Strategy Zoo / S1100
LongTermTrend_V1100
ARCHIVEDhybridstructuraladded entry filter: sma_200 > roll_low_50
Fitness
0.5968
Generation
50
Complexity
28
Created
2026-10-03
Lineage
Parents (1)
swapped indicator macd_hist -> rsi_14
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1100 [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 rsi_14 > 34.4934 and sma_200 > roll_low_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 61.3% | 17.8% | 24.2% |
| Total Return | 205.1% | 319.7% | 84.1% | 2327.1% |
| Sharpe | 0.64 | 1.54 | 0.69 | 0.87 |
| Sortino | 0.58 | 1.33 | 0.66 | 0.80 |
| Calmar | 0.38 | 3.34 | 0.56 | 0.62 |
| Volatility | 27.8% | 35.1% | 30.0% | 30.0% |
| Max DD | -39.3% | -18.4% | -31.6% | -39.3% |
| Win Rate | 44.6% | 60.7% | 35.6% | 44.9% |
| Avg Win | 8.5% | 11.7% | 11.5% | 10.5% |
| Avg Loss | -3.9% | -2.0% | -3.5% | -3.6% |
| Payoff | 2.17 | 5.80 | 3.27 | 2.97 |
| Expectancy | 1.6% | 6.3% | 1.8% | 2.8% |
| Profit Factor | 1.75 | 8.96 | 1.81 | 2.42 |
| Trades | 83 | 28 | 45 | 156 |
| Avg Holding Days | 8.3 | 9.0 | 8.2 | 8.5 |
| Turnover | 20.9 | 18.7 | 24.1 | 21.2 |
| Exposure | 30.6% | 29.8% | 34.5% | 31.4% |
Growth of $100
LongTermTrend_V1100 vs TSLA Buy & Hold
LongTermTrend_V1100 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 | 20.4% | 1.16 | -16.4% | 10 |
| 2017 | 8.3% | 0.67 | -11.3% | 6 |
| 2018 | -2.8% | 0.05 | -24.6% | 12 |
| 2019 | 11.8% | 0.49 | -29.2% | 8 |
| 2020 | 155.9% | 2.20 | -17.2% | 9 |
| 2021 | 33.6% | 1.23 | -16.8% | 13 |
| 2022 | 22.5% | 0.90 | -18.4% | 6 |
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 | 277 | 16.1% | 0.64 | 29% |
| hidden test | EXPENSIVE | 83 | 33.7% | 1.02 | 39% |
| hidden test | EXTREME | 48 | 34.6% | 0.99 | 31% |
| hidden test | HIGH VOLATILITY | 254 | 10.5% | 0.30 | 34% |
| hidden test | LOW VOLATILITY | 436 | 61.3% | 2.47 | 35% |
| hidden test | MEDIUM VOLATILITY | 251 | -39.0% | -1.21 | 35% |
| hidden test | NORMAL | 810 | 18.7% | 0.64 | 34% |
| hidden test | SIDEWAYS | 293 | 11.6% | 0.40 | 40% |
| hidden test | UPTREND | 371 | 31.7% | 0.94 | 35% |
| train | DOWNTREND | 518 | -6.5% | -0.35 | 20% |
| train | EXPENSIVE | 311 | 49.7% | 2.03 | 27% |
| train | EXTREME | 100 | 129.9% | 2.13 | 26% |
| train | HIGH VOLATILITY | 699 | 36.4% | 0.98 | 28% |
| train | LOW VOLATILITY | 745 | 27.5% | 1.39 | 37% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -0.79 | 25% |
| train | NORMAL | 1,601 | 4.5% | 0.18 | 32% |
| train | SIDEWAYS | 592 | 16.0% | 0.59 | 38% |
| train | UPTREND | 902 | 32.8% | 1.02 | 31% |
| validation | DOWNTREND | 125 | 41.2% | 1.64 | 19% |
| validation | EXPENSIVE | 138 | 21.5% | 1.15 | 9% |
| validation | EXTREME | 144 | 164.4% | 2.71 | 47% |
| validation | HIGH VOLATILITY | 258 | 36.6% | 0.82 | 21% |
| validation | LOW VOLATILITY | 183 | 30.4% | 1.28 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 81.7% | 2.57 | 26% |
| validation | NORMAL | 474 | 29.8% | 1.10 | 31% |
| validation | SIDEWAYS | 206 | 16.9% | 0.62 | 27% |
| validation | UPTREND | 425 | 75.6% | 1.86 | 34% |
Trades (full period)
latest 100 of 156
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 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 | 6.24% | 26 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 26.72% | 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 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 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 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 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 | 14.05% | 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 | 34.11% | 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 | -1.66% | 20 | |
| 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 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 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 | -3.68% | 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 | 0.75% | 5 | |
| 2022-06-27 | 2022-08-12 | $244.92 | $300.03 | 16.42% | 34 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 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 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 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 | 122.76% | 49 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -10.98% | 3 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 13.92% | 19 | |
| 2018-04-30 | 2018-05-17 | $19.59 | $18.97 | -2.78% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.29% | 2 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 25.53% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 |