Strategy Zoo / S1062
LongTermTrend_V1062
ARCHIVEDhybridstructuralremoved entry condition: (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541); changed macd_hist threshold 0.0 -> -2.1012
Fitness
0.6245
Generation
48
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
entry from LongTermTrend_V0521, exit from PriceMomentum_V0817
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1062 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > -2.1012 and close > sma_50) and sma_50 > sma_200))):
position = 1.0
if long and (ret_20d < -0.0017 or ret_20d < -0.025):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.3% | 99.3% | 13.5% | 30.4% |
| Total Return | 281.7% | 691.2% | 60.6% | 4892.5% |
| Sharpe | 0.65 | 1.59 | 0.52 | 0.87 |
| Sortino | 0.72 | 1.75 | 0.56 | 0.94 |
| Calmar | 0.29 | 2.94 | 0.39 | 0.48 |
| Volatility | 35.2% | 51.7% | 38.0% | 39.8% |
| Max DD | -63.7% | -33.7% | -34.5% | -63.7% |
| Win Rate | 30.1% | 33.3% | 31.1% | 30.9% |
| Avg Win | 14.0% | 45.8% | 14.3% | 21.8% |
| Avg Loss | -3.4% | -5.1% | -3.8% | -3.7% |
| Payoff | 4.16 | 8.95 | 3.73 | 5.82 |
| Expectancy | 1.9% | 11.9% | 1.8% | 4.1% |
| Profit Factor | 1.79 | 4.47 | 1.68 | 2.60 |
| Trades | 103 | 27 | 45 | 175 |
| Avg Holding Days | 10.7 | 16.5 | 10.9 | 12.0 |
| Turnover | 25.9 | 18.0 | 24.1 | 23.8 |
| Exposure | 52.2% | 55.4% | 47.4% | 51.7% |
Growth of $100
LongTermTrend_V1062 vs TSLA Buy & Hold
LongTermTrend_V1062 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 | 16.9% | 0.92 | -20.2% | 8 |
| 2017 | -0.1% | 0.14 | -33.1% | 22 |
| 2018 | -31.8% | -1.19 | -35.9% | 13 |
| 2019 | 48.7% | 1.27 | -21.1% | 6 |
| 2020 | 429.0% | 2.58 | -33.7% | 14 |
| 2021 | 73.9% | 1.71 | -17.6% | 6 |
| 2022 | -17.5% | -0.51 | -24.6% | 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 | 10.2% | 0.43 | 24% |
| hidden test | EXPENSIVE | 83 | 97.5% | 1.81 | 81% |
| hidden test | EXTREME | 48 | 163.4% | 2.87 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 21.9% | 0.44 | 51% |
| hidden test | LOW VOLATILITY | 436 | 66.0% | 2.44 | 44% |
| hidden test | MEDIUM VOLATILITY | 250 | -62.3% | -1.57 | 50% |
| hidden test | NORMAL | 809 | 3.5% | 0.10 | 43% |
| hidden test | SIDEWAYS | 293 | -18.3% | -0.50 | 53% |
| hidden test | UPTREND | 371 | 57.3% | 1.23 | 61% |
| train | DOWNTREND | 518 | -8.0% | -0.43 | 21% |
| train | EXPENSIVE | 311 | 42.4% | 0.99 | 80% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 44.5% | 0.99 | 43% |
| train | LOW VOLATILITY | 745 | 38.6% | 1.48 | 63% |
| train | MEDIUM VOLATILITY | 568 | -24.4% | -0.77 | 49% |
| train | NORMAL | 1,601 | -4.9% | -0.17 | 44% |
| train | SIDEWAYS | 592 | -0.3% | -0.01 | 43% |
| train | UPTREND | 902 | 55.8% | 1.23 | 76% |
| validation | DOWNTREND | 125 | 30.6% | 1.41 | 8% |
| validation | EXPENSIVE | 138 | 52.3% | 0.91 | 66% |
| validation | EXTREME | 144 | 332.0% | 3.86 | 96% |
| validation | HIGH VOLATILITY | 258 | 69.9% | 1.00 | 51% |
| validation | LOW VOLATILITY | 183 | 28.9% | 1.12 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 123.6% | 2.74 | 56% |
| validation | NORMAL | 474 | 15.2% | 0.49 | 40% |
| validation | SIDEWAYS | 206 | -6.6% | -0.21 | 38% |
| validation | UPTREND | 425 | 140.6% | 2.19 | 78% |
Trades (full period)
latest 100 of 175
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-30 | $356.09 | $354.81 | -4.30% | 21 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-08 | 2025-08-20 | $329.65 | $323.90 | 1.98% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -2.22% | 34 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-05-22 | 2023-07-24 | $188.87 | $269.06 | 44.06% | 43 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -7.07% | 10 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.81% | 3 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-28 | 2020-10-29 | $135.34 | $136.94 | -4.59% | 2 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-20 | 2020-10-21 | $140.65 | $140.88 | -2.26% | 2 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-10-01 | 2020-10-14 | $149.39 | $153.77 | 3.91% | 10 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2020-03-09 | 2020-03-10 | $40.53 | $43.02 | -13.76% | 2 | |
| 2020-03-05 | 2020-03-06 | $48.30 | $46.90 | -3.53% | 2 | |
| 2019-10-11 | 2020-03-04 | $16.53 | $49.97 | 204.01% | 99 | |
| 2019-09-11 | 2019-10-10 | $16.47 | $16.32 | 3.61% | 22 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 4.44% | 24 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2019-01-16 | 2019-01-17 | $23.07 | $23.15 | 0.27% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-12-20 | 2018-12-21 | $21.03 | $21.32 | -5.48% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.43% | 3 | |
| 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 | |
| 2018-03-14 | 2018-03-19 | $21.78 | $20.90 | -6.19% | 4 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-03-01 | $23.47 | $22.06 | -1.09% | 5 | |
| 2018-01-16 | 2018-02-07 | $22.67 | $23.00 | -0.87% | 17 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-13 | 2017-10-16 | $23.70 | $23.37 | -0.23% | 2 | |
| 2017-10-11 | 2017-10-12 | $23.64 | $23.71 | -0.48% | 2 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.46% | 2 | |
| 2017-09-08 | 2017-09-11 | $22.89 | $24.25 | -2.25% | 2 | |
| 2017-09-06 | 2017-09-07 | $22.97 | $23.37 | -1.65% | 2 |