Strategy Zoo / S0739
LongTermTrend_V0739
ARCHIVEDhybridstructuralreduce exposure to 68% during MEDIUM_VOLATILITY
Fitness
0.6063
Generation
34
Complexity
25
Created
2026-09-25
Lineage
Parents (1)
entry = LongTermTrend_V0235 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0739 [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)))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.4% | 73.5% | 30.0% | 31.4% |
| Total Return | 286.2% | 421.9% | 165.0% | 5399.4% |
| Sharpe | 0.70 | 1.53 | 0.98 | 0.98 |
| Sortino | 0.76 | 1.74 | 1.07 | 1.07 |
| Calmar | 0.37 | 3.03 | 0.87 | 0.63 |
| Volatility | 30.9% | 41.6% | 32.1% | 33.7% |
| Max DD | -50.0% | -24.2% | -34.4% | -50.0% |
| Win Rate | 44.5% | 56.6% | 39.3% | 46.8% |
| Avg Win | 7.3% | 7.0% | 10.0% | 7.9% |
| Avg Loss | -3.2% | -2.9% | -3.0% | -3.1% |
| Payoff | 2.23 | 2.39 | 3.34 | 2.53 |
| Expectancy | 1.4% | 2.7% | 2.1% | 2.0% |
| Profit Factor | 1.79 | 3.12 | 2.16 | 2.23 |
| Trades | 146 | 76 | 56 | 278 |
| Avg Holding Days | 6.8 | 5.8 | 8.0 | 6.8 |
| Turnover | 35.6 | 46.8 | 30.6 | 36.6 |
| Exposure | 39.3% | 41.6% | 39.0% | 39.7% |
Growth of $100
LongTermTrend_V0739 vs TSLA Buy & Hold
LongTermTrend_V0739 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 | 14.3% | 0.93 | -15.5% | 11 |
| 2017 | 2.1% | 0.21 | -21.0% | 24 |
| 2018 | -12.4% | -0.31 | -31.3% | 16 |
| 2019 | 11.3% | 0.48 | -28.2% | 10 |
| 2020 | 256.2% | 2.39 | -24.2% | 36 |
| 2021 | 46.0% | 1.48 | -13.8% | 26 |
| 2022 | -8.6% | -0.26 | -20.3% | 13 |
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 | 22.9% | 0.92 | 27% |
| hidden test | EXPENSIVE | 83 | 53.6% | 1.14 | 53% |
| hidden test | EXTREME | 48 | 143.2% | 3.19 | 45% |
| hidden test | HIGH VOLATILITY | 254 | 51.9% | 1.25 | 45% |
| hidden test | LOW VOLATILITY | 431 | 56.6% | 2.16 | 41% |
| hidden test | MEDIUM VOLATILITY | 250 | -33.0% | -1.10 | 30% |
| hidden test | NORMAL | 804 | 22.4% | 0.77 | 37% |
| hidden test | SIDEWAYS | 293 | 6.1% | 0.21 | 44% |
| hidden test | UPTREND | 371 | 57.5% | 1.51 | 44% |
| train | DOWNTREND | 518 | -4.4% | -0.26 | 19% |
| train | EXPENSIVE | 311 | 37.1% | 1.17 | 57% |
| train | EXTREME | 100 | 337.2% | 4.83 | 78% |
| train | HIGH VOLATILITY | 699 | 48.9% | 1.18 | 41% |
| train | LOW VOLATILITY | 745 | 27.9% | 1.20 | 47% |
| train | MEDIUM VOLATILITY | 568 | -20.2% | -0.86 | 27% |
| train | NORMAL | 1,601 | -1.1% | -0.04 | 34% |
| train | SIDEWAYS | 592 | 10.9% | 0.41 | 37% |
| train | UPTREND | 902 | 43.6% | 1.13 | 53% |
| validation | DOWNTREND | 125 | 31.4% | 1.49 | 15% |
| validation | EXPENSIVE | 138 | 66.1% | 1.80 | 37% |
| validation | EXTREME | 144 | 211.0% | 2.87 | 72% |
| validation | HIGH VOLATILITY | 258 | 55.7% | 0.96 | 41% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.30 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 88.9% | 2.74 | 37% |
| validation | NORMAL | 474 | 18.2% | 0.69 | 34% |
| validation | SIDEWAYS | 206 | 4.8% | 0.18 | 32% |
| validation | UPTREND | 425 | 101.6% | 2.00 | 54% |
Trades (full period)
latest 100 of 279
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 2.58% | 5 | OPEN |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.85% | 18 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -4.01% | 10 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 7.70% | 26 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.12% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.51% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -3.67% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.62% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.16% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 20.99% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -7.15% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.55% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 19.45% | 26 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.78% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 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 | |
| 2024-09-04 | 2024-10-04 | $219.41 | $250.08 | 11.80% | 23 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 32.46% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -0.41% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -3.40% | 18 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.33% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.93% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.37% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.52% | 5 | |
| 2022-06-27 | 2022-08-12 | $244.92 | $300.03 | 12.85% | 34 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.48% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.62% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.63% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 8.94% | 16 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -5.56% | 12 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.29% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 35.01% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 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 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.49% | 2 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | -0.63% | 18 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.55% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.83% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.40% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 10.75% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.93% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.53% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.66% | 4 |