Strategy Zoo / S1026
LongTermTrend_V1026
ARCHIVEDhybridstructuralrestricted to trend regimes ['SIDEWAYS']
Fitness
0.2917
Generation
47
Complexity
28
Created
2026-10-02
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1026 [hybrid]
require regime.trend in ['SIDEWAYS']
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 macd_hist > -2.6055):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.5% | 15.7% | 3.1% | 5.2% |
| Total Return | 22.0% | 54.7% | 11.9% | 111.3% |
| Sharpe | 0.24 | 0.96 | 0.27 | 0.40 |
| Sortino | 0.12 | 0.53 | 0.18 | 0.22 |
| Calmar | 0.10 | 1.25 | 0.17 | 0.21 |
| Volatility | 15.4% | 16.6% | 16.3% | 15.9% |
| Max DD | -25.0% | -12.5% | -17.9% | -25.0% |
| Win Rate | 45.0% | 69.2% | 38.9% | 47.9% |
| Avg Win | 5.9% | 6.4% | 6.6% | 6.2% |
| Avg Loss | -3.6% | -2.4% | -2.9% | -3.2% |
| Payoff | 1.65 | 2.67 | 2.28 | 1.90 |
| Expectancy | 0.7% | 3.7% | 0.8% | 1.3% |
| Profit Factor | 1.35 | 6.02 | 1.45 | 1.75 |
| Trades | 40 | 13 | 18 | 71 |
| Avg Holding Days | 7.0 | 6.7 | 7.8 | 7.1 |
| Turnover | 10.0 | 8.7 | 9.7 | 9.7 |
| Exposure | 11.9% | 9.8% | 13.1% | 11.8% |
Growth of $100
LongTermTrend_V1026 vs TSLA Buy & Hold
LongTermTrend_V1026 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 | -8.8% | -0.77 | -11.9% | 6 |
| 2017 | 5.7% | 0.74 | -5.4% | 4 |
| 2018 | 18.4% | 1.35 | -6.4% | 7 |
| 2019 | -9.4% | -0.26 | -23.2% | 5 |
| 2020 | 8.4% | 0.54 | -12.5% | 2 |
| 2021 | 5.8% | 0.42 | -10.7% | 4 |
| 2022 | 34.9% | 2.06 | -2.7% | 7 |
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 | -3.5% | -1.38 | 1% |
| hidden test | EXPENSIVE | 83 | 8.9% | 0.95 | 6% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 11.6% | 0.74 | 5% |
| hidden test | LOW VOLATILITY | 436 | 14.4% | 0.86 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -20.6% | -1.29 | 11% |
| hidden test | NORMAL | 809 | 4.1% | 0.24 | 15% |
| hidden test | SIDEWAYS | 293 | 10.9% | 0.39 | 39% |
| hidden test | UPTREND | 371 | 5.0% | 0.62 | 2% |
| train | DOWNTREND | 518 | -8.6% | -1.25 | 1% |
| train | EXPENSIVE | 311 | 19.4% | 1.93 | 8% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 13.9% | 0.78 | 10% |
| train | LOW VOLATILITY | 745 | 7.9% | 0.72 | 12% |
| train | MEDIUM VOLATILITY | 568 | -14.5% | -0.86 | 14% |
| train | NORMAL | 1,601 | 0.8% | 0.05 | 13% |
| train | SIDEWAYS | 592 | 3.9% | 0.16 | 36% |
| train | UPTREND | 902 | 10.6% | 1.00 | 2% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 18.3% | 1.34 | 1% |
| validation | EXTREME | 144 | -0.5% | -0.02 | 7% |
| validation | HIGH VOLATILITY | 258 | -0.3% | -0.02 | 4% |
| validation | LOW VOLATILITY | 183 | 9.4% | 0.73 | 15% |
| validation | MEDIUM VOLATILITY | 315 | 32.9% | 1.67 | 11% |
| validation | NORMAL | 474 | 20.2% | 1.23 | 13% |
| validation | SIDEWAYS | 206 | 31.3% | 1.09 | 33% |
| validation | UPTREND | 425 | 13.1% | 1.37 | 1% |
Trades (full period)
71 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-27 | 2026-05-29 | $440.36 | $435.79 | 1.76% | 3 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-09-05 | 2025-09-12 | $350.84 | $395.94 | 8.73% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-05-12 | 2025-05-22 | $318.38 | $341.04 | 11.97% | 9 | |
| 2024-09-27 | 2024-10-03 | $260.46 | $240.66 | -2.24% | 5 | |
| 2024-06-17 | 2024-07-02 | $187.44 | $231.26 | 17.66% | 11 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-09-06 | 2023-09-25 | $251.92 | $246.99 | -4.72% | 14 | |
| 2023-05-31 | 2023-06-02 | $203.93 | $213.97 | 2.96% | 3 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -3.31% | 9 | |
| 2022-09-14 | 2022-09-15 | $302.61 | $303.75 | 3.38% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-08 | 2022-08-12 | $290.42 | $300.03 | -0.73% | 5 | |
| 2022-08-02 | 2022-08-05 | $300.59 | $288.17 | 3.61% | 4 | |
| 2022-03-21 | 2022-04-05 | $307.05 | $363.75 | 26.26% | 12 | |
| 2021-08-02 | 2021-08-05 | $236.56 | $238.21 | 3.25% | 4 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-14 | 2021-07-12 | $205.90 | $228.57 | 7.50% | 20 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2020-11-18 | 2020-11-19 | $162.21 | $166.42 | 9.99% | 2 | |
| 2020-04-30 | 2020-05-14 | $52.13 | $53.56 | -1.39% | 11 | |
| 2019-10-22 | 2019-10-25 | $17.04 | $21.88 | 17.98% | 4 | |
| 2019-10-15 | 2019-10-21 | $17.19 | $16.90 | -0.20% | 5 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-11-20 | 2018-11-21 | $23.17 | $22.55 | -1.89% | 2 | |
| 2018-10-26 | 2018-11-19 | $22.06 | $23.56 | 12.31% | 17 | |
| 2018-06-12 | 2018-06-15 | $22.85 | $23.88 | 7.50% | 4 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-02-26 | $23.47 | $23.83 | 1.50% | 2 | |
| 2018-01-09 | 2018-02-01 | $22.25 | $23.28 | 5.11% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-09-12 | 2017-09-18 | $24.18 | $25.67 | 4.22% | 5 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.58% | 2 | |
| 2016-12-28 | 2017-01-05 | $14.65 | $15.12 | 3.19% | 6 | |
| 2016-07-12 | 2016-07-26 | $14.98 | $15.30 | 2.12% | 11 | |
| 2016-06-09 | 2016-06-16 | $15.29 | $14.53 | -7.75% | 6 | |
| 2016-04-04 | 2016-04-05 | $16.47 | $17.03 | 3.75% | 2 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.69% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-29 | 2016-01-06 | $15.81 | $14.60 | -2.60% | 6 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -2.39% | 2 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-05-01 | 2015-05-11 | $15.07 | $15.97 | 4.46% | 7 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.35% | 6 | |
| 2014-11-11 | 2014-12-01 | $16.74 | $15.44 | 0.87% | 14 | |
| 2014-05-28 | 2014-06-23 | $14.02 | $15.81 | 8.30% | 19 | |
| 2014-01-15 | 2014-01-24 | $10.94 | $11.64 | 12.32% | 7 | |
| 2013-12-13 | 2014-01-10 | $9.84 | $9.71 | -0.16% | 19 | |
| 2012-12-14 | 2012-12-17 | $2.25 | $2.29 | 0.39% | 2 | |
| 2012-11-06 | 2012-11-23 | $2.08 | $2.14 | 2.87% | 13 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-08-24 | 2012-08-29 | $1.97 | $1.89 | -6.83% | 4 | |
| 2012-07-12 | 2012-07-23 | $2.18 | $2.04 | 0.69% | 8 | |
| 2012-07-06 | 2012-07-09 | $2.07 | $2.10 | -0.97% | 2 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-02-22 | 2012-02-23 | $2.28 | $2.30 | -1.01% | 2 | |
| 2012-01-31 | 2012-02-21 | $1.94 | $2.30 | 18.02% | 15 |