Strategy Zoo / S0977
LongTermTrend_V0977
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1314
Fitness
0.6899
Generation
44
Complexity
11
Created
2026-10-01
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0977 [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 > -0.4102) and ret_20d > 0.1314):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.5% | 120.0% | 15.9% | 40.6% |
| Total Return | 689.0% | 964.2% | 73.1% | 14866.3% |
| Sharpe | 0.92 | 1.75 | 0.59 | 1.06 |
| Sortino | 1.04 | 2.03 | 0.59 | 1.16 |
| Calmar | 0.58 | 3.00 | 0.44 | 0.80 |
| Volatility | 34.7% | 53.1% | 36.2% | 39.5% |
| Max DD | -50.7% | -40.0% | -36.3% | -50.7% |
| Win Rate | 52.9% | 62.5% | 45.5% | 52.8% |
| Avg Win | 46.9% | 87.8% | 22.4% | 58.1% |
| Avg Loss | -12.4% | -14.6% | -6.1% | -10.5% |
| Payoff | 3.79 | 6.01 | 3.66 | 5.51 |
| Expectancy | 19.0% | 49.4% | 6.8% | 25.7% |
| Profit Factor | 4.27 | 10.00 | 3.05 | 6.16 |
| Trades | 17 | 8 | 11 | 36 |
| Avg Holding Days | 58.7 | 57.9 | 37.4 | 54.1 |
| Turnover | 4.4 | 5.3 | 6.2 | 5.0 |
| Exposure | 52.5% | 60.2% | 45.5% | 52.3% |
Growth of $100
LongTermTrend_V0977 vs TSLA Buy & Hold
LongTermTrend_V0977 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 | 1.8% | 0.19 | -25.0% | 2 |
| 2017 | 18.9% | 0.71 | -32.7% | 2 |
| 2018 | -13.3% | -0.28 | -38.9% | 2 |
| 2019 | 70.1% | 1.74 | -24.7% | 1 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 41.7% | 1.07 | -30.4% | 3 |
| 2022 | -23.8% | -0.75 | -31.9% | 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 | 275 | 21.7% | 1.17 | 17% |
| hidden test | EXPENSIVE | 83 | 64.6% | 1.41 | 73% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 46.6% | 1.02 | 43% |
| hidden test | LOW VOLATILITY | 434 | 38.2% | 1.39 | 45% |
| hidden test | MEDIUM VOLATILITY | 251 | -33.4% | -0.87 | 49% |
| hidden test | NORMAL | 808 | 5.6% | 0.17 | 41% |
| hidden test | SIDEWAYS | 293 | -8.9% | -0.26 | 47% |
| hidden test | UPTREND | 371 | 44.9% | 0.97 | 65% |
| train | DOWNTREND | 518 | 7.6% | 0.46 | 16% |
| train | EXPENSIVE | 311 | 82.1% | 1.91 | 81% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 57.6% | 1.30 | 45% |
| train | LOW VOLATILITY | 745 | 28.7% | 1.11 | 60% |
| train | MEDIUM VOLATILITY | 568 | 4.1% | 0.13 | 51% |
| train | NORMAL | 1,601 | -2.0% | -0.07 | 44% |
| train | SIDEWAYS | 592 | -6.1% | -0.21 | 36% |
| train | UPTREND | 902 | 70.5% | 1.59 | 84% |
| validation | DOWNTREND | 125 | 40.1% | 2.07 | 6% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 123.8% | 1.80 | 52% |
| validation | LOW VOLATILITY | 183 | 36.4% | 1.27 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 100.5% | 2.05 | 62% |
| validation | NORMAL | 474 | 5.1% | 0.15 | 43% |
| validation | SIDEWAYS | 206 | -17.2% | -0.48 | 46% |
| validation | UPTREND | 425 | 161.9% | 2.49 | 83% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.86% | 27 | OPEN |
| 2026-05-07 | 2026-06-10 | $411.79 | $381.59 | -0.71% | 24 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.38% | 50 | |
| 2025-05-06 | 2025-07-02 | $275.35 | $315.65 | 7.08% | 40 | |
| 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 | |
| 2024-05-17 | 2024-08-02 | $177.46 | $207.67 | 23.79% | 53 | |
| 2023-11-27 | 2024-01-17 | $236.08 | $215.55 | -6.79% | 35 | |
| 2023-09-14 | 2023-10-20 | $276.04 | $211.99 | -19.03% | 27 | |
| 2023-05-23 | 2023-08-03 | $185.77 | $259.32 | 34.27% | 50 | |
| 2023-01-31 | 2023-03-10 | $173.22 | $173.44 | 3.55% | 28 | |
| 2022-07-20 | 2022-09-01 | $247.50 | $277.16 | 12.03% | 32 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-07-02 | 2021-12-03 | $226.30 | $338.32 | 59.67% | 108 | |
| 2021-04-06 | 2021-05-11 | $230.54 | $205.73 | -9.16% | 26 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-16 | 2020-03-05 | $16.19 | $48.30 | 205.05% | 119 | |
| 2019-06-21 | 2019-08-15 | $14.79 | $14.38 | -0.20% | 39 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-08 | 2018-08-31 | $24.69 | $20.11 | -20.30% | 18 | |
| 2018-05-01 | 2018-07-16 | $19.99 | $20.67 | 8.28% | 53 | |
| 2017-08-07 | 2017-11-03 | $23.68 | $20.41 | -16.32% | 64 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-25 | 2016-09-02 | $15.33 | $13.19 | -9.85% | 30 | |
| 2016-03-07 | 2016-05-05 | $13.69 | $14.10 | 10.49% | 43 | |
| 2015-09-22 | 2015-10-12 | $17.40 | $14.37 | -16.64% | 15 | |
| 2015-04-27 | 2015-08-12 | $15.44 | $15.88 | 8.46% | 76 | |
| 2014-11-17 | 2014-12-09 | $16.93 | $14.46 | -17.30% | 16 | |
| 2014-06-09 | 2014-10-01 | $13.69 | $16.02 | 16.34% | 81 | |
| 2013-12-18 | 2014-03-26 | $9.87 | $14.20 | 44.30% | 67 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2012-11-14 | 2013-03-20 | $2.09 | $2.40 | 10.75% | 86 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-06 | 2012-04-25 | $2.12 | $2.19 | 1.95% | 56 |