Strategy Zoo / S0885
LongTermTrend_V0885
ARCHIVEDhybridstructuralchanged cumret_252d threshold -0.4102 -> -0.2502; added entry filter: breakout_20 == 1
Fitness
0.6227
Generation
40
Complexity
12
Created
2026-09-29
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0885 [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 > -0.2502) and ret_20d > 0.05 and breakout_20 == 1):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.0% | 102.2% | 13.7% | 31.9% |
| Total Return | 329.2% | 726.3% | 61.1% | 5781.2% |
| Sharpe | 0.70 | 1.62 | 0.54 | 0.90 |
| Sortino | 0.79 | 1.78 | 0.56 | 0.99 |
| Calmar | 0.34 | 2.66 | 0.29 | 0.54 |
| Volatility | 34.8% | 51.6% | 36.1% | 39.1% |
| Max DD | -58.8% | -38.4% | -46.4% | -58.8% |
| Win Rate | 40.0% | 62.5% | 50.0% | 47.4% |
| Avg Win | 52.8% | 81.6% | 21.6% | 56.3% |
| Avg Loss | -11.5% | -15.1% | -8.3% | -11.3% |
| Payoff | 4.59 | 5.40 | 2.59 | 5.01 |
| Expectancy | 14.2% | 45.3% | 6.6% | 20.8% |
| Profit Factor | 3.06 | 8.99 | 2.59 | 4.51 |
| Trades | 20 | 8 | 10 | 38 |
| Avg Holding Days | 54.6 | 53.9 | 43.6 | 52.8 |
| Turnover | 5.1 | 5.3 | 5.6 | 5.2 |
| Exposure | 55.6% | 56.0% | 48.1% | 53.8% |
Growth of $100
LongTermTrend_V0885 vs TSLA Buy & Hold
LongTermTrend_V0885 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 | -21.9% | -0.97 | -38.8% | 4 |
| 2017 | 15.7% | 0.61 | -34.5% | 2 |
| 2018 | -19.9% | -0.46 | -36.1% | 3 |
| 2019 | 27.9% | 1.12 | -17.2% | 1 |
| 2020 | 702.5% | 3.20 | -33.7% | 2 |
| 2021 | 32.7% | 0.92 | -34.8% | 3 |
| 2022 | -25.7% | -0.85 | -30.1% | 3 |
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 | -9.4% | -0.45 | 25% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 15.1% | 0.34 | 43% |
| hidden test | LOW VOLATILITY | 433 | 48.9% | 1.67 | 51% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.5% | -0.74 | 48% |
| hidden test | NORMAL | 806 | 1.0% | 0.03 | 44% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.03 | 47% |
| hidden test | UPTREND | 371 | 55.1% | 1.17 | 66% |
| train | DOWNTREND | 518 | -4.5% | -0.35 | 12% |
| train | EXPENSIVE | 311 | 87.1% | 2.02 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 48.0% | 1.09 | 48% |
| train | LOW VOLATILITY | 745 | 27.4% | 1.07 | 64% |
| train | MEDIUM VOLATILITY | 568 | -9.3% | -0.29 | 54% |
| train | NORMAL | 1,601 | -12.5% | -0.45 | 48% |
| train | SIDEWAYS | 592 | -18.7% | -0.59 | 49% |
| train | UPTREND | 902 | 68.9% | 1.57 | 85% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 63.6% | 1.16 | 60% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 119.3% | 1.73 | 50% |
| validation | LOW VOLATILITY | 183 | 41.4% | 1.59 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 79.3% | 1.72 | 57% |
| validation | NORMAL | 474 | -0.0% | -0.00 | 43% |
| validation | SIDEWAYS | 206 | -23.4% | -0.68 | 44% |
| validation | UPTREND | 425 | 154.8% | 2.43 | 77% |
Trades (full period)
39 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 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-08-12 | 2025-11-21 | $340.84 | $391.09 | 16.34% | 73 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-06 | 2024-10-22 | $210.73 | $217.97 | -5.12% | 33 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2023-11-29 | 2024-01-17 | $244.14 | $215.55 | -11.05% | 33 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-23 | 2023-08-03 | $185.77 | $259.32 | 34.27% | 50 | |
| 2022-07-22 | 2022-09-01 | $272.24 | $277.16 | 1.23% | 30 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-06-24 | 2021-12-03 | $226.61 | $338.32 | 64.87% | 114 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-07-11 | 2019-08-15 | $15.91 | $14.38 | -8.26% | 26 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-12 | 2018-07-16 | $22.85 | $20.67 | -4.17% | 24 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-26 | 2016-09-02 | $15.30 | $13.19 | -12.89% | 29 | |
| 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 | |
| 2015-12-02 | 2016-01-19 | $15.47 | $13.65 | -13.75% | 32 | |
| 2015-09-22 | 2015-10-12 | $17.40 | $14.37 | -16.64% | 15 | |
| 2015-04-13 | 2015-08-12 | $13.99 | $15.88 | 12.33% | 86 | |
| 2014-11-12 | 2014-12-09 | $16.61 | $14.46 | -14.80% | 19 | |
| 2014-06-17 | 2014-10-01 | $15.44 | $16.02 | 7.83% | 75 | |
| 2013-12-13 | 2014-03-26 | $9.84 | $14.20 | 49.18% | 70 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 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 |