Strategy Zoo / S0949

LongTermTrend_V0949

ARCHIVEDhybrid

structuralswapped indicator ret_20d -> ret_60d

Fitness
0.6399
Generation
43
Complexity
30
Created
2026-09-30

Lineage

Parents (1)
LongTermTrend_V0913S0913 · gen 42ARCHIVEDstructural

entry = LongTermTrend_V0733 OR PriceMomentum_V0817

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V0949  [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 > -0.0248 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) or (ret_20d > 0.05 and breakout_50 == 1)):
    position = 1.0
if long and (ret_20d < -0.0017 or ret_60d < -0.0428):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR22.7%114.9%13.5%35.2%
Total Return413.6%892.2%60.1%8301.8%
Sharpe0.781.800.530.98
Sortino0.831.980.541.05
Calmar0.422.960.330.64
Volatility33.4%49.3%36.0%37.8%
Max DD-54.7%-38.8%-41.2%-54.7%
Win Rate42.4%43.8%41.6%42.4%
Avg Win7.8%19.2%6.7%10.9%
Avg Loss-2.9%-3.1%-3.1%-3.0%
Payoff2.666.192.183.61
Expectancy1.6%6.7%1.0%2.9%
Profit Factor1.964.811.552.66
Trades1324877257
Avg Holding Days7.49.16.07.5
Turnover33.232.041.435.0
Exposure44.9%51.2%41.3%45.3%

Growth of $100

LongTermTrend_V0949 vs TSLA Buy & Hold
LongTermTrend_V0949 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
201612.4%0.78-16.7%14
20170.6%0.16-28.9%19
2018-19.6%-0.61-30.7%18
201946.2%1.24-21.4%12
2020660.9%3.18-33.7%10
202172.5%1.73-17.6%18
2022-27.6%-1.11-32.6%20

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 testDOWNTREND2748.9%0.4716%
hidden testEXPENSIVE8386.9%1.6575%
hidden testEXTREME48183.9%3.2767%
hidden testHIGH VOLATILITY25420.4%0.4245%
hidden testLOW VOLATILITY43457.1%2.2438%
hidden testMEDIUM VOLATILITY250-48.1%-1.3242%
hidden testNORMAL8072.4%0.0736%
hidden testSIDEWAYS293-33.1%-0.9546%
hidden testUPTREND37168.0%1.5056%
trainDOWNTREND518-5.4%-0.3214%
trainEXPENSIVE31156.1%1.4573%
trainEXTREME100403.3%5.4797%
trainHIGH VOLATILITY69947.5%1.0939%
trainLOW VOLATILITY74536.6%1.5654%
trainMEDIUM VOLATILITY568-14.4%-0.4840%
trainNORMAL1,601-3.4%-0.1336%
trainSIDEWAYS592-2.0%-0.0834%
trainUPTREND90262.4%1.4470%
validationDOWNTREND12529.4%1.426%
validationEXPENSIVE13886.9%1.5660%
validationEXTREME144358.5%4.3891%
validationHIGH VOLATILITY25896.0%1.4448%
validationLOW VOLATILITY18338.9%1.5558%
validationMEDIUM VOLATILITY315111.6%2.6250%
validationNORMAL4747.2%0.2536%
validationSIDEWAYS206-14.7%-0.6231%
validationUPTREND425156.2%2.5174%

Trades (full period)

latest 100 of 257
EntryExitEntry PxExit PxReturnDays
2026-09-252026-09-28$372.11$357.45-1.74%2
2026-09-182026-09-24$364.27$377.943.59%5
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-032026-09-04$376.37$354.085.22%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-08-282026-08-31$348.75$367.95-1.91%2
2026-08-262026-08-27$345.82$354.81-1.46%2
2026-08-242026-08-25$348.95$350.25-4.03%2
2026-07-072026-07-09$402.90$406.55-6.32%3
2026-07-012026-07-06$425.30$419.77-6.64%3
2026-05-072026-06-08$411.79$408.95-2.13%22
2026-05-042026-05-06$392.51$398.73-0.57%3
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-082026-01-05$439.58$451.67-3.92%19
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-032025-11-13$468.37$401.99-5.87%9
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-08-252025-10-23$346.60$448.9828.85%43
2025-08-212025-08-22$320.11$340.01-1.37%2
2025-08-082025-08-20$329.65$323.901.98%9
2025-07-292025-08-01$321.20$302.63-5.51%4
2025-07-242025-07-25$305.30$316.06-8.39%2
2025-07-212025-07-23$328.49$332.560.54%3
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-05-192025-06-12$342.09$319.11-6.92%18
2025-05-142025-05-16$347.68$349.982.42%3
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-11-052025-01-13$251.44$403.3162.23%46
2024-10-252024-11-04$269.19$242.84-4.60%7
2024-09-062024-10-03$210.73$240.667.96%20
2024-08-262024-08-27$213.21$209.21-3.42%2
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-06-242024-08-02$182.58$207.6718.26%29
2024-06-172024-06-21$187.44$183.011.80%4
2024-05-292024-05-30$176.19$178.79-0.52%2
2024-05-242024-05-28$179.24$176.752.96%2
2024-05-222024-05-23$180.11$173.74-3.67%2
2024-05-202024-05-21$174.95$186.60-1.61%2
2024-05-162024-05-17$174.84$177.460.29%2
2024-05-142024-05-15$177.55$173.993.09%2
2024-05-092024-05-10$171.97$168.47-1.77%2
2024-04-302024-05-08$183.28$174.72-8.56%7
2023-12-152024-01-02$253.50$248.42-1.22%11
2023-12-132023-12-14$239.29$251.050.76%2
2023-12-112023-12-12$239.74$237.01-1.88%2
2023-12-072023-12-08$242.64$243.841.16%2
2023-12-052023-12-06$238.72$239.371.13%2
2023-12-012023-12-04$238.83$235.58-0.72%2
2023-11-292023-11-30$244.14$240.08-1.24%2
2023-11-272023-11-28$236.08$246.720.07%2
2023-11-162023-11-24$233.59$235.45-3.75%6
2023-10-162023-10-17$253.92$254.850.91%2
2023-10-122023-10-13$258.87$251.12-1.76%2
2023-10-102023-10-11$263.62$262.991.32%2
2023-10-062023-10-09$260.53$259.67-0.02%2
2023-09-062023-09-25$251.92$246.99-4.72%14
2023-08-302023-09-01$256.90$245.010.15%3
2023-07-272023-07-28$255.71$266.44-3.46%2
2023-05-302023-07-24$201.16$269.0634.34%38
2023-05-252023-05-26$184.47$193.170.66%2
2023-05-222023-05-24$188.87$182.902.92%3
2023-03-302023-04-13$195.28$185.90-7.07%10
2023-03-282023-03-29$189.19$193.88-1.56%2
2023-03-242023-03-27$190.41$191.81-1.14%2
2023-02-062023-03-08$194.76$182.00-1.39%22
2023-02-022023-02-03$188.27$189.983.58%2
2023-01-312023-02-01$173.22$181.413.73%2
2023-01-272023-01-30$177.90$166.6610.79%2
2022-09-152022-09-23$303.75$275.33-4.82%7
2022-09-132022-09-14$292.13$302.61-4.23%2
2022-08-032022-08-29$307.40$284.82-4.35%19
2022-07-292022-08-02$297.15$300.595.62%3
2022-07-272022-07-28$274.82$280.905.96%2
2022-07-252022-07-26$268.43$258.86-1.60%2
2022-07-212022-07-22$271.71$272.249.57%2
2022-07-192022-07-20$245.53$247.501.87%2
2022-07-142022-07-15$238.31$240.070.34%2
2022-07-112022-07-12$234.34$233.07-6.74%2
2022-06-272022-06-28$244.92$232.66-0.52%2
2022-04-142022-04-21$328.33$336.26-4.61%5
2022-04-122022-04-13$328.98$340.790.93%2
2022-04-012022-04-11$361.53$325.31-5.03%7
2022-03-292022-03-31$366.52$359.20-0.00%3
2022-03-252022-03-28$336.88$363.95-0.52%2
2022-03-232022-03-24$333.04$337.970.32%2
2022-03-212022-03-22$307.05$331.331.54%2
2022-01-122022-01-24$368.74$310.00-11.49%8
2022-01-042022-01-07$383.20$342.32-11.44%4
2021-12-302021-12-31$356.78$352.26-1.66%2
2021-12-282021-12-29$362.82$362.06-0.70%2
2021-08-022021-12-01$236.56$365.0066.26%86