Strategy Zoo / S0801

LongTermTrend_V0801

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V0735 AND PriceMomentum_V0710

Fitness

0.6143

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

PriceMomentum_V0710S0710 · gen 32ARCHIVEDcrossover

added entry filter: vol_chg < 1.2007

LongTermTrend_V0735S0735 · gen 34ARCHIVEDcrossover

logic of LongTermTrend_V0605 with risk overlay of PriceMomentum_V0690

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0801  [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) and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05) and vol_chg < 1.2007)):
    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	13.5%	100.0%	11.7%	27.2%
Total Return	175.8%	699.7%	50.8%	3322.9%
Sharpe	0.59	1.91	0.52	0.91
Sortino	0.59	2.45	0.48	0.96
Calmar	0.26	2.82	0.31	0.52
Volatility	28.4%	40.6%	30.4%	31.8%
Max DD	-52.2%	-35.4%	-37.6%	-52.2%
Win Rate	44.4%	55.6%	45.5%	47.4%
Avg Win	26.1%	66.2%	20.3%	40.9%
Avg Loss	-10.6%	-7.4%	-8.2%	-9.2%
Payoff	2.48	8.91	2.47	4.43
Expectancy	5.8%	33.5%	4.7%	14.5%
Profit Factor	1.98	10.00	2.05	3.98
Trades	18	9	11	38
Avg Holding Days	54.9	52.4	36.8	51.1
Turnover	7.6	7.6	6.8	7.3
Exposure	42.8%	50.2%	38.3%	43.2%

Growth of $100

LongTermTrend_V0801 vs TSLA Buy & Hold

LongTermTrend_V0801 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	-18.4%	-0.86	-37.0%	3
2017	18.7%	0.73	-27.7%	2
2018	-3.0%	-0.05	-18.5%	2
2019	36.5%	1.20	-22.9%	1
2020	533.1%	3.93	-15.9%	2
2021	33.8%	0.94	-29.3%	3
2022	-9.5%	-0.21	-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	272	7.3%	0.49	13%
hidden test	EXPENSIVE	83	74.7%	1.81	64%
hidden test	EXTREME	48	103.9%	2.75	41%
hidden test	HIGH VOLATILITY	254	-6.5%	-0.25	18%
hidden test	LOW VOLATILITY	432	51.0%	1.77	47%
hidden test	MEDIUM VOLATILITY	250	-22.7%	-0.63	44%
hidden test	NORMAL	805	4.4%	0.15	35%
hidden test	SIDEWAYS	293	-7.1%	-0.24	42%
hidden test	UPTREND	371	40.0%	1.03	54%
train	DOWNTREND	518	-3.2%	-0.23	10%
train	EXPENSIVE	311	67.1%	1.75	63%
train	EXTREME	100	211.4%	5.29	59%
train	HIGH VOLATILITY	699	23.1%	0.78	21%
train	LOW VOLATILITY	745	23.5%	0.92	60%
train	MEDIUM VOLATILITY	568	-0.1%	-0.00	48%
train	NORMAL	1,601	-5.2%	-0.21	38%
train	SIDEWAYS	592	-9.6%	-0.37	31%
train	UPTREND	902	45.5%	1.29	70%
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	73.3%	1.99	24%
validation	LOW VOLATILITY	183	36.2%	1.26	69%
validation	MEDIUM VOLATILITY	315	105.0%	2.16	61%
validation	NORMAL	474	10.6%	0.33	41%
validation	SIDEWAYS	206	-12.2%	-0.38	42%
validation	UPTREND	425	131.6%	2.74	66%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.05%	24	OPEN
2026-05-06	2026-06-10	$398.73	$381.59	1.68%	25
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-08-29	2025-11-21	$333.87	$391.09	14.00%	60
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
2024-11-08	2025-01-17	$321.22	$426.50	18.66%	47
2024-09-06	2024-10-22	$210.73	$217.97	-8.88%	33
2024-05-15	2024-08-02	$173.99	$207.67	30.78%	55
2023-11-27	2024-01-17	$236.08	$215.55	-6.79%	35
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
2022-03-23	2022-04-27	$333.04	$293.84	-12.00%	25
2022-01-04	2022-01-25	$383.20	$306.13	-8.75%	15
2021-07-01	2021-12-03	$225.97	$338.32	48.10%	109
2021-04-06	2021-05-11	$230.54	$205.73	-7.55%	26
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
2018-11-01	2019-01-03	$22.95	$20.02	-5.03%	42
2018-08-13	2018-08-31	$23.76	$20.11	-6.25%	15
2018-05-01	2018-07-16	$19.99	$20.67	5.90%	53
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
2016-06-09	2016-06-24	$15.29	$12.88	-16.71%	12
2016-03-04	2016-05-05	$13.40	$14.10	5.43%	44
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-04-27	2015-08-12	$15.44	$15.88	9.65%	76
2014-11-17	2014-12-09	$16.93	$14.46	-17.30%	16
2014-06-09	2014-10-01	$13.69	$16.02	16.34%	81
2013-12-18	2014-03-26	$9.87	$14.20	34.21%	67
2013-04-05	2013-10-24	$2.76	$11.54	84.76%	142
2012-11-14	2013-03-20	$2.09	$2.40	10.88%	86
2012-06-19	2012-07-27	$2.14	$1.97	-8.37%	28
2012-02-06	2012-04-25	$2.12	$2.19	-1.69%	56