Strategy Zoo / S1010
LongTermTrend_V1010
ARCHIVEDhybridstructuralreplaced exit rule with: dist_sma_20 < 0.0475
Fitness
0.4668
Generation
46
Complexity
28
Created
2026-10-01
Lineage
Parents (1)
entry = LongTermTrend_V0733 OR PriceMomentum_V0817
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1010 [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 > -0.0248 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) or (ret_20d > 0.05 and breakout_50 == 1)):
position = 1.0
if long and dist_sma_20 < 0.0475:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.1% | 66.9% | 11.4% | 19.3% |
| Total Return | 86.5% | 364.7% | 49.5% | 1233.7% |
| Sharpe | 0.41 | 1.32 | 0.50 | 0.68 |
| Sortino | 0.41 | 1.44 | 0.50 | 0.69 |
| Calmar | 0.20 | 1.88 | 0.30 | 0.46 |
| Volatility | 29.6% | 47.1% | 31.6% | 34.4% |
| Max DD | -41.5% | -35.5% | -38.2% | -41.5% |
| Win Rate | 41.2% | 50.0% | 38.1% | 42.4% |
| Avg Win | 4.7% | 7.3% | 6.7% | 6.0% |
| Avg Loss | -2.4% | -2.8% | -2.9% | -2.6% |
| Payoff | 1.94 | 2.60 | 2.33 | 2.31 |
| Expectancy | 0.5% | 2.2% | 0.8% | 1.1% |
| Profit Factor | 1.36 | 2.60 | 1.44 | 1.70 |
| Trades | 221 | 92 | 97 | 410 |
| Avg Holding Days | 4.2 | 4.6 | 4.3 | 4.3 |
| Turnover | 55.5 | 61.3 | 52.1 | 55.7 |
| Exposure | 35.7% | 43.4% | 33.9% | 36.8% |
Growth of $100
LongTermTrend_V1010 vs TSLA Buy & Hold
LongTermTrend_V1010 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 | 12.0% | 0.76 | -22.5% | 18 |
| 2017 | 19.9% | 0.95 | -12.0% | 35 |
| 2018 | -2.7% | 0.03 | -22.6% | 24 |
| 2019 | -9.1% | -0.17 | -30.2% | 14 |
| 2020 | 329.4% | 2.46 | -33.8% | 28 |
| 2021 | 12.7% | 0.53 | -23.0% | 43 |
| 2022 | -7.7% | -0.17 | -17.7% | 20 |
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 | 2.1% | 0.09 | 20% |
| hidden test | EXPENSIVE | 83 | 72.1% | 1.52 | 58% |
| hidden test | EXTREME | 48 | 197.3% | 3.55 | 58% |
| hidden test | HIGH VOLATILITY | 254 | 30.6% | 0.73 | 39% |
| hidden test | LOW VOLATILITY | 434 | 46.3% | 1.97 | 33% |
| hidden test | MEDIUM VOLATILITY | 251 | -52.2% | -1.67 | 30% |
| hidden test | NORMAL | 808 | -0.8% | -0.03 | 30% |
| hidden test | SIDEWAYS | 293 | -7.5% | -0.28 | 34% |
| hidden test | UPTREND | 371 | 44.3% | 1.12 | 44% |
| train | DOWNTREND | 518 | -3.9% | -0.24 | 13% |
| train | EXPENSIVE | 311 | 40.0% | 1.18 | 58% |
| train | EXTREME | 100 | 323.7% | 4.71 | 87% |
| train | HIGH VOLATILITY | 699 | 30.5% | 0.78 | 36% |
| train | LOW VOLATILITY | 745 | 17.1% | 0.80 | 41% |
| train | MEDIUM VOLATILITY | 568 | -17.0% | -0.69 | 28% |
| train | NORMAL | 1,601 | -12.7% | -0.54 | 28% |
| train | SIDEWAYS | 592 | 2.8% | 0.11 | 32% |
| train | UPTREND | 902 | 27.4% | 0.74 | 51% |
| validation | DOWNTREND | 125 | 28.3% | 1.30 | 9% |
| validation | EXPENSIVE | 138 | 81.1% | 1.59 | 51% |
| validation | EXTREME | 144 | 258.6% | 3.23 | 81% |
| validation | HIGH VOLATILITY | 258 | 42.4% | 0.68 | 40% |
| validation | LOW VOLATILITY | 183 | 19.1% | 0.87 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 103.7% | 2.43 | 48% |
| validation | NORMAL | 474 | -2.8% | -0.10 | 30% |
| validation | SIDEWAYS | 206 | -12.0% | -0.46 | 30% |
| validation | UPTREND | 425 | 108.3% | 1.84 | 60% |
Trades (full period)
latest 100 of 410
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-24 | 2026-08-27 | $348.95 | $354.81 | -4.89% | 4 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-27 | 2026-06-01 | $440.36 | $415.88 | 0.31% | 4 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-07 | 2026-05-19 | $411.79 | $404.11 | 2.62% | 9 | |
| 2026-05-04 | 2026-05-06 | $392.51 | $398.73 | -0.57% | 3 | |
| 2026-04-16 | 2026-04-22 | $388.90 | $387.51 | -1.61% | 5 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-10 | 2025-12-29 | $451.45 | $459.64 | 6.53% | 13 | |
| 2025-12-04 | 2025-12-09 | $454.53 | $445.17 | -1.80% | 4 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-25 | 2025-08-29 | $346.60 | $333.87 | 1.55% | 5 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-12 | 2025-08-15 | $340.84 | $330.56 | -1.22% | 4 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-25 | $332.56 | $316.06 | -8.26% | 3 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-09 | 2025-06-03 | $298.26 | $344.27 | 20.08% | 17 | |
| 2025-04-28 | 2025-05-08 | $285.88 | $284.82 | -3.26% | 9 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-11-06 | 2024-12-30 | $288.53 | $417.41 | 71.35% | 37 | |
| 2024-10-25 | 2024-11-05 | $269.19 | $251.44 | -6.96% | 8 | |
| 2024-09-20 | 2024-10-03 | $238.25 | $240.66 | 1.88% | 10 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.49% | 2 | |
| 2024-09-11 | 2024-09-17 | $228.13 | $227.87 | 0.07% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-21 | 2024-06-24 | $183.01 | $182.58 | 0.59% | 2 | |
| 2024-06-17 | 2024-06-20 | $187.44 | $181.57 | 3.65% | 3 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.96% | 2 | |
| 2024-05-21 | 2024-05-23 | $186.60 | $173.74 | 2.75% | 3 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-14 | 2024-05-16 | $177.55 | $174.84 | 1.02% | 3 | |
| 2024-04-30 | 2024-05-09 | $183.28 | $171.97 | -10.15% | 8 | |
| 2023-12-27 | 2023-12-29 | $261.44 | $248.48 | -1.53% | 3 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-15 | 2023-12-19 | $253.50 | $257.22 | 0.21% | 3 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-16 | 2023-12-01 | $233.59 | $238.83 | -1.34% | 11 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-21 | 2023-09-22 | $255.70 | $244.88 | -2.82% | 2 | |
| 2023-09-12 | 2023-09-20 | $267.48 | $262.59 | -2.78% | 7 | |
| 2023-09-06 | 2023-09-08 | $251.92 | $248.50 | -2.15% | 3 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-14 | 2023-07-21 | $281.38 | $260.02 | -5.59% | 6 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-06-28 | 2023-07-11 | $256.24 | $269.79 | 7.54% | 9 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-24 | $177.90 | $196.88 | 25.84% | 20 | |
| 2022-09-19 | 2022-09-22 | $309.07 | $288.59 | -1.04% | 4 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.18% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 |