Strategy Zoo / S0869
LongTermTrend_V0869
ARCHIVEDhybridstructuraladded entry filter: dist_sma_200 < 0.0761
Fitness
0.4434
Generation
39
Complexity
12
Created
2026-09-29
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0869 [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 > -0.4102) and ret_20d > 0.05 and dist_sma_200 < 0.0761):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.6% | 50.4% | 14.0% | 17.2% |
| Total Return | 79.8% | 240.5% | 62.8% | 926.0% |
| Sharpe | 0.41 | 1.44 | 0.57 | 0.69 |
| Sortino | 0.36 | 1.05 | 0.53 | 0.60 |
| Calmar | 0.20 | 1.86 | 0.48 | 0.46 |
| Volatility | 26.2% | 32.0% | 31.8% | 28.9% |
| Max DD | -37.5% | -27.2% | -29.5% | -37.5% |
| Win Rate | 40.0% | 75.0% | 62.5% | 51.9% |
| Avg Win | 17.2% | 55.2% | 14.4% | 33.7% |
| Avg Loss | -9.1% | -3.5% | -4.6% | -7.6% |
| Payoff | 1.90 | 10.00 | 3.13 | 4.43 |
| Expectancy | 1.5% | 40.5% | 7.2% | 13.8% |
| Profit Factor | 1.27 | 10.00 | 5.21 | 4.77 |
| Trades | 15 | 4 | 8 | 27 |
| Avg Holding Days | 50.4 | 51.3 | 43.0 | 51.2 |
| Turnover | 3.9 | 2.7 | 4.6 | 3.7 |
| Exposure | 40.6% | 26.6% | 38.5% | 37.2% |
Growth of $100
LongTermTrend_V0869 vs TSLA Buy & Hold
LongTermTrend_V0869 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 | -18.6% | -0.78 | -36.2% | 4 |
| 2017 | 34.5% | 1.23 | -23.9% | 1 |
| 2018 | 1.0% | 0.20 | -28.2% | 3 |
| 2019 | 64.5% | 1.64 | -24.9% | 1 |
| 2020 | 73.5% | 1.53 | -27.2% | 1 |
| 2021 | 77.5% | 2.03 | -17.6% | 1 |
| 2022 | 10.4% | 0.60 | -11.0% | 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 | 273 | 2.5% | 0.11 | 29% |
| hidden test | EXPENSIVE | 83 | 87.0% | 2.13 | 61% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -9.0% | -0.24 | 34% |
| hidden test | LOW VOLATILITY | 433 | 54.7% | 2.14 | 42% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.4% | -0.50 | 38% |
| hidden test | NORMAL | 806 | 12.2% | 0.38 | 38% |
| hidden test | SIDEWAYS | 293 | 15.1% | 0.46 | 44% |
| hidden test | UPTREND | 371 | 32.2% | 0.89 | 41% |
| train | DOWNTREND | 518 | 12.7% | 0.71 | 22% |
| train | EXPENSIVE | 311 | 41.4% | 1.84 | 33% |
| train | EXTREME | 100 | 9.1% | 0.77 | 12% |
| train | HIGH VOLATILITY | 699 | 8.4% | 0.29 | 28% |
| train | LOW VOLATILITY | 745 | 35.5% | 1.67 | 48% |
| train | MEDIUM VOLATILITY | 568 | -18.7% | -0.66 | 46% |
| train | NORMAL | 1,601 | 4.9% | 0.18 | 44% |
| train | SIDEWAYS | 592 | -16.3% | -0.58 | 41% |
| train | UPTREND | 902 | 27.5% | 0.95 | 51% |
| validation | DOWNTREND | 125 | 37.6% | 1.70 | 12% |
| validation | EXPENSIVE | 138 | 32.6% | 1.84 | 8% |
| validation | EXTREME | 144 | 80.7% | 1.53 | 22% |
| validation | HIGH VOLATILITY | 258 | 27.8% | 0.67 | 15% |
| validation | LOW VOLATILITY | 183 | 59.7% | 2.47 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 52.7% | 1.99 | 17% |
| validation | NORMAL | 474 | 39.2% | 1.48 | 34% |
| validation | SIDEWAYS | 206 | 10.5% | 0.55 | 27% |
| validation | UPTREND | 425 | 65.5% | 1.69 | 31% |
Trades (full period)
28 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -1.59% | 25 | OPEN |
| 2026-04-20 | 2026-06-10 | $392.50 | $381.59 | -1.18% | 37 | |
| 2025-08-11 | 2025-11-21 | $339.03 | $391.09 | 19.66% | 74 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2023-11-17 | 2024-01-17 | $234.30 | $215.55 | -6.04% | 40 | |
| 2023-05-23 | 2023-08-03 | $185.77 | $259.32 | 34.27% | 50 | |
| 2023-01-31 | 2023-03-10 | $173.22 | $173.44 | 3.55% | 28 | |
| 2022-07-19 | 2022-09-01 | $245.53 | $277.16 | 14.35% | 33 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2021-06-14 | 2021-12-03 | $205.90 | $338.32 | 77.48% | 122 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-06-20 | 2019-08-15 | $14.64 | $14.38 | -3.20% | 40 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -6.28% | 5 | |
| 2018-04-27 | 2018-07-16 | $19.61 | $20.67 | 11.48% | 55 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-22 | 2016-09-02 | $14.82 | $13.19 | -9.13% | 31 | |
| 2016-06-08 | 2016-06-24 | $15.70 | $12.88 | -15.64% | 13 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-12-01 | 2016-01-19 | $15.81 | $13.65 | -11.15% | 33 | |
| 2015-04-13 | 2015-08-12 | $13.99 | $15.88 | 12.33% | 86 | |
| 2014-11-11 | 2014-12-09 | $16.74 | $14.46 | -11.57% | 20 | |
| 2012-11-06 | 2013-03-20 | $2.08 | $2.40 | 11.14% | 92 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |