Strategy Zoo / S0735

LongTermTrend_V0735

ARCHIVEDhybrid

crossoverlogic of LongTermTrend_V0605 with risk overlay of PriceMomentum_V0690

Fitness

0.6930

Generation

Complexity

Created

2026-09-25

Lineage

Parents (2)

LongTermTrend_V0605S0605 · gen 28ARCHIVEDcrossover

entry from LongTermTrend_V0323, exit from PriceMomentum_V0557

PriceMomentum_V0690S0690 · gen 32ELITEcrossover

entry = PriceMomentum_V0671 OR PriceMomentum_V0640

Children (3)

LongTermTrend_V0773S0773 · gen 35ARCHIVEDstructural

LongTermTrend_V0801S0801 · gen 37ARCHIVEDcrossover

LongTermTrend_V0808S0808 · gen 37ARCHIVEDllm

Strategy Logic (pseudocode)

# LongTermTrend_V0735  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) 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 < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.2%	113.9%	12.0%	30.0%
Total Return	208.9%	879.2%	52.3%	4642.2%
Sharpe	0.62	2.06	0.52	0.96
Sortino	0.67	2.69	0.51	1.07
Calmar	0.28	3.76	0.31	0.55
Volatility	30.2%	41.1%	31.0%	33.0%
Max DD	-54.5%	-30.3%	-39.3%	-54.5%
Win Rate	45.0%	55.6%	36.4%	45.0%
Avg Win	27.0%	69.6%	25.6%	43.7%
Avg Loss	-10.3%	-5.3%	-7.1%	-8.4%
Payoff	2.61	10.00	3.59	5.21
Expectancy	6.4%	36.3%	4.8%	15.1%
Profit Factor	2.13	10.00	2.05	4.26
Trades	20	9	11	40
Avg Holding Days	57.1	54.1	40.7	53.9
Turnover	8.7	7.6	6.8	7.9
Exposure	49.0%	52.1%	42.1%	47.9%

Growth of $100

LongTermTrend_V0735 vs TSLA Buy & Hold

LongTermTrend_V0735 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	-24.3%	-1.14	-36.1%	4
2017	12.2%	0.53	-31.6%	2
2018	-4.3%	-0.03	-19.2%	3
2019	36.5%	1.20	-22.9%	1
2020	533.1%	3.93	-15.9%	2
2021	51.8%	1.24	-25.3%	3
2022	-2.3%	0.07	-25.0%	4

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	0.6%	0.04	19%
hidden test	EXPENSIVE	83	78.3%	1.90	65%
hidden test	EXTREME	48	103.9%	2.75	41%
hidden test	HIGH VOLATILITY	254	-8.8%	-0.33	20%
hidden test	LOW VOLATILITY	431	56.7%	1.91	53%
hidden test	MEDIUM VOLATILITY	250	-28.4%	-0.78	47%
hidden test	NORMAL	804	4.5%	0.15	40%
hidden test	SIDEWAYS	293	-0.5%	-0.02	48%
hidden test	UPTREND	371	40.8%	1.06	54%
train	DOWNTREND	518	-2.8%	-0.18	16%
train	EXPENSIVE	311	68.2%	1.78	64%
train	EXTREME	100	211.4%	5.29	59%
train	HIGH VOLATILITY	699	27.9%	0.87	24%
train	LOW VOLATILITY	745	29.1%	1.11	66%
train	MEDIUM VOLATILITY	568	-6.4%	-0.20	58%
train	NORMAL	1,601	-3.0%	-0.11	45%
train	SIDEWAYS	592	-11.2%	-0.38	44%
train	UPTREND	902	50.6%	1.39	71%
validation	DOWNTREND	125	41.5%	2.08	9%
validation	EXPENSIVE	138	98.5%	1.95	77%
validation	EXTREME	144	277.5%	5.41	54%
validation	HIGH VOLATILITY	258	75.1%	2.03	24%
validation	LOW VOLATILITY	183	51.6%	1.71	77%
validation	MEDIUM VOLATILITY	315	111.3%	2.27	61%
validation	NORMAL	474	21.7%	0.66	44%
validation	SIDEWAYS	206	13.4%	0.39	49%
validation	UPTREND	425	131.6%	2.74	66%

Trades (full period)

41 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.65%	23	OPEN
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-08-11	2025-11-21	$339.03	$391.09	19.66%	74
2025-04-30	2025-07-02	$282.16	$315.65	-6.82%	44
2025-04-16	2025-04-23	$241.55	$250.74	-2.64%	5
2024-11-07	2025-01-17	$296.91	$426.50	20.07%	48
2024-09-06	2024-10-22	$210.73	$217.97	-8.88%	33
2024-04-30	2024-08-02	$183.28	$207.67	26.23%	66
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-24	2023-08-03	$182.90	$259.32	36.51%	49
2022-07-19	2022-09-01	$245.53	$277.16	14.35%	33
2022-06-24	2022-07-05	$245.71	$233.07	-1.39%	7
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-25	$383.20	$306.13	-8.75%	15
2021-06-14	2021-12-03	$205.90	$338.32	65.06%	122
2021-04-05	2021-05-11	$230.35	$205.73	-5.87%	27
2020-10-07	2021-02-23	$141.77	$232.95	65.68%	95
2020-04-14	2020-09-30	$47.33	$143.00	141.57%	119
2019-09-13	2020-03-05	$16.35	$48.30	155.38%	120
2019-07-16	2019-08-15	$16.83	$14.38	-11.31%	23
2018-10-29	2019-01-03	$22.32	$20.02	-4.27%	45
2018-08-03	2018-08-31	$23.21	$20.11	-5.43%	21
2018-04-27	2018-07-16	$19.61	$20.67	7.18%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.54%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.15%	65
2016-12-21	2017-07-07	$13.85	$20.88	41.92%	136
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.57%	13
2016-03-04	2016-05-05	$13.40	$14.10	5.43%	44
2015-12-01	2016-01-19	$15.81	$13.65	-11.69%	33
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-04-13	2015-08-12	$13.99	$15.88	13.56%	86
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-26	$9.84	$14.20	36.07%	70
2013-03-26	2013-10-24	$2.52	$11.54	112.25%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.27%	92
2012-06-19	2012-07-27	$2.14	$1.97	-8.37%	28
2012-02-02	2012-04-25	$2.02	$2.19	0.43%	58