Strategy Zoo / S1057
LongTermTrend_V1057
ARCHIVEDhybridstructuraladded entry filter: vol_chg < 1.2824; swapped indicator macd_hist -> momentum_60
Fitness
0.4643
Generation
48
Complexity
28
Created
2026-10-02
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4599
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1057 [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 and vol_chg < 1.2824):
position = 1.0
if long and momentum_60 < -0.1266:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.2% | 76.5% | 2.0% | 24.4% |
| Total Return | 307.6% | 449.4% | 7.8% | 2386.0% |
| Sharpe | 0.63 | 1.22 | 0.27 | 0.69 |
| Sortino | 0.77 | 1.50 | 0.36 | 0.86 |
| Calmar | 0.33 | 1.26 | 0.04 | 0.40 |
| Volatility | 42.2% | 63.0% | 45.8% | 48.1% |
| Max DD | -58.3% | -60.6% | -47.4% | -60.6% |
| Win Rate | 35.3% | 43.8% | 36.0% | 37.0% |
| Avg Win | 26.7% | 86.5% | 13.5% | 52.2% |
| Avg Loss | -5.0% | -6.6% | -5.9% | -5.5% |
| Payoff | 5.31 | 10.00 | 2.27 | 9.46 |
| Expectancy | 6.2% | 34.1% | 1.0% | 15.8% |
| Profit Factor | 2.90 | 10.00 | 1.27 | 5.54 |
| Trades | 51 | 16 | 25 | 92 |
| Avg Holding Days | 27.5 | 35.4 | 28.2 | 30.4 |
| Turnover | 12.9 | 10.7 | 13.4 | 12.5 |
| Exposure | 73.2% | 72.8% | 72.4% | 72.9% |
Growth of $100
LongTermTrend_V1057 vs TSLA Buy & Hold
LongTermTrend_V1057 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 | -23.9% | -0.86 | -34.9% | 5 |
| 2017 | 30.3% | 0.95 | -26.6% | 1 |
| 2018 | -26.1% | -0.45 | -42.4% | 6 |
| 2019 | 73.2% | 1.56 | -21.8% | 9 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 10.2% | 0.44 | -44.3% | 8 |
| 2022 | -48.4% | -1.45 | -48.3% | 8 |
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 | -12.6% | -0.46 | 28% |
| hidden test | EXPENSIVE | 83 | 66.4% | 1.14 | 96% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 23.4% | 0.42 | 66% |
| hidden test | LOW VOLATILITY | 436 | 38.2% | 1.13 | 68% |
| hidden test | MEDIUM VOLATILITY | 250 | -43.3% | -0.83 | 87% |
| hidden test | NORMAL | 809 | -3.2% | -0.08 | 68% |
| hidden test | SIDEWAYS | 293 | -54.8% | -1.19 | 83% |
| hidden test | UPTREND | 371 | 84.4% | 1.53 | 98% |
| train | DOWNTREND | 518 | -26.5% | -0.98 | 29% |
| train | EXPENSIVE | 311 | 61.9% | 1.32 | 94% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 28.8% | 0.54 | 65% |
| train | LOW VOLATILITY | 745 | 47.3% | 1.64 | 75% |
| train | MEDIUM VOLATILITY | 568 | -3.7% | -0.09 | 81% |
| train | NORMAL | 1,601 | -4.7% | -0.12 | 67% |
| train | SIDEWAYS | 592 | -19.0% | -0.49 | 71% |
| train | UPTREND | 902 | 86.7% | 1.72 | 100% |
| validation | DOWNTREND | 125 | -1.8% | -0.07 | 13% |
| validation | EXPENSIVE | 138 | 90.1% | 1.19 | 98% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 108.3% | 1.27 | 67% |
| validation | LOW VOLATILITY | 183 | 46.9% | 1.46 | 80% |
| validation | MEDIUM VOLATILITY | 315 | 68.1% | 1.25 | 73% |
| validation | NORMAL | 474 | -20.6% | -0.45 | 57% |
| validation | SIDEWAYS | 206 | -65.6% | -1.40 | 56% |
| validation | UPTREND | 425 | 168.7% | 2.23 | 99% |
Trades (full period)
92 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-30 | $354.08 | $354.81 | -6.45% | 18 | |
| 2026-09-01 | 2026-09-03 | $356.09 | $376.37 | -3.17% | 3 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-04 | 2026-07-24 | $392.51 | $313.03 | -18.36% | 57 | |
| 2026-04-16 | 2026-04-22 | $388.90 | $387.51 | -1.61% | 5 | |
| 2025-05-12 | 2026-03-13 | $318.38 | $391.20 | 32.18% | 211 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-10-29 | 2025-02-27 | $259.52 | $281.95 | 10.55% | 82 | |
| 2024-06-17 | 2024-10-16 | $187.44 | $221.33 | 23.11% | 85 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2024-04-30 | 2024-05-14 | $183.28 | $177.55 | -11.60% | 11 | |
| 2023-12-07 | 2024-01-16 | $242.64 | $219.91 | -8.74% | 26 | |
| 2023-11-16 | 2023-12-06 | $233.59 | $239.37 | -1.90% | 14 | |
| 2023-10-06 | 2023-10-20 | $260.53 | $211.99 | -15.53% | 11 | |
| 2023-05-19 | 2023-09-28 | $180.14 | $246.38 | 35.69% | 91 | |
| 2023-02-02 | 2023-05-02 | $188.27 | $160.31 | -10.97% | 62 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-07-25 | 2022-10-17 | $268.43 | $219.35 | -24.86% | 60 | |
| 2022-07-21 | 2022-07-22 | $271.71 | $272.24 | 9.57% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-06-27 | 2022-06-28 | $244.92 | $232.66 | -0.52% | 2 | |
| 2022-03-21 | 2022-05-10 | $307.05 | $266.68 | -13.24% | 36 | |
| 2021-08-02 | 2022-01-26 | $236.56 | $312.47 | 33.38% | 124 | |
| 2021-07-12 | 2021-07-19 | $228.57 | $215.41 | -2.13% | 6 | |
| 2021-06-14 | 2021-07-09 | $205.90 | $218.98 | 6.82% | 19 | |
| 2021-04-26 | 2021-04-29 | $246.07 | $225.67 | -4.99% | 4 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -3.48% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.41% | 2 | |
| 2021-04-14 | 2021-04-19 | $244.08 | $238.21 | -3.15% | 4 | |
| 2021-04-06 | 2021-04-07 | $230.54 | $223.66 | -0.12% | 2 | |
| 2019-07-10 | 2021-03-09 | $15.93 | $224.53 | 1121.19% | 420 | |
| 2019-07-08 | 2019-07-09 | $15.36 | $15.34 | -1.38% | 2 | |
| 2019-07-03 | 2019-07-05 | $15.66 | $15.54 | 4.40% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 1.46% | 2 | |
| 2019-06-27 | 2019-06-28 | $14.86 | $14.90 | 1.43% | 2 | |
| 2019-06-25 | 2019-06-26 | $14.65 | $14.62 | -1.93% | 2 | |
| 2019-06-21 | 2019-06-24 | $14.79 | $14.91 | 0.82% | 2 | |
| 2019-06-19 | 2019-06-20 | $15.10 | $14.64 | 0.55% | 2 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-10-24 | 2019-02-11 | $19.23 | $20.86 | 3.75% | 74 | |
| 2018-06-04 | 2018-09-06 | $19.78 | $18.73 | -3.99% | 67 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-16 | $20.33 | $19.10 | -7.57% | 5 | |
| 2018-05-02 | 2018-05-04 | $20.08 | $19.61 | -5.35% | 3 | |
| 2018-04-30 | 2018-05-01 | $19.59 | $19.99 | -0.26% | 2 | |
| 2017-12-12 | 2018-03-29 | $22.74 | $17.74 | -21.78% | 74 | |
| 2016-12-14 | 2017-11-03 | $13.25 | $20.41 | 50.73% | 225 | |
| 2016-07-25 | 2016-09-02 | $15.33 | $13.19 | -9.85% | 30 | |
| 2016-07-12 | 2016-07-22 | $14.98 | $14.82 | -2.10% | 9 | |
| 2016-03-08 | 2016-06-23 | $13.51 | $13.09 | -4.40% | 76 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-12-17 | 2016-02-03 | $15.56 | $11.57 | -22.21% | 32 | |
| 2015-11-27 | 2015-12-11 | $15.44 | $14.47 | -1.32% | 11 | |
| 2015-09-16 | 2015-10-08 | $17.48 | $15.11 | -8.70% | 17 | |
| 2015-04-07 | 2015-08-25 | $13.55 | $14.67 | 7.55% | 99 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -4.70% | 2 | |
| 2015-02-11 | 2015-02-12 | $14.19 | $13.53 | -1.81% | 2 | |
| 2015-02-04 | 2015-02-10 | $14.57 | $14.42 | -0.60% | 5 | |
| 2014-11-28 | 2014-12-01 | $16.30 | $15.44 | -1.78% | 2 | |
| 2014-06-16 | 2014-11-26 | $14.97 | $16.56 | 19.96% | 116 | |
| 2014-06-10 | 2014-06-13 | $13.49 | $13.76 | -1.07% | 4 | |
| 2014-06-06 | 2014-06-09 | $13.88 | $13.69 | 0.41% | 2 | |
| 2014-05-30 | 2014-06-02 | $13.85 | $13.65 | -1.37% | 2 | |
| 2014-05-28 | 2014-05-29 | $14.02 | $14.02 | -0.82% | 2 | |
| 2014-01-17 | 2014-05-22 | $11.33 | $13.66 | 16.42% | 87 | |
| 2014-01-09 | 2014-01-10 | $9.84 | $9.71 | -2.68% | 2 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.40% | 2 | |
| 2014-01-03 | 2014-01-06 | $9.97 | $9.80 | -0.56% | 2 | |
| 2013-12-30 | 2014-01-02 | $10.16 | $10.01 | -0.65% | 3 | |
| 2013-12-26 | 2013-12-27 | $10.37 | $10.07 | 2.50% | 2 | |
| 2013-12-23 | 2013-12-24 | $9.57 | $10.09 | 0.02% | 2 | |
| 2013-12-19 | 2013-12-20 | $9.38 | $9.55 | -5.10% | 2 | |
| 2013-12-17 | 2013-12-18 | $10.16 | $9.87 | 2.85% | 2 | |
| 2013-12-13 | 2013-12-16 | $9.84 | $9.86 | -0.08% | 2 | |
| 2012-11-02 | 2013-11-18 | $1.93 | $8.11 | 362.15% | 263 | |
| 2012-08-14 | 2012-10-09 | $1.96 | $1.89 | -6.35% | 40 | |
| 2012-07-02 | 2012-07-27 | $2.03 | $1.97 | -10.28% | 19 | |
| 2012-06-28 | 2012-06-29 | $2.09 | $2.09 | -1.92% | 2 | |
| 2012-06-26 | 2012-06-27 | $2.11 | $2.13 | -4.73% | 2 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-01-31 | 2012-05-16 | $1.94 | $1.95 | -0.67% | 75 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |