Strategy Zoo / S1079
LongTermTrend_V1079
ARCHIVEDhybridstructuralreduce exposure to 55% during MEDIUM_VOLATILITY
Fitness
0.5940
Generation
49
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_V1079 [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 > -0.1997 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 cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.8% | 64.3% | 28.9% | 31.0% |
| Total Return | 352.6% | 343.6% | 157.6% | 5225.3% |
| Sharpe | 0.78 | 1.50 | 0.97 | 1.00 |
| Sortino | 0.83 | 1.66 | 1.05 | 1.08 |
| Calmar | 0.47 | 2.74 | 0.87 | 0.70 |
| Volatility | 30.1% | 37.7% | 31.1% | 32.0% |
| Max DD | -44.6% | -23.5% | -33.0% | -44.6% |
| Win Rate | 42.1% | 52.9% | 41.3% | 44.4% |
| Avg Win | 8.6% | 8.9% | 11.1% | 9.5% |
| Avg Loss | -3.1% | -2.5% | -3.4% | -3.1% |
| Payoff | 2.72 | 3.54 | 3.24 | 3.08 |
| Expectancy | 1.8% | 3.5% | 2.6% | 2.5% |
| Profit Factor | 1.97 | 3.98 | 2.28 | 2.46 |
| Trades | 126 | 51 | 46 | 223 |
| Avg Holding Days | 7.6 | 7.6 | 9.4 | 8.0 |
| Turnover | 31.5 | 31.3 | 25.4 | 29.8 |
| Exposure | 37.2% | 36.0% | 36.7% | 36.9% |
Growth of $100
LongTermTrend_V1079 vs TSLA Buy & Hold
LongTermTrend_V1079 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 | 15.2% | 1.01 | -12.7% | 10 |
| 2017 | -3.8% | -0.09 | -24.5% | 21 |
| 2018 | 1.2% | 0.18 | -24.6% | 12 |
| 2019 | 11.7% | 0.49 | -27.9% | 8 |
| 2020 | 231.5% | 2.44 | -23.5% | 27 |
| 2021 | 35.9% | 1.35 | -13.8% | 15 |
| 2022 | -8.9% | -0.32 | -19.4% | 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 | 17.1% | 0.69 | 26% |
| hidden test | EXPENSIVE | 83 | 81.2% | 1.80 | 48% |
| hidden test | EXTREME | 48 | 140.7% | 3.18 | 41% |
| hidden test | HIGH VOLATILITY | 254 | 48.7% | 1.22 | 42% |
| hidden test | LOW VOLATILITY | 436 | 56.6% | 2.17 | 40% |
| hidden test | MEDIUM VOLATILITY | 250 | -34.9% | -1.23 | 26% |
| hidden test | NORMAL | 809 | 18.4% | 0.65 | 35% |
| hidden test | SIDEWAYS | 293 | 9.6% | 0.33 | 42% |
| hidden test | UPTREND | 371 | 56.1% | 1.54 | 40% |
| train | DOWNTREND | 518 | -3.6% | -0.22 | 18% |
| train | EXPENSIVE | 311 | 33.8% | 1.12 | 54% |
| train | EXTREME | 100 | 329.5% | 4.75 | 75% |
| train | HIGH VOLATILITY | 699 | 51.9% | 1.27 | 40% |
| train | LOW VOLATILITY | 745 | 27.6% | 1.21 | 46% |
| train | MEDIUM VOLATILITY | 568 | -17.4% | -0.80 | 23% |
| train | NORMAL | 1,601 | 2.2% | 0.09 | 32% |
| train | SIDEWAYS | 592 | 15.4% | 0.60 | 34% |
| train | UPTREND | 902 | 44.0% | 1.16 | 50% |
| validation | DOWNTREND | 125 | 27.5% | 1.40 | 14% |
| validation | EXPENSIVE | 138 | 50.0% | 1.91 | 28% |
| validation | EXTREME | 144 | 201.4% | 2.89 | 66% |
| validation | HIGH VOLATILITY | 258 | 49.6% | 0.94 | 36% |
| validation | LOW VOLATILITY | 183 | 27.2% | 1.14 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 79.6% | 2.83 | 28% |
| validation | NORMAL | 474 | 14.7% | 0.61 | 29% |
| validation | SIDEWAYS | 206 | 7.8% | 0.31 | 28% |
| validation | UPTREND | 425 | 89.0% | 1.94 | 46% |
Trades (full period)
latest 100 of 223
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -4.06% | 8 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.99% | 18 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -3.21% | 10 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 8.29% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.89% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.03% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -3.99% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.98% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -2.56% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 24.85% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -7.35% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.06% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 19.20% | 26 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.13% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-04 | 2024-10-04 | $219.41 | $250.08 | 10.82% | 23 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 31.75% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | 0.09% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -2.80% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.08% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.75% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -1.84% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 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 | 2022-08-19 | $309.32 | $296.67 | 0.42% | 5 | |
| 2022-06-27 | 2022-08-12 | $244.92 | $300.03 | 11.35% | 34 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.25% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -6.66% | 12 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 35.06% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 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 | -1.05% | 18 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -1.94% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.03% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 8.69% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.75% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.08% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.23% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.32% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 21.27% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.04% | 5 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 1.71% | 2 | |
| 2020-10-08 | 2020-10-09 | $141.97 | $144.67 | -0.05% | 2 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 4.89% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 22.13% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 3.73% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.57% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 12.12% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 4.04% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.08% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 103.93% | 49 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 40.89% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -2.73% | 3 |