Strategy Zoo / S0691

LongTermTrend_V0691

ARCHIVEDhybrid

crossoverentry from LongTermTrend_V0663, exit from LongTermTrend_V0605

Fitness

0.6029

Generation

Complexity

Created

2026-09-25

Lineage

Parents (2)

LongTermTrend_V0605S0605 · gen 28ARCHIVEDcrossover

entry from LongTermTrend_V0323, exit from PriceMomentum_V0557

LongTermTrend_V0663S0663 · gen 30ARCHIVEDcrossover

swapped indicator macd_hist -> rsi_14

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0691  [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 ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.2%	115.1%	14.2%	35.1%
Total Return	394.3%	895.7%	63.8%	8200.6%
Sharpe	0.71	1.67	0.53	0.91
Sortino	0.87	2.04	0.61	1.10
Calmar	0.34	2.75	0.34	0.54
Volatility	38.6%	54.9%	42.6%	43.4%
Max DD	-65.4%	-41.9%	-42.1%	-65.4%
Win Rate	33.3%	50.0%	53.3%	41.8%
Avg Win	52.7%	90.0%	18.5%	55.2%
Avg Loss	-9.8%	-11.2%	-10.7%	-10.2%
Payoff	5.37	8.04	1.74	5.40
Expectancy	11.0%	39.4%	4.9%	17.1%
Profit Factor	2.69	8.04	1.98	3.88
Trades	30	10	15	55
Avg Holding Days	42.2	51.2	37.7	44.0
Turnover	7.6	6.7	8.4	7.6
Exposure	65.3%	66.4%	61.4%	64.5%

Growth of $100

LongTermTrend_V0691 vs TSLA Buy & Hold

LongTermTrend_V0691 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	-15.8%	-0.60	-37.2%	4
2017	7.4%	0.38	-39.2%	4
2018	1.9%	0.24	-27.1%	3
2019	21.0%	0.69	-35.8%	4
2020	817.7%	3.31	-33.7%	2
2021	52.0%	1.23	-27.9%	3
2022	-40.0%	-1.25	-39.9%	5

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	271	13.4%	0.46	31%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	24.1%	0.44	61%
hidden test	LOW VOLATILITY	431	62.3%	1.98	60%
hidden test	MEDIUM VOLATILITY	250	-48.1%	-1.09	64%
hidden test	NORMAL	804	1.2%	0.03	58%
hidden test	SIDEWAYS	293	-31.4%	-0.74	72%
hidden test	UPTREND	371	71.5%	1.43	75%
train	DOWNTREND	518	-10.2%	-0.43	33%
train	EXPENSIVE	311	81.2%	1.88	83%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	57.1%	1.16	57%
train	LOW VOLATILITY	745	33.9%	1.21	72%
train	MEDIUM VOLATILITY	568	-17.8%	-0.50	66%
train	NORMAL	1,601	-7.4%	-0.22	60%
train	SIDEWAYS	592	-5.0%	-0.14	59%
train	UPTREND	902	70.2%	1.51	87%
validation	DOWNTREND	125	20.6%	0.87	16%
validation	EXPENSIVE	138	91.2%	1.51	82%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	119.9%	1.70	55%
validation	LOW VOLATILITY	183	44.3%	1.38	83%
validation	MEDIUM VOLATILITY	315	96.2%	1.90	66%
validation	NORMAL	474	4.6%	0.12	53%
validation	SIDEWAYS	206	-22.6%	-0.55	58%
validation	UPTREND	425	168.0%	2.55	85%

Trades (full period)

56 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.65%	23	OPEN
2026-07-01	2026-07-24	$425.30	$313.03	-24.14%	17
2026-04-16	2026-06-10	$388.90	$381.59	1.00%	39
2025-12-04	2026-01-16	$454.53	$437.50	-2.02%	30
2025-07-21	2025-11-21	$328.49	$391.09	19.65%	89
2025-04-28	2025-07-02	$285.88	$315.65	5.32%	46
2024-10-25	2025-01-17	$269.19	$426.50	58.56%	57
2024-09-04	2024-10-22	$219.41	$217.97	3.71%	35
2024-08-22	2024-08-29	$210.66	$206.28	-8.04%	6
2024-08-20	2024-08-21	$221.10	$223.27	-0.93%	2
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
2023-11-16	2024-01-17	$233.59	$215.55	-9.63%	41
2023-08-30	2023-10-20	$256.90	$211.99	-14.59%	37
2023-05-22	2023-08-03	$188.87	$259.32	40.79%	51
2023-03-24	2023-04-21	$190.41	$165.08	-15.38%	20
2023-01-27	2023-03-10	$177.90	$173.44	7.69%	30
2022-09-13	2022-10-04	$292.13	$249.44	-20.54%	16
2022-07-11	2022-09-01	$234.34	$277.16	9.68%	39
2022-06-27	2022-07-05	$244.92	$233.07	-7.69%	6
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-01-25	$362.82	$306.13	-15.16%	20
2021-06-14	2021-12-03	$205.90	$338.32	77.48%	122
2021-04-06	2021-05-11	$230.54	$205.73	-9.16%	26
2020-10-08	2021-02-23	$141.97	$232.95	67.66%	94
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-07-01	2019-08-15	$15.14	$14.38	-1.91%	33
2019-03-01	2019-03-06	$19.65	$18.42	-13.73%	4
2019-01-16	2019-01-24	$23.07	$19.43	-16.67%	6
2019-01-11	2019-01-15	$23.15	$22.96	-3.26%	3
2018-10-24	2019-01-03	$19.23	$20.02	5.22%	48
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-04-30	2018-07-16	$19.59	$20.67	8.21%	54
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2017-07-27	2017-08-01	$22.30	$21.30	-6.12%	4
2017-07-25	2017-07-26	$22.64	$22.92	-1.05%	2
2016-12-14	2017-07-07	$13.25	$20.88	55.55%	141
2016-07-12	2016-09-02	$14.98	$13.19	-10.86%	39
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-27	2016-01-19	$15.44	$13.65	-10.91%	35
2015-09-16	2015-10-12	$17.48	$14.37	-13.14%	19
2015-04-07	2015-08-12	$13.55	$15.88	16.64%	90
2015-02-04	2015-03-09	$14.57	$12.73	-11.39%	23
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-10-08	2014-10-13	$17.29	$14.97	-8.91%	4
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-26	$9.84	$14.20	49.18%	70
2013-03-26	2013-10-24	$2.52	$11.54	337.44%	149
2012-11-02	2013-03-20	$1.93	$2.40	19.69%	94
2012-09-17	2012-10-16	$2.17	$1.87	-10.24%	22
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-08-14	2012-08-15	$1.96	$1.96	-5.81%	2
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-01-31	2012-04-25	$1.94	$2.19	7.39%	60