Strategy Zoo / S0886

LongTermTrend_V0886

ARCHIVEDhybrid

parameterchanged cumret_252d threshold -0.1997 -> -0.4599

Fitness
0.7223
Generation
40
Complexity
27
Created
2026-09-29

Lineage

Parents (1)
LongTermTrend_V0531S0531 · gen 24ARCHIVEDparameter

added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055

Children (10)
LongTermTrend_V0934S0934 · gen 42ARCHIVEDstructural
LongTermTrend_V0999S0999 · gen 45ARCHIVEDstructural
LongTermTrend_V1022S1022 · gen 47ARCHIVEDcrossover
LongTermTrend_V1057S1057 · gen 48ARCHIVEDstructural
LongTermTrend_V1167S1167 · gen 53ARCHIVEDstructural
LongTermTrend_V1199S1199 · gen 55ARCHIVEDllm
LongTermTrend_V1278S1278 · gen 59ARCHIVEDcrossover
LongTermTrend_V1301S1301 · gen 60ARCHIVEDcrossover
LongTermTrend_V1312S1312 · gen 60REJECTEDllm
LongTermTrend_V1374S1374 · gen 63ARCHIVEDllm

Strategy Logic (pseudocode)

# LongTermTrend_V0886  [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 > -0.4599 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 < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR18.9%96.9%24.1%33.5%
Total Return298.6%663.6%123.0%6887.0%
Sharpe0.691.730.800.98
Sortino0.722.020.881.07
Calmar0.403.910.660.70
Volatility32.7%44.9%34.0%35.9%
Max DD-47.8%-24.8%-36.6%-47.8%
Win Rate42.9%54.9%37.5%44.4%
Avg Win9.0%11.2%12.3%10.6%
Avg Loss-3.8%-2.7%-3.8%-3.6%
Payoff2.384.103.282.96
Expectancy1.7%4.9%2.3%2.7%
Profit Factor1.794.991.972.36
Trades1265148225
Avg Holding Days7.67.69.08.0
Turnover31.734.026.130.7
Exposure42.0%44.8%41.8%42.6%

Growth of $100

LongTermTrend_V0886 vs TSLA Buy & Hold
LongTermTrend_V0886 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
YearCAGRSharpeMax DDTrades
201620.4%1.16-16.4%10
20171.5%0.18-24.2%21
2018-2.8%0.05-24.6%12
201911.1%0.47-29.6%8
2020368.3%2.79-24.8%27
202141.6%1.21-16.8%15
20220.8%0.17-18.4%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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND27318.1%0.7130%
hidden testEXPENSIVE8369.5%1.4854%
hidden testEXTREME48151.9%3.2346%
hidden testHIGH VOLATILITY25440.2%0.9444%
hidden testLOW VOLATILITY43360.4%2.2842%
hidden testMEDIUM VOLATILITY250-43.1%-1.2240%
hidden testNORMAL80615.5%0.4940%
hidden testSIDEWAYS293-2.9%-0.0948%
hidden testUPTREND37157.9%1.4546%
trainDOWNTREND518-6.8%-0.3522%
trainEXPENSIVE31140.8%1.1459%
trainEXTREME100342.1%4.7982%
trainHIGH VOLATILITY69949.9%1.1541%
trainLOW VOLATILITY74527.8%1.2047%
trainMEDIUM VOLATILITY568-17.8%-0.6336%
trainNORMAL1,601-0.9%-0.0336%
trainSIDEWAYS59218.1%0.6541%
trainUPTREND90242.4%1.0454%
validationDOWNTREND12541.2%1.6419%
validationEXPENSIVE13865.4%1.6543%
validationEXTREME144264.0%3.5174%
validationHIGH VOLATILITY25864.1%1.1237%
validationLOW VOLATILITY18327.3%1.1550%
validationMEDIUM VOLATILITY315118.1%2.7948%
validationNORMAL47424.7%0.7836%
validationSIDEWAYS20618.3%0.5935%
validationUPTREND425117.2%2.1757%

Trades (full period)

latest 100 of 226
EntryExitEntry PxExit PxReturnDays
2026-09-18—$364.27—-2.49%7OPEN
2026-08-242026-09-17$348.95$366.20-1.52%18
2026-07-012026-07-15$425.30$394.46-5.99%10
2026-05-272026-06-02$440.36$423.74-4.27%5
2026-05-222026-05-26$426.01$433.591.75%2
2026-04-162026-05-21$388.90$417.856.24%26
2025-12-042025-12-30$454.53$454.432.68%18
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-05$468.37$462.07-2.89%3
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-072025-10-08$433.09$438.69-4.64%2
2025-09-052025-10-06$350.84$453.2526.72%22
2025-08-252025-09-03$346.60$334.09-3.32%7
2025-08-082025-08-22$329.65$340.01-0.87%11
2025-07-212025-08-01$328.49$302.63-6.67%10
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-04-282025-06-03$285.88$344.2720.02%26
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-062024-12-24$389.22$462.2816.31%13
2024-12-042024-12-05$357.93$369.491.65%2
2024-12-022024-12-03$357.09$351.423.25%2
2024-10-252024-11-29$269.19$345.1627.55%25
2024-10-092024-10-10$241.05$238.77-1.61%2
2024-10-072024-10-08$240.83$244.50-3.90%2
2024-09-042024-10-04$219.41$250.0814.05%23
2024-08-202024-08-30$221.10$214.11-7.57%9
2024-07-232024-07-24$246.38$215.99-2.24%2
2024-06-172024-07-22$187.44$251.5134.11%24
2024-04-302024-05-30$183.28$178.79-9.39%22
2023-12-152024-01-02$253.50$248.42-1.22%11
2023-11-162023-12-14$233.59$251.05-1.66%20
2023-10-062023-10-17$260.53$254.85-2.55%8
2023-08-302023-09-25$256.90$246.99-4.97%18
2023-07-202023-07-21$262.90$260.02-9.93%2
2023-07-182023-07-19$293.34$291.260.82%2
2023-07-142023-07-17$281.38$290.381.05%2
2023-07-122023-07-13$271.99$277.900.61%2
2023-07-102023-07-11$269.61$269.79-1.95%2
2023-07-052023-07-07$282.48$274.43-1.37%3
2023-06-302023-07-03$261.77$279.821.46%2
2023-06-282023-06-29$256.24$257.502.21%2
2023-05-192023-06-27$180.14$250.2136.00%26
2023-03-242023-04-06$190.41$185.06-3.68%10
2023-03-022023-03-03$190.90$197.79-6.05%2
2023-02-282023-03-01$205.71$202.77-1.12%2
2023-02-242023-02-27$196.88$207.63-2.77%2
2023-01-272023-02-23$177.90$202.0725.09%19
2022-09-132022-09-23$292.13$275.33-5.39%9
2022-08-242022-08-25$297.10$296.070.02%2
2022-08-222022-08-23$289.91$296.45-2.47%2
2022-08-152022-08-19$309.32$296.670.75%5
2022-06-272022-08-12$244.92$300.0316.42%34
2022-03-212022-04-11$307.05$325.3113.04%16
2022-01-132022-01-14$343.85$349.87-6.94%2
2021-12-282022-01-12$362.82$368.74-2.90%12
2021-10-122021-11-11$268.57$354.5034.59%23
2021-10-082021-10-11$261.83$263.98-1.22%2
2021-09-272021-10-07$263.79$264.540.88%9
2021-09-232021-09-24$251.21$258.130.03%2
2021-08-312021-09-21$245.24$246.46-0.30%15
2021-08-262021-08-27$233.72$237.31-1.61%2
2021-08-242021-08-25$236.16$237.070.11%2
2021-08-192021-08-20$224.49$226.75-2.45%2
2021-08-022021-08-17$236.56$221.90-0.35%12
2021-07-132021-07-15$222.85$216.87-4.91%3
2021-06-142021-07-12$205.90$228.577.50%20
2021-04-062021-04-29$230.54$225.670.28%18
2021-01-282021-01-29$278.48$264.51-3.52%2
2021-01-262021-01-27$294.36$288.050.06%2
2021-01-052021-01-25$245.04$293.6015.78%14
2020-12-312021-01-04$235.22$243.261.37%2
2020-12-292020-12-30$222.00$231.590.15%2
2020-12-242020-12-28$220.59$221.232.24%2
2020-12-182020-12-23$231.67$215.33-2.56%4
2020-11-182020-12-17$162.21$218.6340.75%21
2020-11-092020-11-11$140.42$139.04-4.75%3
2020-10-142020-10-20$153.77$140.65-3.73%5
2020-10-122020-10-13$147.43$148.881.71%2
2020-10-082020-10-09$141.97$144.67-0.05%2
2020-09-222020-09-23$141.41$126.79-5.79%2
2020-09-182020-09-21$147.38$149.804.22%2
2020-09-162020-09-17$147.25$141.14-1.98%2
2020-08-182020-09-08$125.81$110.0713.72%15
2020-08-142020-08-17$110.05$122.381.63%2
2020-07-302020-07-31$99.17$95.38-0.97%2
2020-07-282020-07-29$98.43$99.94-4.29%2
2020-07-022020-07-27$80.58$102.6426.32%17
2020-06-302020-07-01$71.99$74.646.77%2
2020-06-262020-06-29$63.98$67.29-2.86%2
2020-06-032020-06-25$58.86$65.738.78%17
2020-06-012020-06-02$59.87$58.777.35%2
2020-05-282020-05-29$53.72$55.67-1.96%2
2020-05-262020-05-27$54.59$54.680.04%2
2020-05-212020-05-22$55.17$54.461.27%2
2020-05-192020-05-20$53.87$54.37-0.89%2
2020-05-152020-05-18$53.28$54.24-0.72%2
2020-04-142020-05-14$47.33$53.5621.28%23
2019-12-162020-02-26$25.43$51.92122.76%49