 | 2023-04-04 | $195.28 | $192.58 | 0.26% | 4 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-03-03 | $177.90 | $197.79 | 18.89% | 25 | |
| 2022-09-15 | 2022-09-22 | $303.75 | $288.59 | -0.80% | 6 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-07-21 | 2022-08-23 | $271.71 | $296.45 | 16.91% | 24 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-12-28 | 2021-12-31 | $362.82 | $352.26 | -2.35% | 4 | |
| 2021-11-11 | 2021-11-15 | $354.50 | $337.80 | -3.43% | 3 | |
| 2021-09-23 | 2021-11-10 | $251.21 | $355.98 | 35.84% | 35 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 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 | |
| 2021-07-12 | 2021-07-15 | $228.57 | $216.87 | -0.74% | 4 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 1.06% | 2 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.26% | 9 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-04-26 | 2021-04-28 | $246.07 | $231.47 | -3.57% | 3 | |
| 2021-04-21 | 2021-04-23 | $248.04 | $243.13 | -0.10% | 3 | |
| 2021-04-14 | 2021-04-20 | $244.08 | $239.66 | -6.45% | 5 | |
| 2021-04-06 | 2021-04-07 | $230.54 | $223.66 | -0.12% | 2 |