Strategy Zoo / S1044

LongTermTrend_V1044

ARCHIVEDhybrid

crossoverentry from LongTermTrend_V0521, exit from PriceMomentum_V0971

Fitness

0.6186

Generation

Complexity

Created

2026-10-02

Lineage

Parents (2)

LongTermTrend_V0521S0521 · gen 24ARCHIVEDcrossover

entry = LongTermTrend_V0469 OR MACDMomentum_V0272

PriceMomentum_V0971S0971 · gen 44ARCHIVEDcrossover

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1044  [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 > 0.0 and close > sma_50) and sma_50 > sma_200)))):
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.2%	130.9%	1.4%	31.2%
Total Return	306.4%	1131.0%	5.4%	5330.2%
Sharpe	0.63	1.79	0.26	0.82
Sortino	0.84	2.21	0.35	1.08
Calmar	0.27	3.60	0.03	0.45
Volatility	41.3%	55.5%	46.2%	45.8%
Max DD	-69.9%	-36.3%	-50.8%	-69.9%
Win Rate	36.8%	62.5%	50.0%	45.9%
Avg Win	80.3%	87.1%	20.0%	73.0%
Avg Loss	-13.7%	-8.8%	-14.8%	-13.2%
Payoff	5.88	9.86	1.35	5.52
Expectancy	21.0%	51.1%	2.6%	26.4%
Profit Factor	3.43	10.00	1.35	4.69
Trades	19	8	10	37
Avg Holding Days	79.2	66.1	70.7	76.2
Turnover	4.9	5.3	5.6	5.1
Exposure	77.7%	68.9%	77.1%	75.8%

Growth of $100

LongTermTrend_V1044 vs TSLA Buy & Hold

LongTermTrend_V1044 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	-21.7%	-0.39	-39.0%	3
2019	15.1%	0.54	-38.6%	3
2020	842.7%	3.35	-33.7%	2
2021	45.8%	1.11	-26.1%	3
2022	-24.6%	-0.57	-29.6%	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	-12.5%	-0.35	46%
hidden test	EXPENSIVE	83	65.5%	1.15	89%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	26.0%	0.45	70%
hidden test	LOW VOLATILITY	436	35.2%	1.01	78%
hidden test	MEDIUM VOLATILITY	250	-42.4%	-0.86	83%
hidden test	NORMAL	809	-3.6%	-0.08	75%
hidden test	SIDEWAYS	293	-34.2%	-0.75	88%
hidden test	UPTREND	371	66.9%	1.26	92%
train	DOWNTREND	518	-28.2%	-0.92	59%
train	EXPENSIVE	311	86.2%	1.95	86%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	41.0%	0.80	68%
train	LOW VOLATILITY	745	36.6%	1.17	88%
train	MEDIUM VOLATILITY	568	-6.5%	-0.17	77%
train	NORMAL	1,601	-10.1%	-0.27	75%
train	SIDEWAYS	592	-7.9%	-0.20	74%
train	UPTREND	902	79.3%	1.69	91%
validation	DOWNTREND	125	50.4%	1.94	20%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	131.4%	1.85	56%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	97.7%	1.90	69%
validation	NORMAL	474	14.9%	0.38	57%
validation	SIDEWAYS	206	-15.3%	-0.36	63%
validation	UPTREND	425	168.9%	2.55	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
2025-04-10	2026-04-10	$252.40	$348.95	26.71%	251
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
2023-05-22	2023-08-15	$188.87	$232.96	32.84%	59
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
2022-06-24	2022-10-06	$245.71	$238.13	2.24%	73
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
2021-04-05	2021-05-12	$230.35	$196.63	-6.91%	28
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
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
2019-07-01	2019-08-22	$15.14	$14.81	-1.37%	38
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
2018-05-10	2018-07-30	$20.33	$19.34	-3.35%	56
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