Strategy Zoo / S1022
LongTermTrend_V1022
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0886, exit from PriceMomentum_V0971
Fitness
0.5982
Generation
47
Complexity
27
Created
2026-10-02
Lineage
Parents (2)
changed cumret_252d threshold -0.1997 -> -0.4599
changed ret_20d threshold -0.0017 -> -0.1499
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1022 [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):
position = 1.0
if long and ret_20d < -0.1499:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.7% | 122.2% | 0.7% | 30.3% |
| Total Return | 321.6% | 997.6% | 2.6% | 4787.0% |
| Sharpe | 0.64 | 1.72 | 0.24 | 0.81 |
| Sortino | 0.86 | 2.13 | 0.32 | 1.06 |
| Calmar | 0.29 | 3.13 | 0.01 | 0.44 |
| Volatility | 41.4% | 55.4% | 45.4% | 45.6% |
| Max DD | -68.8% | -39.1% | -50.8% | -68.8% |
| Win Rate | 42.1% | 50.0% | 50.0% | 45.9% |
| Avg Win | 70.4% | 107.2% | 19.4% | 72.5% |
| Avg Loss | -14.6% | -8.2% | -14.8% | -13.4% |
| Payoff | 4.80 | 10.00 | 1.31 | 5.41 |
| Expectancy | 21.1% | 49.5% | 2.3% | 26.1% |
| Profit Factor | 3.49 | 10.00 | 1.31 | 4.60 |
| Trades | 19 | 8 | 10 | 37 |
| Avg Holding Days | 80.0 | 65.8 | 69.7 | 76.3 |
| Turnover | 4.9 | 5.3 | 5.6 | 5.1 |
| Exposure | 78.5% | 68.5% | 76.1% | 75.9% |
Growth of $100
LongTermTrend_V1022 vs TSLA Buy & Hold
LongTermTrend_V1022 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 | -18.3% | -0.27 | -36.4% | 3 |
| 2019 | 14.4% | 0.53 | -39.0% | 3 |
| 2020 | 817.7% | 3.31 | -33.7% | 2 |
| 2021 | 39.6% | 1.01 | -29.3% | 3 |
| 2022 | -27.9% | -0.69 | -32.6% | 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 | 276 | -16.2% | -0.51 | 42% |
| hidden test | EXPENSIVE | 83 | 65.5% | 1.15 | 89% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 20.2% | 0.36 | 66% |
| hidden test | LOW VOLATILITY | 436 | 36.3% | 1.03 | 78% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.4% | -0.86 | 83% |
| hidden test | NORMAL | 809 | -4.9% | -0.11 | 73% |
| hidden test | SIDEWAYS | 293 | -34.2% | -0.75 | 88% |
| hidden test | UPTREND | 371 | 66.9% | 1.26 | 92% |
| train | DOWNTREND | 518 | -26.3% | -0.84 | 62% |
| train | EXPENSIVE | 311 | 86.2% | 1.95 | 86% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 42.9% | 0.83 | 69% |
| train | LOW VOLATILITY | 745 | 36.6% | 1.17 | 88% |
| train | MEDIUM VOLATILITY | 568 | -7.0% | -0.18 | 78% |
| train | NORMAL | 1,601 | -9.5% | -0.25 | 76% |
| train | SIDEWAYS | 592 | -7.9% | -0.20 | 74% |
| train | UPTREND | 902 | 79.3% | 1.69 | 91% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 91.2% | 1.51 | 82% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 120.0% | 1.70 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 97.7% | 1.90 | 69% |
| validation | NORMAL | 474 | 10.2% | 0.26 | 57% |
| validation | SIDEWAYS | 206 | -20.8% | -0.50 | 62% |
| validation | UPTREND | 425 | 167.3% | 2.53 | 86% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.51% | 28 | OPEN |
| 2026-04-16 | 2026-07-27 | $388.90 | $309.22 | -20.30% | 70 | |
| 2025-04-28 | 2026-04-10 | $285.88 | $348.95 | 21.05% | 240 | |
| 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 | |
| 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 | |
| 2023-01-27 | 2023-03-13 | $177.90 | $174.48 | 8.01% | 31 | |
| 2022-06-27 | 2022-10-06 | $244.92 | $238.13 | -2.19% | 72 | |
| 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 | |
| 2021-04-06 | 2021-05-12 | $230.54 | $196.63 | -10.87% | 27 | |
| 2020-10-08 | 2021-02-23 | $141.97 | $232.95 | 67.66% | 94 | |
| 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 | |
| 2019-06-19 | 2019-08-22 | $15.10 | $14.81 | -1.94% | 46 | |
| 2019-01-11 | 2019-04-29 | $23.15 | $16.10 | -31.97% | 74 | |
| 2018-10-24 | 2019-01-04 | $19.23 | $21.18 | 1.91% | 49 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-04-30 | 2018-07-30 | $19.59 | $19.34 | 0.85% | 64 | |
| 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 | |
| 2015-11-27 | 2016-01-27 | $15.44 | $12.54 | -15.88% | 41 | |
| 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 |