Strategy Zoo / S0883
LongTermTrend_V0883
ARCHIVEDhybridstructuraladded entry filter: vol_pctile < 0.8162; changed ret_20d threshold 0.085 -> -0.026
Fitness
0.6582
Generation
40
Complexity
28
Created
2026-09-29
Lineage
Parents (1)
swapped indicator macd_hist -> rsi_14
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0883 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > -0.026) 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 rsi_14 > 34.4934 and vol_pctile < 0.8162):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.7% | 88.7% | 13.9% | 26.4% |
| Total Return | 177.9% | 571.8% | 62.1% | 3015.3% |
| Sharpe | 0.57 | 1.71 | 0.58 | 0.87 |
| Sortino | 0.58 | 1.93 | 0.55 | 0.89 |
| Calmar | 0.27 | 3.95 | 0.38 | 0.53 |
| Volatility | 30.7% | 42.2% | 30.1% | 33.3% |
| Max DD | -49.8% | -22.4% | -36.3% | -49.8% |
| Win Rate | 38.9% | 56.9% | 37.2% | 43.0% |
| Avg Win | 9.7% | 10.0% | 11.0% | 10.5% |
| Avg Loss | -3.7% | -2.5% | -3.9% | -3.5% |
| Payoff | 2.62 | 3.95 | 2.84 | 2.97 |
| Expectancy | 1.5% | 4.6% | 1.7% | 2.5% |
| Profit Factor | 1.67 | 5.20 | 1.68 | 2.24 |
| Trades | 113 | 51 | 43 | 207 |
| Avg Holding Days | 7.7 | 7.1 | 8.6 | 7.8 |
| Turnover | 28.4 | 34.0 | 23.4 | 28.2 |
| Exposure | 38.4% | 40.9% | 35.6% | 38.2% |
Growth of $100
LongTermTrend_V0883 vs TSLA Buy & Hold
LongTermTrend_V0883 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 | 9.2% | 0.59 | -21.3% | 11 |
| 2017 | 1.1% | 0.16 | -24.5% | 21 |
| 2018 | -6.9% | -0.28 | -18.2% | 8 |
| 2019 | 18.3% | 0.67 | -25.7% | 8 |
| 2020 | 313.1% | 2.77 | -21.8% | 22 |
| 2021 | 44.2% | 1.25 | -17.2% | 20 |
| 2022 | -1.2% | 0.09 | -17.6% | 8 |
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 | 3.8% | 0.20 | 21% |
| hidden test | EXPENSIVE | 83 | 22.8% | 0.70 | 37% |
| hidden test | EXTREME | 48 | 56.7% | 1.57 | 29% |
| hidden test | HIGH VOLATILITY | 254 | 7.0% | 0.24 | 19% |
| hidden test | LOW VOLATILITY | 433 | 56.1% | 2.03 | 42% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.6% | -1.10 | 40% |
| hidden test | NORMAL | 806 | 14.6% | 0.50 | 36% |
| hidden test | SIDEWAYS | 293 | 7.2% | 0.22 | 46% |
| hidden test | UPTREND | 371 | 35.7% | 1.03 | 38% |
| train | DOWNTREND | 518 | -13.4% | -0.66 | 23% |
| train | EXPENSIVE | 311 | 43.5% | 1.25 | 57% |
| train | EXTREME | 100 | 274.2% | 4.18 | 61% |
| train | HIGH VOLATILITY | 699 | 36.6% | 0.94 | 29% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.16 | 48% |
| train | MEDIUM VOLATILITY | 568 | -18.7% | -0.67 | 36% |
| train | NORMAL | 1,601 | -3.7% | -0.14 | 33% |
| train | SIDEWAYS | 592 | 7.9% | 0.31 | 36% |
| train | UPTREND | 902 | 41.4% | 1.09 | 49% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 71.0% | 1.78 | 45% |
| validation | EXTREME | 144 | 236.2% | 3.49 | 56% |
| validation | HIGH VOLATILITY | 258 | 53.7% | 1.04 | 26% |
| validation | LOW VOLATILITY | 183 | 27.3% | 1.15 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 113.7% | 2.70 | 48% |
| validation | NORMAL | 474 | 22.9% | 0.74 | 35% |
| validation | SIDEWAYS | 206 | 10.5% | 0.41 | 31% |
| validation | UPTREND | 425 | 112.8% | 2.17 | 54% |
Trades (full period)
latest 100 of 208
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | -2.49% | 7 | OPEN |
| 2026-08-21 | 2026-09-17 | $362.86 | $366.20 | 3.55% | 19 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 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 | 6.24% | 26 | |
| 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 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 26.72% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-09 | 2025-06-03 | $298.26 | $344.27 | 20.08% | 17 | |
| 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 | 16.31% | 13 | |
| 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 | 14.05% | 23 | |
| 2024-08-22 | 2024-08-30 | $210.66 | $214.11 | -7.80% | 7 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -12.80% | 6 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 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 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 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 | -3.68% | 10 | |
| 2023-02-02 | 2023-02-23 | $188.27 | $202.07 | 10.50% | 15 | |
| 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 | 0.75% | 5 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 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 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 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 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 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 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.75% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 1.71% | 2 | |
| 2020-10-08 | 2020-10-09 | $141.97 | $144.67 | -0.05% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-05-13 | 2020-05-14 | $52.73 | $53.56 | -2.48% | 2 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 |