Strategy Zoo / S0981

LongTermTrend_V0981

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V0663 OR PriceMomentum_V0971

Fitness

0.6136

Generation

Complexity

Created

2026-10-01

Lineage

Parents (2)

LongTermTrend_V0663S0663 · gen 30ARCHIVEDcrossover

swapped indicator macd_hist -> rsi_14

PriceMomentum_V0971S0971 · gen 44ARCHIVEDcrossover

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0981  [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 rsi_14 > 34.4934) or ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.0%	130.3%	0.8%	31.4%
Total Return	327.7%	1120.7%	3.0%	5437.7%
Sharpe	0.64	1.78	0.26	0.82
Sortino	0.88	2.21	0.37	1.10
Calmar	0.29	3.53	0.01	0.46
Volatility	42.0%	55.5%	48.7%	46.8%
Max DD	-68.3%	-36.9%	-65.3%	-68.3%
Win Rate	42.1%	62.5%	41.7%	46.2%
Avg Win	70.7%	87.0%	27.2%	71.1%
Avg Loss	-14.7%	-8.8%	-15.2%	-14.1%
Payoff	4.79	9.84	1.79	5.06
Expectancy	21.2%	51.0%	2.5%	25.3%
Profit Factor	3.49	10.00	1.28	4.34
Trades	19	8	12	39
Avg Holding Days	81.5	66.4	61.3	74.2
Turnover	4.9	5.3	6.7	5.4
Exposure	79.9%	69.2%	80.0%	77.8%

Growth of $100

LongTermTrend_V0981 vs TSLA Buy & Hold

LongTermTrend_V0981 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	-9.8%	-0.19	-34.6%	2
2017	18.9%	0.69	-32.7%	2
2018	-16.0%	-0.15	-43.9%	3
2019	14.3%	0.52	-39.0%	3
2020	842.7%	3.35	-33.7%	2
2021	45.8%	1.11	-26.1%	3
2022	-25.3%	-0.59	-30.2%	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	-10.9%	-0.24	55%
hidden test	EXPENSIVE	83	65.5%	1.15	89%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	54.9%	0.86	72%
hidden test	LOW VOLATILITY	434	22.8%	0.62	83%
hidden test	MEDIUM VOLATILITY	251	-47.9%	-0.97	83%
hidden test	NORMAL	808	-3.1%	-0.07	78%
hidden test	SIDEWAYS	293	-34.2%	-0.75	88%
hidden test	UPTREND	371	66.9%	1.26	92%
train	DOWNTREND	518	-21.7%	-0.63	67%
train	EXPENSIVE	311	86.2%	1.95	86%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	44.2%	0.83	73%
train	LOW VOLATILITY	745	36.6%	1.17	88%
train	MEDIUM VOLATILITY	568	-7.0%	-0.18	78%
train	NORMAL	1,601	-8.9%	-0.23	77%
train	SIDEWAYS	592	-10.4%	-0.26	74%
train	UPTREND	902	79.3%	1.69	91%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	130.6%	1.84	57%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	97.7%	1.90	69%
validation	NORMAL	474	14.5%	0.37	57%
validation	SIDEWAYS	206	-15.3%	-0.36	63%
validation	UPTREND	425	168.9%	2.55	86%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	2.14%	28	OPEN
2026-04-16	2026-07-27	$388.90	$309.22	-20.30%	70
2025-04-08	2026-04-10	$221.86	$348.95	47.85%	253
2024-10-25	2025-02-12	$269.19	$336.51	25.87%	74
2024-08-20	2024-10-24	$221.10	$260.48	-4.26%	47
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2024-04-15	2024-04-23	$161.48	$144.68	-17.13%	7
2024-02-26	2024-03-18	$199.40	$173.80	-14.96%	16
2023-11-16	2024-01-19	$233.59	$212.19	-12.93%	43
2023-08-30	2023-10-27	$256.90	$207.30	-20.15%	42
2023-05-19	2023-08-15	$180.14	$232.96	35.27%	60
2023-03-24	2023-04-26	$190.41	$153.75	-16.58%	23
2023-01-25	2023-03-13	$144.43	$174.48	20.30%	33
2022-06-22	2022-10-06	$236.09	$238.13	1.39%	75
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-01-26	$362.82	$312.47	-16.21%	21
2021-06-14	2021-12-06	$205.90	$336.34	66.09%	123
2021-04-05	2021-05-12	$230.35	$196.63	-6.91%	28
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
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-06-18	2019-08-22	$14.98	$14.81	-2.06%	47
2019-01-11	2019-04-29	$23.15	$16.10	-31.97%	74
2018-10-04	2019-01-04	$18.79	$21.18	1.68%	63
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-04-27	2018-07-30	$19.61	$19.34	3.89%	65
2017-12-12	2018-03-28	$22.74	$17.19	-15.29%	73
2017-07-25	2017-11-03	$22.64	$20.41	-12.81%	73
2016-06-08	2017-07-10	$15.70	$21.07	34.54%	274
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-27	$15.02	$12.54	-16.87%	54
2015-09-16	2015-10-15	$17.48	$14.75	-14.64%	22
2015-02-04	2015-08-26	$14.57	$14.99	0.56%	142
2014-11-11	2014-12-11	$16.74	$13.93	-13.43%	22
2014-05-28	2014-10-13	$14.02	$14.97	11.76%	97
2013-12-13	2014-03-27	$9.84	$13.82	44.12%	71
2012-11-02	2013-10-29	$1.93	$10.96	455.67%	249
2012-08-14	2012-10-16	$1.96	$1.87	-12.50%	45
2012-06-19	2012-08-03	$2.14	$1.82	-18.19%	33
2012-01-31	2012-05-21	$1.94	$1.92	-6.99%	78