Strategy Zoo / S0997
LongTermTrend_V0997
ARCHIVEDhybridparameterchanged sma_200_slope threshold 0.0 -> -0.0017
Fitness
0.6664
Generation
45
Complexity
11
Created
2026-10-01
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0557
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0997 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0017) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.6% | 117.5% | 17.0% | 38.9% |
| Total Return | 558.3% | 928.8% | 79.4% | 12406.3% |
| Sharpe | 0.82 | 1.70 | 0.61 | 1.00 |
| Sortino | 0.99 | 2.04 | 0.64 | 1.16 |
| Calmar | 0.48 | 2.67 | 0.39 | 0.71 |
| Volatility | 37.0% | 54.2% | 36.6% | 41.0% |
| Max DD | -54.9% | -44.1% | -43.4% | -54.9% |
| Win Rate | 42.9% | 50.0% | 54.5% | 47.6% |
| Avg Win | 56.1% | 91.8% | 19.6% | 60.6% |
| Avg Loss | -12.2% | -11.6% | -7.6% | -11.0% |
| Payoff | 4.58 | 7.92 | 2.57 | 5.48 |
| Expectancy | 17.0% | 40.1% | 7.2% | 23.1% |
| Profit Factor | 3.43 | 7.92 | 3.08 | 4.99 |
| Trades | 21 | 10 | 11 | 42 |
| Avg Holding Days | 55.6 | 49.7 | 40.9 | 52.2 |
| Turnover | 5.4 | 6.7 | 6.2 | 5.8 |
| Exposure | 60.8% | 64.4% | 49.6% | 58.7% |
Growth of $100
LongTermTrend_V0997 vs TSLA Buy & Hold
LongTermTrend_V0997 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 | -20.6% | -0.87 | -37.8% | 4 |
| 2017 | 15.7% | 0.61 | -34.5% | 2 |
| 2018 | -6.7% | 0.01 | -33.7% | 3 |
| 2019 | 47.0% | 1.34 | -24.9% | 1 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 64.5% | 1.42 | -24.7% | 3 |
| 2022 | -36.6% | -1.14 | -36.5% | 5 |
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 | -14.8% | -0.67 | 27% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 8.9% | 0.20 | 44% |
| hidden test | LOW VOLATILITY | 434 | 53.9% | 1.82 | 53% |
| hidden test | MEDIUM VOLATILITY | 251 | -18.4% | -0.49 | 49% |
| hidden test | NORMAL | 808 | 4.6% | 0.14 | 46% |
| hidden test | SIDEWAYS | 293 | 8.2% | 0.26 | 49% |
| hidden test | UPTREND | 371 | 61.2% | 1.30 | 67% |
| train | DOWNTREND | 518 | -1.7% | -0.09 | 22% |
| train | EXPENSIVE | 311 | 87.1% | 2.02 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 65.8% | 1.38 | 53% |
| train | LOW VOLATILITY | 745 | 28.5% | 1.08 | 66% |
| train | MEDIUM VOLATILITY | 568 | -10.9% | -0.32 | 63% |
| train | NORMAL | 1,601 | -4.8% | -0.15 | 54% |
| train | SIDEWAYS | 592 | -15.8% | -0.47 | 56% |
| train | UPTREND | 902 | 79.0% | 1.73 | 86% |
| validation | DOWNTREND | 125 | 37.6% | 1.70 | 12% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 125.0% | 1.80 | 55% |
| validation | LOW VOLATILITY | 183 | 42.2% | 1.34 | 80% |
| validation | MEDIUM VOLATILITY | 315 | 95.0% | 1.88 | 63% |
| validation | NORMAL | 474 | 4.3% | 0.12 | 50% |
| validation | SIDEWAYS | 206 | -14.2% | -0.35 | 57% |
| validation | UPTREND | 425 | 160.3% | 2.46 | 83% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.86% | 27 | OPEN |
| 2026-04-20 | 2026-06-10 | $392.50 | $381.59 | -1.18% | 37 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-08-11 | 2025-11-21 | $339.03 | $391.09 | 19.66% | 74 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-04 | 2024-10-22 | $219.41 | $217.97 | 3.71% | 35 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2023-11-17 | 2024-01-17 | $234.30 | $215.55 | -6.04% | 40 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-24 | 2023-08-03 | $182.90 | $259.32 | 36.51% | 49 | |
| 2022-09-21 | 2022-10-04 | $300.80 | $249.44 | -21.64% | 10 | |
| 2022-07-19 | 2022-09-01 | $245.53 | $277.16 | 14.35% | 33 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-06-14 | 2021-12-03 | $205.90 | $338.32 | 77.48% | 122 | |
| 2021-04-05 | 2021-05-11 | $230.35 | $205.73 | -5.13% | 27 | |
| 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 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-07-16 | 2019-08-15 | $16.83 | $14.38 | -13.54% | 23 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-04-27 | 2018-07-16 | $19.61 | $20.67 | 11.48% | 55 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-19 | 2016-09-02 | $15.02 | $13.19 | -11.44% | 34 | |
| 2016-06-08 | 2016-06-24 | $15.70 | $12.88 | -15.64% | 13 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-12-01 | 2016-01-19 | $15.81 | $13.65 | -11.15% | 33 | |
| 2015-09-21 | 2015-10-12 | $17.61 | $14.37 | -15.49% | 16 | |
| 2015-04-13 | 2015-08-12 | $13.99 | $15.88 | 12.33% | 86 | |
| 2014-11-11 | 2014-12-09 | $16.74 | $14.46 | -11.57% | 20 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-26 | $9.84 | $14.20 | 49.18% | 70 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2012-11-06 | 2013-03-20 | $2.08 | $2.40 | 11.14% | 92 | |
| 2012-09-18 | 2012-10-16 | $2.09 | $1.87 | -16.18% | 21 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |