Strategy Zoo / S0934
LongTermTrend_V0934
ARCHIVEDhybridstructuraladded entry filter: dist_sma_200 < 0.0761
Fitness
0.2790
Generation
42
Complexity
28
Created
2026-09-30
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4599
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0934 [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 and dist_sma_200 < 0.0761):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.3% | 6.9% | 30.1% | 12.6% |
| Total Return | 74.9% | 22.2% | 166.3% | 469.2% |
| Sharpe | 0.45 | 0.48 | 1.10 | 0.66 |
| Sortino | 0.30 | 0.30 | 0.98 | 0.47 |
| Calmar | 0.27 | 0.38 | 1.36 | 0.46 |
| Volatility | 19.7% | 16.9% | 27.3% | 21.4% |
| Max DD | -27.2% | -18.4% | -22.2% | -27.2% |
| Win Rate | 44.1% | 46.2% | 42.9% | 44.1% |
| Avg Win | 12.0% | 6.3% | 18.5% | 12.8% |
| Avg Loss | -5.4% | -2.2% | -4.0% | -4.4% |
| Payoff | 2.22 | 2.90 | 4.59 | 2.92 |
| Expectancy | 2.3% | 1.7% | 5.6% | 3.2% |
| Profit Factor | 1.75 | 2.48 | 3.45 | 2.31 |
| Trades | 34 | 13 | 21 | 68 |
| Avg Holding Days | 13.1 | 9.2 | 14.0 | 12.7 |
| Turnover | 8.5 | 8.7 | 11.3 | 9.2 |
| Exposure | 20.5% | 14.2% | 29.1% | 21.4% |
Growth of $100
LongTermTrend_V0934 vs TSLA Buy & Hold
LongTermTrend_V0934 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 | 26.5% | 1.47 | -12.2% | 5 |
| 2017 | 10.4% | 1.10 | -7.7% | 2 |
| 2018 | 6.6% | 0.37 | -22.4% | 9 |
| 2019 | 16.4% | 0.65 | -22.7% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -0.1% | 0.06 | -11.5% | 7 |
| 2022 | 22.5% | 0.90 | -18.4% | 6 |
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 | 274 | 18.0% | 0.70 | 30% |
| hidden test | EXPENSIVE | 83 | 75.4% | 2.69 | 29% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 23.7% | 0.72 | 28% |
| hidden test | LOW VOLATILITY | 434 | 55.4% | 2.42 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.7% | -0.28 | 29% |
| hidden test | NORMAL | 807 | 27.1% | 0.97 | 31% |
| hidden test | SIDEWAYS | 293 | 7.2% | 0.25 | 37% |
| hidden test | UPTREND | 371 | 57.0% | 2.09 | 22% |
| train | DOWNTREND | 518 | -6.8% | -0.35 | 22% |
| train | EXPENSIVE | 311 | 1.2% | 0.57 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 14.1% | 0.59 | 17% |
| train | LOW VOLATILITY | 745 | 19.1% | 1.31 | 23% |
| train | MEDIUM VOLATILITY | 568 | -10.8% | -0.54 | 20% |
| train | NORMAL | 1,601 | 11.0% | 0.50 | 26% |
| train | SIDEWAYS | 592 | 10.6% | 0.41 | 32% |
| train | UPTREND | 902 | 16.9% | 1.13 | 12% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -14.5% | -1.68 | 3% |
| validation | LOW VOLATILITY | 183 | -9.2% | -0.51 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 36.6% | 1.76 | 14% |
| validation | NORMAL | 474 | 12.9% | 0.61 | 23% |
| validation | SIDEWAYS | 206 | 15.0% | 0.73 | 21% |
| validation | UPTREND | 425 | -5.0% | -0.48 | 9% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 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 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 26.72% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-09-04 | 2024-10-04 | $219.41 | $250.08 | 14.05% | 23 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 2.24% | 19 | |
| 2023-05-19 | 2023-06-27 | $180.14 | $250.21 | 36.00% | 26 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 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 | |
| 2022-06-27 | 2022-08-12 | $244.92 | $300.03 | 16.42% | 34 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-09-03 | 2021-09-21 | $244.52 | $246.46 | -0.50% | 12 | |
| 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 | |
| 2021-07-14 | 2021-07-15 | $217.79 | $216.87 | -2.47% | 2 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 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 | |
| 2019-06-19 | 2019-07-26 | $15.10 | $15.20 | 1.61% | 27 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -10.98% | 3 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-16 | 2018-08-20 | $22.36 | $20.56 | -9.98% | 3 | |
| 2018-07-02 | 2018-07-03 | $22.34 | $20.72 | -2.50% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 13.92% | 19 | |
| 2018-04-30 | 2018-05-17 | $19.59 | $18.97 | -2.78% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 25.53% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 | |
| 2015-12-17 | 2016-01-06 | $15.56 | $14.60 | -4.92% | 13 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -5.68% | 12 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-11-11 | 2014-12-01 | $16.74 | $15.44 | 0.87% | 14 | |
| 2012-11-02 | 2012-12-14 | $1.93 | $2.25 | 14.68% | 30 | |
| 2012-09-17 | 2012-09-26 | $2.17 | $1.84 | -9.16% | 8 | |
| 2012-08-14 | 2012-08-29 | $1.96 | $1.89 | -8.15% | 12 | |
| 2012-07-12 | 2012-07-23 | $2.18 | $2.04 | 0.69% | 8 | |
| 2012-07-06 | 2012-07-09 | $2.07 | $2.10 | -0.97% | 2 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-01-31 | 2012-02-29 | $1.94 | $2.23 | 14.11% | 21 |