Strategy Zoo / S1086
LongTermTrend_V1086
ARCHIVEDhybridstructuralreduce exposure to 55% during MEDIUM_VOLATILITY
Fitness
0.6599
Generation
49
Complexity
26
Created
2026-10-02
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.2086
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1086 [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 > 1.2086 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 cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.6% | 89.1% | 17.4% | 34.5% |
| Total Return | 515.5% | 575.7% | 82.1% | 7696.7% |
| Sharpe | 0.88 | 1.66 | 0.63 | 1.01 |
| Sortino | 0.98 | 1.72 | 0.68 | 1.09 |
| Calmar | 0.45 | 2.64 | 0.51 | 0.61 |
| Volatility | 31.2% | 44.4% | 35.1% | 35.3% |
| Max DD | -56.5% | -33.8% | -34.3% | -56.5% |
| Win Rate | 36.8% | 45.5% | 30.0% | 36.2% |
| Avg Win | 15.8% | 31.3% | 17.3% | 21.9% |
| Avg Loss | -3.7% | -4.2% | -4.0% | -3.9% |
| Payoff | 4.32 | 7.39 | 4.32 | 5.69 |
| Expectancy | 3.5% | 11.9% | 2.4% | 5.5% |
| Profit Factor | 2.51 | 6.16 | 1.85 | 3.22 |
| Trades | 68 | 22 | 40 | 130 |
| Avg Holding Days | 14.8 | 20.3 | 12.2 | 15.4 |
| Turnover | 19.1 | 14.7 | 22.4 | 19.0 |
| Exposure | 43.8% | 45.6% | 41.8% | 43.7% |
Growth of $100
LongTermTrend_V1086 vs TSLA Buy & Hold
LongTermTrend_V1086 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 | 17.2% | 1.08 | -12.8% | 3 |
| 2017 | -4.0% | -0.08 | -25.8% | 16 |
| 2018 | -24.8% | -0.98 | -32.2% | 12 |
| 2019 | 37.2% | 1.08 | -22.8% | 6 |
| 2020 | 350.1% | 2.58 | -33.8% | 7 |
| 2021 | 84.7% | 2.30 | -10.3% | 7 |
| 2022 | -20.8% | -0.91 | -23.4% | 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 | -3.5% | -0.13 | 26% |
| hidden test | EXPENSIVE | 83 | 91.6% | 1.91 | 61% |
| hidden test | EXTREME | 48 | 172.7% | 3.20 | 62% |
| hidden test | HIGH VOLATILITY | 254 | 19.9% | 0.42 | 51% |
| hidden test | LOW VOLATILITY | 436 | 67.0% | 2.48 | 43% |
| hidden test | MEDIUM VOLATILITY | 250 | -53.6% | -1.68 | 31% |
| hidden test | NORMAL | 809 | 6.1% | 0.19 | 39% |
| hidden test | SIDEWAYS | 293 | 2.0% | 0.06 | 45% |
| hidden test | UPTREND | 371 | 57.2% | 1.34 | 51% |
| train | DOWNTREND | 518 | -5.0% | -0.31 | 17% |
| train | EXPENSIVE | 311 | 51.9% | 1.58 | 66% |
| train | EXTREME | 100 | 387.6% | 5.41 | 90% |
| train | HIGH VOLATILITY | 699 | 54.9% | 1.33 | 42% |
| train | LOW VOLATILITY | 745 | 37.7% | 1.55 | 57% |
| train | MEDIUM VOLATILITY | 568 | -19.5% | -0.82 | 29% |
| train | NORMAL | 1,601 | 0.3% | 0.01 | 37% |
| train | SIDEWAYS | 592 | 0.5% | 0.02 | 36% |
| train | UPTREND | 902 | 63.9% | 1.60 | 64% |
| validation | DOWNTREND | 125 | 25.2% | 1.31 | 8% |
| validation | EXPENSIVE | 138 | 52.3% | 1.17 | 39% |
| validation | EXTREME | 144 | 275.6% | 3.52 | 84% |
| validation | HIGH VOLATILITY | 258 | 83.5% | 1.28 | 49% |
| validation | LOW VOLATILITY | 183 | 48.3% | 1.84 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 80.2% | 2.71 | 33% |
| validation | NORMAL | 474 | 18.4% | 0.72 | 36% |
| validation | SIDEWAYS | 206 | -0.9% | -0.03 | 36% |
| validation | UPTREND | 425 | 123.9% | 2.25 | 61% |
Trades (full period)
latest 100 of 130
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -5.36% | 27 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.64% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -3.83% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.54% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 0.85% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.55% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.98% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 32.21% | 45 | |
| 2025-08-08 | 2025-08-20 | $329.65 | $323.90 | 1.98% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.05% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.30% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 22.72% | 28 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 59.20% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -6.25% | 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 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 16.17% | 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 | -0.48% | 34 | |
| 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 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -3.40% | 17 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-05-22 | 2023-07-24 | $188.87 | $269.06 | 47.06% | 43 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -4.33% | 10 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -0.63% | 2 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 22.43% | 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 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 13.48% | 33 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -3.71% | 2 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 4.55% | 23 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -13.01% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -0.91% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.38% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 67.74% | 86 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -5.68% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 46.01% | 56 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.54% | 4 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -2.70% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.21% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 8.00% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 100.53% | 83 | |
| 2019-10-11 | 2020-03-04 | $16.53 | $49.97 | 173.00% | 99 | |
| 2019-09-11 | 2019-10-10 | $16.47 | $16.32 | -2.34% | 22 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 4.22% | 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 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.57% | 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 | -0.23% | 3 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-16 | $20.33 | $19.10 | -5.12% | 5 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -4.78% | 5 | |
| 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 | -0.41% | 17 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | -0.16% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.76% | 12 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.60% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.06% | 2 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.33% | 8 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.25% | 2 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.13% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.69% | 13 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.93% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.77% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 5.76% | 42 | |
| 2017-03-23 | 2017-03-24 | $16.99 | $17.54 | -0.29% | 2 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -2.47% | 2 | |
| 2017-03-17 | 2017-03-20 | $17.43 | $17.46 | -0.41% | 2 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 24.97% | 51 | |
| 2016-07-12 | 2016-08-16 | $14.98 | $14.91 | 0.16% | 26 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.54% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 16.12% | 42 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -6.16% | 4 |