Strategy Zoo / S0700

LongTermTrend_V0700

ARCHIVEDhybrid

structuraladded exit filter: sma_100 > sma_20; replaced exit rule with: vol_chg > 1.5735

Fitness

0.3471

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

LongTermTrend_V0521S0521 · gen 24ARCHIVEDstructural

entry = LongTermTrend_V0469 OR MACDMomentum_V0272

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0700  [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 > 0.0541) 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)))):
    position = 1.0
if long and vol_chg > 1.5735:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	10.4%	52.0%	25.2%	20.8%
Total Return	120.0%	250.9%	129.9%	1505.5%
Sharpe	0.45	0.97	0.69	0.63
Sortino	0.51	1.28	1.06	0.80
Calmar	0.14	0.71	0.49	0.28
Volatility	38.2%	65.8%	53.0%	49.0%
Max DD	-72.1%	-73.0%	-51.6%	-73.3%
Win Rate	55.3%	73.3%	71.4%	58.2%
Avg Win	11.3%	26.8%	27.7%	14.3%
Avg Loss	-9.9%	-13.4%	-10.0%	-10.1%
Payoff	1.14	2.00	2.77	1.42
Expectancy	1.8%	16.0%	16.9%	4.1%
Profit Factor	1.40	5.49	6.93	1.98
Trades	76	15	7	98
Avg Holding Days	16.6	35.3	121.4	28.4
Turnover	19.2	10.3	4.0	13.4
Exposure	59.5%	85.4%	92.6%	73.2%

Growth of $100

LongTermTrend_V0700 vs TSLA Buy & Hold

LongTermTrend_V0700 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	1.3%	0.16	-28.0%	5
2017	-3.8%	0.03	-37.8%	7
2018	-32.7%	-0.82	-46.1%	10
2019	28.2%	0.89	-27.0%	8
2020	544.5%	2.57	-60.6%	9
2021	36.4%	0.93	-32.8%	4
2022	-66.5%	-1.71	-70.2%	2

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	64.9%	1.28	82%
hidden test	EXPENSIVE	83	115.7%	1.66	98%
hidden test	EXTREME	48	136.9%	2.28	98%
hidden test	HIGH VOLATILITY	254	95.3%	1.42	76%
hidden test	LOW VOLATILITY	431	33.6%	0.81	100%
hidden test	MEDIUM VOLATILITY	250	-18.7%	-0.34	97%
hidden test	NORMAL	804	22.2%	0.44	92%
hidden test	SIDEWAYS	293	-35.9%	-0.72	98%
hidden test	UPTREND	371	72.6%	1.28	96%
train	DOWNTREND	518	-21.1%	-0.81	34%
train	EXPENSIVE	311	60.3%	1.28	87%
train	EXTREME	100	332.3%	4.93	94%
train	HIGH VOLATILITY	699	35.0%	0.73	50%
train	LOW VOLATILITY	745	32.7%	1.16	70%
train	MEDIUM VOLATILITY	568	-25.3%	-0.69	57%
train	NORMAL	1,601	-11.0%	-0.33	52%
train	SIDEWAYS	592	-0.9%	-0.03	51%
train	UPTREND	902	50.8%	1.11	80%
validation	DOWNTREND	125	-92.3%	-1.62	74%
validation	EXPENSIVE	138	95.3%	1.27	95%
validation	EXTREME	144	336.0%	3.83	97%
validation	HIGH VOLATILITY	258	108.0%	1.21	78%
validation	LOW VOLATILITY	183	58.5%	1.62	99%
validation	MEDIUM VOLATILITY	315	30.1%	0.54	83%
validation	NORMAL	474	-28.4%	-0.53	79%
validation	SIDEWAYS	206	-31.7%	-0.58	83%
validation	UPTREND	425	155.6%	2.15	90%

Trades (full period)

99 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.65%	23	OPEN
2025-06-25	2026-07-24	$327.55	$313.03	-6.29%	272
2025-04-10	2025-06-06	$252.40	$295.14	4.37%	40
2024-11-12	2025-02-26	$328.49	$290.80	-13.66%	71
2024-11-08	2024-11-11	$321.22	$350.00	7.98%	2
2024-10-28	2024-11-07	$262.51	$296.91	6.97%	9
2024-07-05	2024-10-25	$251.52	$269.19	5.51%	80
2022-06-24	2024-07-03	$245.71	$246.39	-1.81%	509
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-02-25	$362.82	$269.96	-26.95%	42
2021-10-29	2021-12-06	$371.33	$336.34	-5.95%	26
2021-10-27	2021-10-28	$345.95	$359.01	1.71%	2
2021-04-05	2021-10-26	$230.35	$339.48	54.57%	144
2020-12-22	2021-02-24	$213.45	$247.34	7.32%	43
2020-11-20	2020-12-21	$163.20	$216.62	38.92%	21
2020-08-19	2020-11-19	$125.24	$166.42	28.68%	66
2020-08-14	2020-08-18	$110.05	$125.81	13.02%	3
2020-07-02	2020-08-13	$80.58	$108.07	38.60%	30
2020-02-07	2020-07-01	$49.87	$74.64	43.89%	101
2020-02-05	2020-02-06	$48.98	$49.93	-17.36%	2
2020-01-15	2020-02-04	$34.57	$59.14	44.71%	14
2020-01-10	2020-01-14	$31.88	$35.86	8.82%	3
2019-12-16	2020-01-09	$25.43	$32.09	37.05%	17
2019-11-11	2019-11-25	$23.01	$22.42	-1.41%	11
2019-10-30	2019-11-08	$21.00	$22.48	5.90%	8
2019-10-28	2019-10-29	$21.85	$21.08	-0.33%	2
2019-10-02	2019-10-25	$16.21	$21.88	22.23%	18
2019-09-11	2019-09-25	$16.47	$15.25	-5.42%	11
2019-07-01	2019-07-26	$15.14	$15.20	2.20%	19
2019-03-01	2019-03-04	$19.65	$19.02	-8.04%	2
2018-12-11	2019-01-22	$24.45	$19.93	-17.39%	28
2018-10-31	2018-12-10	$22.49	$24.34	8.29%	27
2018-10-29	2018-10-30	$22.32	$21.99	0.99%	2
2018-10-24	2018-10-26	$19.23	$22.06	6.83%	3
2018-08-09	2018-09-10	$23.50	$19.03	-29.07%	22
2018-08-03	2018-08-08	$23.21	$24.69	8.37%	4
2018-06-13	2018-07-03	$22.99	$20.72	-2.44%	15
2018-05-10	2018-06-12	$20.33	$22.85	8.01%	23
2018-02-23	2018-03-28	$23.47	$17.19	-19.51%	24
2018-01-10	2018-02-12	$22.32	$21.05	-7.16%	23
2017-12-12	2018-01-09	$22.74	$22.25	2.08%	19
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2017-07-25	2017-08-03	$22.64	$23.14	-5.05%	8
2017-06-13	2017-07-07	$25.06	$20.88	-14.15%	18
2017-05-11	2017-06-12	$21.54	$23.93	9.65%	22
2017-03-17	2017-05-05	$17.43	$20.56	12.52%	35
2017-02-13	2017-02-24	$18.71	$17.13	-5.10%	9
2016-12-14	2017-02-10	$13.25	$17.95	35.59%	40
2016-07-12	2016-09-02	$14.98	$13.19	-10.86%	39
2016-06-08	2016-06-13	$15.70	$14.52	-6.02%	4
2016-04-08	2016-05-05	$16.67	$14.10	-13.64%	20
2016-04-05	2016-04-07	$17.03	$17.15	7.25%	3
2016-03-04	2016-04-04	$13.40	$16.47	21.14%	21
2015-11-27	2016-01-05	$15.44	$14.90	-2.91%	26
2015-09-16	2015-10-21	$17.48	$14.01	-16.15%	26
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-04-29	2015-07-22	$15.50	$17.86	15.52%	59
2015-04-24	2015-04-28	$14.56	$15.37	5.71%	3
2015-04-07	2015-04-23	$13.55	$14.57	7.83%	13
2015-02-23	2015-03-31	$13.82	$12.58	-12.40%	27
2015-02-04	2015-02-12	$14.57	$13.53	-2.74%	7
2014-11-11	2014-12-08	$16.74	$14.29	-7.71%	19
2014-10-08	2014-10-28	$17.29	$16.18	-14.77%	15
2014-09-08	2014-09-16	$18.81	$17.38	-8.66%	7
2014-08-05	2014-09-05	$15.90	$18.49	19.68%	23
2014-06-18	2014-08-04	$15.14	$15.90	0.49%	33
2014-05-28	2014-06-17	$14.02	$15.44	5.96%	15
2014-02-27	2014-05-09	$16.84	$12.15	-29.55%	51
2014-02-24	2014-02-26	$14.51	$16.87	18.09%	3
2014-01-16	2014-02-21	$11.40	$13.97	27.68%	25
2013-12-13	2014-01-15	$9.84	$10.94	9.14%	22
2013-10-07	2013-11-07	$12.20	$9.32	-16.64%	24
2013-08-28	2013-10-04	$11.10	$12.07	3.56%	27
2013-08-09	2013-08-27	$10.20	$11.13	6.78%	13
2013-07-18	2013-08-08	$7.94	$10.23	11.40%	16
2013-05-31	2013-07-17	$6.52	$8.02	3.69%	33
2013-05-15	2013-05-30	$5.66	$7.00	25.45%	11
2013-05-13	2013-05-14	$5.85	$5.55	14.17%	2
2013-04-05	2013-05-10	$2.76	$5.12	64.87%	26
2013-04-03	2013-04-04	$2.74	$2.80	-7.50%	2
2013-03-26	2013-04-02	$2.52	$2.96	16.82%	5
2013-03-08	2013-03-18	$2.56	$2.34	-7.87%	7
2013-02-13	2013-02-22	$2.56	$2.41	-7.39%	7
2013-01-23	2013-02-12	$2.40	$2.53	8.96%	15
2012-12-14	2013-01-03	$2.25	$2.32	5.00%	13
2012-12-04	2012-12-13	$2.26	$2.24	1.64%	8
2012-11-07	2012-12-03	$2.10	$2.31	8.36%	18
2012-11-02	2012-11-06	$1.93	$2.08	7.48%	3
2012-09-17	2012-09-26	$2.17	$1.84	-9.16%	8
2012-08-31	2012-09-11	$1.90	$1.85	-3.85%	7
2012-07-19	2012-08-27	$2.15	$1.89	-8.43%	28
2012-06-28	2012-07-18	$2.09	$2.14	4.14%	14
2012-06-26	2012-06-27	$2.11	$2.13	-4.73%	2
2012-06-22	2012-06-25	$2.25	$2.21	4.77%	2
2012-06-19	2012-06-21	$2.14	$2.15	5.88%	3
2012-03-28	2012-04-05	$2.52	$2.30	-7.93%	7
2012-03-13	2012-03-27	$2.41	$2.53	3.65%	11
2012-02-17	2012-03-12	$2.33	$2.40	1.44%	16
2012-01-31	2012-02-16	$1.94	$2.28	13.40%	13