Strategy Zoo / S1039

LongTermTrend_V1039

ARCHIVEDhybrid

structuraladded exit filter: roll_high_20 > sma_20; changed macd_hist threshold 0.0 -> -1.0399

Fitness
0.3285
Generation
47
Complexity
25
Created
2026-10-02

Lineage

Parents (1)
LongTermTrend_V0521S0521 · gen 24ARCHIVEDstructural

entry = LongTermTrend_V0469 OR MACDMomentum_V0272

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1039  [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 > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > -1.0399 and close > sma_50) and sma_50 > sma_200)))):
    position = 1.0
if long and (macd_hist < 0.0 or roll_high_20 > sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR1.3%42.2%2.2%9.0%
Total Return10.8%187.6%8.3%254.2%
Sharpe0.171.190.210.45
Sortino0.191.300.210.49
Calmar0.031.280.070.18
Volatility23.5%34.8%25.9%26.8%
Max DD-50.8%-33.0%-30.7%-50.8%
Win Rate49.2%57.0%51.5%51.5%
Avg Win2.1%3.1%2.7%2.5%
Avg Loss-1.9%-2.7%-2.7%-2.2%
Payoff1.101.131.021.10
Expectancy0.1%0.6%0.1%0.2%
Profit Factor1.061.491.081.17
Trades543214206964
Avg Holding Days2.02.02.02.0
Turnover136.0142.7110.5131.0
Exposure27.0%28.3%21.9%26.0%

Growth of $100

LongTermTrend_V1039 vs TSLA Buy & Hold
LongTermTrend_V1039 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
YearCAGRSharpeMax DDTrades
20165.7%0.50-14.8%45
2017-9.5%-0.40-22.9%90
2018-10.4%-0.36-20.2%49
2019-6.6%-0.18-20.2%47
202091.6%1.55-33.0%100
202139.0%1.45-18.4%74
20224.4%0.31-15.5%38

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2761.9%0.0914%
hidden testEXPENSIVE83118.0%2.6336%
hidden testEXTREME4859.2%1.9031%
hidden testHIGH VOLATILITY254-9.1%-0.2524%
hidden testLOW VOLATILITY43619.0%0.9723%
hidden testMEDIUM VOLATILITY250-3.4%-0.1519%
hidden testNORMAL809-9.3%-0.4120%
hidden testSIDEWAYS293-25.0%-1.1424%
hidden testUPTREND37132.1%1.0226%
trainDOWNTREND518-10.1%-0.669%
trainEXPENSIVE31134.0%1.2742%
trainEXTREME100160.7%3.3251%
trainHIGH VOLATILITY69921.7%0.7822%
trainLOW VOLATILITY745-1.4%-0.0733%
trainMEDIUM VOLATILITY568-10.7%-0.4726%
trainNORMAL1,601-11.6%-0.5822%
trainSIDEWAYS592-3.8%-0.2022%
trainUPTREND90217.3%0.5940%
validationDOWNTREND12539.1%1.816%
validationEXPENSIVE1384.2%0.1031%
validationEXTREME144162.7%3.0048%
validationHIGH VOLATILITY25842.4%0.9626%
validationLOW VOLATILITY18315.2%0.8130%
validationMEDIUM VOLATILITY31555.6%1.6729%
validationNORMAL47415.2%0.6822%
validationSIDEWAYS206-1.0%-0.0520%
validationUPTREND42562.4%1.4739%

Trades (full period)

latest 100 of 964
EntryExitEntry PxExit PxReturnDays
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-032026-09-04$376.37$354.085.22%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-08-242026-08-25$348.95$350.25-4.03%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-042026-06-05$418.45$391.00-1.44%2
2026-06-022026-06-03$423.74$423.701.69%2
2026-05-292026-06-01$435.79$415.88-1.63%2
2026-05-272026-05-28$440.36$442.101.36%2
2026-05-222026-05-26$426.01$433.591.75%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2026-01-262026-01-27$435.20$430.90-3.28%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-052025-11-06$462.07$445.913.81%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-292025-10-30$461.51$440.100.01%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-102025-10-13$413.49$435.90-5.26%2
2025-10-082025-10-09$438.69$435.541.09%2
2025-10-062025-10-07$453.25$433.095.24%2
2025-10-022025-10-03$436.00$429.83-5.30%2
2025-09-302025-10-01$444.72$459.460.14%2
2025-09-262025-09-29$440.40$443.213.81%2
2025-09-242025-09-25$442.79$423.393.77%2
2025-09-222025-09-23$434.21$425.851.71%2
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-09-042025-09-05$338.53$350.841.13%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-05-142025-05-15$347.68$342.823.87%2
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2025-04-162025-04-17$241.55$241.37-5.14%2
2025-04-102025-04-11$252.40$252.31-7.47%2
2025-01-062025-01-07$411.05$394.36-0.05%2
2025-01-022025-01-03$379.28$410.44-6.28%2
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2