Strategy Zoo / S0821
LongTermTrend_V0821
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> 0.9213
Fitness
0.4194
Generation
37
Complexity
27
Created
2026-09-26
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0821 [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)))) and sma_20 < close and macd_hist > -2.6055):
position = 1.0
if long and macd_hist < 0.9213:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.8% | 81.6% | 34.2% | 18.5% |
| Total Return | -32.4% | 498.8% | 198.4% | 1106.0% |
| Sharpe | -0.11 | 1.58 | 1.06 | 0.71 |
| Sortino | -0.10 | 1.65 | 1.07 | 0.70 |
| Calmar | -0.09 | 2.14 | 1.32 | 0.37 |
| Volatility | 22.3% | 43.7% | 32.8% | 30.6% |
| Max DD | -50.5% | -38.2% | -26.0% | -50.5% |
| Win Rate | 47.0% | 56.6% | 47.1% | 48.6% |
| Avg Win | 2.1% | 5.7% | 7.3% | 3.4% |
| Avg Loss | -2.0% | -2.6% | -2.9% | -2.2% |
| Payoff | 1.08 | 2.17 | 2.51 | 1.54 |
| Expectancy | -0.0% | 2.1% | 1.9% | 0.5% |
| Profit Factor | 0.96 | 2.82 | 2.23 | 1.46 |
| Trades | 457 | 99 | 70 | 627 |
| Avg Holding Days | 2.0 | 3.9 | 5.8 | 2.7 |
| Turnover | 114.6 | 66.0 | 38.0 | 85.4 |
| Exposure | 22.8% | 37.6% | 36.4% | 29.2% |
Growth of $100
LongTermTrend_V0821 vs TSLA Buy & Hold
LongTermTrend_V0821 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 | 8.0% | 0.68 | -12.6% | 37 |
| 2017 | -2.2% | -0.06 | -12.6% | 69 |
| 2018 | -5.9% | -0.14 | -17.9% | 52 |
| 2019 | 5.0% | 0.33 | -20.2% | 41 |
| 2020 | 261.2% | 2.42 | -38.2% | 59 |
| 2021 | 34.3% | 1.07 | -20.3% | 28 |
| 2022 | 4.7% | 0.30 | -19.1% | 11 |
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 | 10.1% | 0.43 | 26% |
| hidden test | EXPENSIVE | 83 | 138.5% | 3.01 | 53% |
| hidden test | EXTREME | 48 | 131.4% | 2.69 | 42% |
| hidden test | HIGH VOLATILITY | 254 | 29.2% | 0.67 | 39% |
| hidden test | LOW VOLATILITY | 432 | 57.8% | 2.27 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.7% | 0.02 | 34% |
| hidden test | NORMAL | 805 | 18.3% | 0.61 | 34% |
| hidden test | SIDEWAYS | 293 | 6.2% | 0.21 | 38% |
| hidden test | UPTREND | 371 | 75.4% | 1.89 | 43% |
| train | DOWNTREND | 518 | -10.4% | -0.68 | 10% |
| train | EXPENSIVE | 311 | 19.7% | 0.73 | 35% |
| train | EXTREME | 100 | 97.8% | 2.47 | 46% |
| train | HIGH VOLATILITY | 699 | -1.6% | -0.06 | 21% |
| train | LOW VOLATILITY | 745 | 1.8% | 0.11 | 26% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -0.42 | 20% |
| train | NORMAL | 1,601 | -13.0% | -0.67 | 19% |
| train | SIDEWAYS | 592 | -1.2% | -0.06 | 21% |
| train | UPTREND | 902 | 1.4% | 0.05 | 31% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 52.3% | 1.09 | 36% |
| validation | EXTREME | 144 | 235.2% | 3.43 | 58% |
| validation | HIGH VOLATILITY | 258 | 51.9% | 0.90 | 32% |
| validation | LOW VOLATILITY | 183 | 3.6% | 0.19 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 121.5% | 3.03 | 41% |
| validation | NORMAL | 474 | 23.7% | 0.78 | 32% |
| validation | SIDEWAYS | 206 | 31.2% | 1.12 | 31% |
| validation | UPTREND | 425 | 95.8% | 1.80 | 46% |
Trades (full period)
latest 100 of 628
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-22 | — | $378.90 | — | 0.60% | 4 | OPEN |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 2026-07-01 | 2026-07-14 | $425.30 | $396.18 | -6.33% | 9 | |
| 2026-05-28 | 2026-06-01 | $442.10 | $415.88 | -1.24% | 3 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-04-16 | 2026-05-20 | $388.90 | $417.26 | 2.90% | 25 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-09-11 | 2025-10-03 | $368.81 | $429.83 | 25.12% | 17 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-08-25 | 2025-09-02 | $346.60 | $329.36 | -2.00% | 6 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.31% | 10 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-28 | $328.49 | $325.59 | -4.31% | 6 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-04-28 | 2025-06-02 | $285.88 | $342.69 | 21.34% | 25 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-09 | 2024-12-23 | $389.79 | $430.60 | 7.96% | 11 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-10-25 | 2024-11-27 | $269.19 | $332.89 | 29.59% | 24 | |
| 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 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 6.19% | 18 | |
| 2024-09-06 | 2024-09-10 | $210.73 | $226.17 | -6.24% | 3 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-08-20 | 2024-08-28 | $221.10 | $205.75 | -6.25% | 7 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -12.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 4.94% | 2 | |
| 2024-06-26 | 2024-07-19 | $196.37 | $239.20 | 32.77% | 17 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-04-30 | 2024-05-13 | $183.28 | $171.89 | -13.36% | 10 | |
| 2023-12-27 | 2023-12-29 | $261.44 | $248.48 | -1.53% | 3 | |
| 2023-12-15 | 2023-12-26 | $253.50 | $256.61 | 0.39% | 7 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-11-16 | 2023-12-06 | $233.59 | $239.37 | -1.90% | 14 | |
| 2023-10-10 | 2023-10-13 | $263.62 | $251.12 | -0.51% | 4 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 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 | |
| 2023-04-03 | 2023-04-05 | $194.77 | $185.52 | -7.36% | 3 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-22 | $177.90 | $200.86 | 22.91% | 18 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-19 | 2022-08-22 | $296.67 | $289.91 | -2.25% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -1.04% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-06-27 | 2022-08-10 | $244.92 | $294.36 | 15.08% | 32 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-28 | 2022-01-11 | $362.82 | $354.80 | -3.47% | 11 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-10-18 | 2021-11-10 | $290.04 | $355.98 | 21.17% | 18 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.28% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.17% | 5 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.43% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 |