Strategy Zoo / S0999
LongTermTrend_V0999
ARCHIVEDhybridstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.6080
Generation
45
Complexity
29
Created
2026-10-01
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4599
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0999 [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 > -0.4599 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 and rel_volume > 1.1075):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.5% | 54.2% | 37.2% | 33.0% |
| Total Return | 439.2% | 266.4% | 225.0% | 6510.6% |
| Sharpe | 0.92 | 1.44 | 1.28 | 1.14 |
| Sortino | 0.90 | 1.29 | 1.30 | 1.09 |
| Calmar | 0.71 | 2.57 | 1.43 | 0.99 |
| Volatility | 26.7% | 34.1% | 27.6% | 28.6% |
| Max DD | -33.2% | -21.0% | -26.0% | -33.2% |
| Win Rate | 43.3% | 55.0% | 47.6% | 46.5% |
| Avg Win | 14.5% | 16.6% | 17.8% | 16.1% |
| Avg Loss | -3.9% | -2.9% | -3.7% | -3.7% |
| Payoff | 3.69 | 5.80 | 4.86 | 4.37 |
| Expectancy | 4.1% | 7.8% | 6.6% | 5.5% |
| Profit Factor | 2.82 | 7.09 | 4.42 | 3.80 |
| Trades | 60 | 20 | 21 | 101 |
| Avg Holding Days | 11.2 | 13.9 | 15.8 | 12.8 |
| Turnover | 16.3 | 12.5 | 12.9 | 14.6 |
| Exposure | 26.9% | 25.6% | 28.2% | 27.0% |
Growth of $100
LongTermTrend_V0999 vs TSLA Buy & Hold
LongTermTrend_V0999 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 | 3.9% | 0.46 | -9.9% | 4 |
| 2017 | 8.1% | 0.52 | -14.4% | 9 |
| 2018 | -2.1% | 0.04 | -23.3% | 8 |
| 2019 | 21.5% | 0.80 | -22.1% | 5 |
| 2020 | 207.6% | 2.37 | -21.0% | 9 |
| 2021 | 25.9% | 1.23 | -7.0% | 7 |
| 2022 | -5.8% | -0.38 | -14.5% | 4 |
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 | 17.7% | 0.72 | 25% |
| hidden test | EXPENSIVE | 83 | 108.3% | 2.50 | 44% |
| hidden test | EXTREME | 48 | 96.9% | 2.42 | 25% |
| hidden test | HIGH VOLATILITY | 254 | 58.8% | 1.62 | 34% |
| hidden test | LOW VOLATILITY | 434 | 48.6% | 2.01 | 32% |
| hidden test | MEDIUM VOLATILITY | 251 | -11.1% | -0.49 | 16% |
| hidden test | NORMAL | 808 | 24.3% | 0.99 | 27% |
| hidden test | SIDEWAYS | 293 | 15.1% | 0.62 | 32% |
| hidden test | UPTREND | 371 | 64.6% | 2.03 | 27% |
| train | DOWNTREND | 518 | -5.6% | -0.53 | 8% |
| train | EXPENSIVE | 311 | 27.7% | 1.05 | 43% |
| train | EXTREME | 100 | 282.7% | 4.22 | 60% |
| train | HIGH VOLATILITY | 699 | 45.2% | 1.23 | 27% |
| train | LOW VOLATILITY | 745 | 33.9% | 1.69 | 37% |
| train | MEDIUM VOLATILITY | 568 | -13.0% | -0.72 | 13% |
| train | NORMAL | 1,601 | 7.8% | 0.36 | 22% |
| train | SIDEWAYS | 592 | 8.0% | 0.34 | 25% |
| train | UPTREND | 902 | 52.8% | 1.55 | 39% |
| validation | DOWNTREND | 125 | 7.7% | 1.38 | 2% |
| validation | EXPENSIVE | 138 | 48.3% | 2.29 | 15% |
| validation | EXTREME | 144 | 173.5% | 2.56 | 58% |
| validation | HIGH VOLATILITY | 258 | 60.6% | 1.20 | 29% |
| validation | LOW VOLATILITY | 183 | 39.0% | 1.88 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 45.3% | 2.13 | 16% |
| validation | NORMAL | 474 | 11.4% | 0.65 | 19% |
| validation | SIDEWAYS | 206 | 6.6% | 0.32 | 18% |
| validation | UPTREND | 425 | 81.7% | 1.90 | 36% |
Trades (full period)
latest 100 of 101
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | 2026-09-29 | $375.30 | $352.84 | -4.31% | 7 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -2.14% | 18 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 8.92% | 26 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 19.90% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -2.28% | 4 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 18.92% | 26 | |
| 2024-12-11 | 2024-12-24 | $424.77 | $462.28 | 4.64% | 10 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-05 | 2024-10-04 | $230.17 | $250.08 | 7.88% | 22 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 30.94% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | 0.64% | 20 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -2.17% | 18 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.14% | 4 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-14 | 2022-09-23 | $302.61 | $275.33 | -1.41% | 8 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 2.34% | 16 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 5.42% | 16 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.72% | 22 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -3.74% | 12 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -1.54% | 10 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.96% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 15.59% | 21 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 2.21% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 22.65% | 18 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 12.29% | 18 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 86.23% | 48 | |
| 2019-10-14 | 2019-11-21 | $17.13 | $23.66 | 39.31% | 29 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.15% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.58% | 10 | |
| 2019-07-05 | 2019-07-26 | $15.54 | $15.20 | -2.78% | 16 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -9.24% | 3 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -3.20% | 3 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.30% | 2 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -2.33% | 3 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 0.47% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -5.17% | 11 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -4.07% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.64% | 13 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 5.42% | 20 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.15% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 8.54% | 25 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 23.88% | 34 | |
| 2016-08-05 | 2016-08-09 | $15.34 | $15.27 | -2.13% | 3 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.21% | 7 | |
| 2016-04-01 | 2016-04-14 | $15.84 | $16.79 | 6.57% | 10 | |
| 2015-12-17 | 2016-01-06 | $15.56 | $14.60 | -4.29% | 13 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.27% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -3.72% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.33% | 2 | |
| 2015-06-23 | 2015-07-09 | $17.84 | $17.19 | -2.05% | 12 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-11 | 2015-02-18 | $14.19 | $13.63 | -5.71% | 5 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.07% | 13 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-01 | 2014-08-25 | $15.55 | $17.50 | 14.77% | 17 | |
| 2014-06-13 | 2014-07-07 | $13.76 | $14.84 | 12.42% | 16 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 3.97% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-20 | 2014-01-10 | $9.55 | $9.71 | 4.73% | 14 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.39% | 2 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-26 | 2013-09-10 | $10.95 | $11.09 | -0.90% | 11 | |
| 2013-07-31 | 2013-08-15 | $8.95 | $9.31 | 5.57% | 12 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -0.47% | 11 | |
| 2013-03-26 | 2013-06-04 | $2.52 | $6.32 | 157.17% | 49 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -2.08% | 2 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-12-19 | 2012-12-20 | $2.31 | $2.30 | -0.14% | 2 | |
| 2012-11-02 | 2012-12-14 | $1.93 | $2.25 | 14.68% | 30 | |
| 2012-09-17 | 2012-09-26 | $2.17 | $1.84 | 0.14% | 8 | |
| 2012-08-24 | 2012-08-29 | $1.97 | $1.89 | -7.54% | 4 | |
| 2012-07-17 | 2012-07-23 | $2.22 | $2.04 | -4.92% | 5 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -5.76% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -1.87% | 8 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 3.45% | 2 |