Strategy Zoo / S0974

LongTermTrend_V0974

ARCHIVEDhybrid

structuralreplaced exit rule with: sma_20 < roll_high_50

Fitness
0.2569
Generation
44
Complexity
27
Created
2026-10-01

Lineage

Parents (1)
LongTermTrend_V0531S0531 · gen 24ARCHIVEDstructural

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

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V0974  [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 > -0.1997 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 macd_hist > -2.6055):
    position = 1.0
if long and sma_20 < roll_high_50:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR-4.8%35.4%-5.1%2.2%
Total Return-32.4%148.0%-17.9%37.5%
Sharpe-0.111.01-0.080.21
Sortino-0.101.01-0.080.21
Calmar-0.091.00-0.100.04
Volatility22.3%36.5%25.5%26.6%
Max DD-50.5%-35.5%-50.1%-50.5%
Win Rate47.0%54.6%48.5%49.1%
Avg Win2.1%3.5%2.8%2.6%
Avg Loss-2.0%-2.8%-2.7%-2.3%
Payoff1.081.221.031.12
Expectancy-0.0%0.6%-0.0%0.1%
Profit Factor0.961.470.971.08
Trades457183196837
Avg Holding Days2.02.02.02.0
Turnover114.6122.0105.2113.8
Exposure22.8%24.2%20.9%22.6%

Growth of $100

LongTermTrend_V0974 vs TSLA Buy & Hold
LongTermTrend_V0974 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
20168.0%0.68-12.6%37
2017-2.2%-0.06-12.6%69
2018-5.9%-0.14-17.9%52
20195.0%0.33-20.2%41
2020103.5%1.56-35.5%89
20218.5%0.47-17.1%61
20228.5%0.51-14.2%32

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 testDOWNTREND2757.6%0.4014%
hidden testEXPENSIVE8370.6%1.7730%
hidden testEXTREME4860.0%1.9329%
hidden testHIGH VOLATILITY254-8.9%-0.2622%
hidden testLOW VOLATILITY43420.3%1.0622%
hidden testMEDIUM VOLATILITY251-33.7%-1.3918%
hidden testNORMAL808-13.2%-0.5719%
hidden testSIDEWAYS293-18.6%-0.8622%
hidden testUPTREND3713.9%0.1226%
trainDOWNTREND518-10.4%-0.6810%
trainEXPENSIVE31119.7%0.7335%
trainEXTREME10097.8%2.4746%
trainHIGH VOLATILITY699-1.6%-0.0621%
trainLOW VOLATILITY7451.8%0.1126%
trainMEDIUM VOLATILITY568-9.0%-0.4220%
trainNORMAL1,601-13.0%-0.6719%
trainSIDEWAYS592-1.2%-0.0621%
trainUPTREND9021.4%0.0531%
validationDOWNTREND12529.4%1.426%
validationEXPENSIVE13817.8%0.4127%
validationEXTREME144159.7%2.5943%
validationHIGH VOLATILITY25811.3%0.2221%
validationLOW VOLATILITY1833.7%0.2328%
validationMEDIUM VOLATILITY31577.4%2.4824%
validationNORMAL4745.3%0.2618%
validationSIDEWAYS20617.1%0.9917%
validationUPTREND42548.8%1.0633%

Trades (full period)

latest 100 of 837
EntryExitEntry PxExit PxReturnDays
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
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
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-05-292026-06-01$435.79$415.88-1.63%2
2026-05-272026-05-28$440.36$442.101.36%2
2026-05-222026-05-26$426.01$433.591.75%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-072025-10-08$433.09$438.69-4.64%2
2025-10-032025-10-06$429.83$453.25-1.61%2
2025-10-012025-10-02$459.46$436.003.11%2
2025-09-292025-09-30$443.21$444.720.44%2
2025-09-252025-09-26$423.39$440.40-4.58%2
2025-09-232025-09-24$425.85$442.79-2.12%2
2025-09-192025-09-22$426.07$434.212.01%2
2025-09-172025-09-18$425.86$416.850.80%2
2025-09-152025-09-16$410.04$421.623.36%2
2025-09-112025-09-12$368.81$395.945.84%2
2025-09-092025-09-10$346.97$347.79-0.04%2
2025-09-052025-09-08$350.84$346.403.43%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-05-142025-05-15$347.68$342.823.87%2
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
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2
2024-11-082024-11-11$321.22$350.007.98%2
2024-11-062024-11-07$288.53$296.9114.54%2
2024-11-042024-11-05$242.84$251.44-2.66%2
2024-10-312024-11-01$249.85$248.98-3.19%2
2024-10-292024-10-30$259.52$257.55-1.34%2
2024-10-252024-10-28$269.19$262.513.14%2
2024-10-092024-10-10$241.05$238.77-1.61%2