Strategy Zoo / S0706

LongTermTrend_V0706

ARCHIVEDhybrid

structuralrestricted to trend regimes ['DOWNTREND']; swapped indicator sma_200_slope -> dist_sma_50

Fitness

0.3124

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

LongTermTrend_V0668S0668 · gen 31ARCHIVEDstructural

entry from LongTermTrend_V0519, exit from PriceMomentum_V0400

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0706  [hybrid]
require regime.trend in ['DOWNTREND']
if flat and ((((close > sma_200 and dist_sma_50 > 0.2892) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.03:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	4.7%	6.8%	-0.5%	3.8%
Total Return	44.4%	21.8%	-2.0%	72.4%
Sharpe	0.80	0.79	0.01	0.48
Sortino	0.23	0.21	0.01	0.15
Calmar	0.55	1.26	-0.02	0.16
Volatility	6.0%	8.9%	11.8%	8.4%
Max DD	-8.6%	-5.4%	-23.6%	-23.6%
Win Rate	70.0%	50.0%	60.0%	64.7%
Avg Win	5.9%	23.3%	4.9%	7.2%
Avg Loss	-0.9%	-1.2%	-9.9%	-4.0%
Payoff	6.38	10.00	0.50	1.83
Expectancy	3.9%	11.1%	-1.0%	3.3%
Profit Factor	10.00	10.00	0.74	3.35
Trades	10	2	5	17
Avg Holding Days	6.8	7.5	8.6	7.4
Turnover	2.5	1.3	3.0	2.4
Exposure	2.9%	1.7%	6.5%	3.6%

Growth of $100

LongTermTrend_V0706 vs TSLA Buy & Hold

LongTermTrend_V0706 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	27.2%	2.84	-1.7%	3
2017	0.0%	0.00	0.0%	0
2018	-0.6%	-0.05	-5.6%	1
2019	7.5%	1.03	-5.4%	2
2020	0.0%	0.00	0.0%	0
2021	0.0%	0.00	0.0%	0
2022	21.9%	1.36	-5.4%	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	-9.1%	-0.44	21%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-20.5%	-1.28	11%
hidden test	LOW VOLATILITY	431	9.6%	1.00	4%
hidden test	MEDIUM VOLATILITY	250	4.8%	0.50	5%
hidden test	NORMAL	804	0.2%	0.01	8%
hidden test	SIDEWAYS	293	8.9%	1.33	1%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	8.7%	0.88	9%
train	EXPENSIVE	311	0.0%	0.00	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.9%	0.84	2%
train	LOW VOLATILITY	745	3.5%	0.83	2%
train	MEDIUM VOLATILITY	568	6.4%	0.81	5%
train	NORMAL	1,601	6.0%	0.89	4%
train	SIDEWAYS	592	8.6%	1.45	2%
train	UPTREND	902	-0.0%	-0.53	0%
validation	DOWNTREND	125	42.2%	1.94	10%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-1.0%	-0.15	1%
validation	LOW VOLATILITY	183	1.1%	1.17	1%
validation	MEDIUM VOLATILITY	315	16.9%	1.37	3%
validation	NORMAL	474	11.1%	0.99	3%
validation	SIDEWAYS	206	-0.1%	-0.58	0%
validation	UPTREND	425	0.0%	0.00	0%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.65%	23	OPEN
2026-05-05	2026-05-08	$389.37	$428.35	4.70%	4
2025-04-30	2025-05-12	$282.16	$318.38	1.93%	9
2025-04-16	2025-04-22	$241.55	$237.97	-10.66%	4
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2022-07-19	2022-08-02	$245.53	$300.59	23.34%	11
2022-06-24	2022-06-29	$245.71	$228.49	-1.22%	4
2019-09-27	2019-10-15	$16.14	$17.19	5.72%	13
2019-07-16	2019-07-22	$16.83	$17.05	1.64%	5
2018-04-27	2018-05-04	$19.61	$19.61	-0.56%	6
2016-12-21	2016-12-28	$13.85	$14.65	4.93%	5
2016-03-24	2016-03-28	$15.18	$15.35	2.12%	2
2016-03-04	2016-03-21	$13.40	$15.89	18.67%	12
2015-12-03	2015-12-29	$15.51	$15.81	-1.51%	18
2015-12-01	2015-12-02	$15.81	$15.47	2.81%	2
2015-04-24	2015-04-28	$14.56	$15.37	5.71%	3
2015-04-13	2015-04-14	$13.99	$13.83	-0.73%	2