Strategy Zoo / S1103
LongTermTrend_V1103
ARCHIVEDhybridstructuralreplaced exit rule with: sma_200 > roll_high_20
Fitness
0.6191
Generation
50
Complexity
24
Created
2026-10-03
Lineage
Parents (1)
changed sma_200_slope threshold -0.0024 -> -0.0003; changed cumret_252d threshold -0.1997 -> 0.2888
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1103 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))):
position = 1.0
if long and sma_200 > roll_high_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 34.1% | 96.4% | 1.9% | 35.5% |
| Total Return | 942.5% | 658.1% | 7.4% | 8637.9% |
| Sharpe | 0.88 | 1.33 | 0.28 | 0.84 |
| Sortino | 1.19 | 1.85 | 0.38 | 1.13 |
| Calmar | 0.69 | 1.59 | 0.04 | 0.59 |
| Volatility | 44.9% | 68.8% | 49.4% | 51.7% |
| Max DD | -49.7% | -60.6% | -53.7% | -60.6% |
| Win Rate | 46.4% | 66.7% | 46.2% | 47.9% |
| Avg Win | 27.1% | 137.1% | 5.1% | 40.3% |
| Avg Loss | -3.2% | -11.8% | -3.6% | -3.8% |
| Payoff | 8.45 | 10.00 | 1.40 | 10.00 |
| Expectancy | 10.9% | 87.5% | 0.4% | 17.3% |
| Profit Factor | 7.32 | 10.00 | 1.20 | 9.68 |
| Trades | 56 | 9 | 52 | 117 |
| Avg Holding Days | 29.1 | 76.0 | 14.7 | 26.8 |
| Turnover | 14.2 | 6.0 | 27.9 | 15.9 |
| Exposure | 80.8% | 89.3% | 75.6% | 81.2% |
Growth of $100
LongTermTrend_V1103 vs TSLA Buy & Hold
LongTermTrend_V1103 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 | -11.1% | -0.29 | -27.2% | 11 |
| 2017 | 33.9% | 1.01 | -24.5% | 1 |
| 2018 | -5.6% | 0.11 | -30.6% | 8 |
| 2019 | 70.4% | 1.68 | -25.0% | 17 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 44.7% | 0.94 | -36.2% | 0 |
| 2022 | -45.8% | -0.87 | -50.3% | 9 |
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 | -20.2% | -0.51 | 39% |
| hidden test | EXPENSIVE | 83 | 135.9% | 1.95 | 100% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 48.5% | 0.74 | 72% |
| hidden test | LOW VOLATILITY | 436 | 23.2% | 0.64 | 76% |
| hidden test | MEDIUM VOLATILITY | 251 | -36.6% | -0.74 | 78% |
| hidden test | NORMAL | 810 | -8.5% | -0.19 | 72% |
| hidden test | SIDEWAYS | 293 | -54.6% | -1.20 | 79% |
| hidden test | UPTREND | 371 | 93.9% | 1.62 | 100% |
| train | DOWNTREND | 518 | -36.2% | -1.10 | 39% |
| train | EXPENSIVE | 311 | 98.1% | 1.89 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 73.8% | 1.25 | 81% |
| train | LOW VOLATILITY | 745 | 32.5% | 1.09 | 80% |
| train | MEDIUM VOLATILITY | 568 | 5.8% | 0.14 | 82% |
| train | NORMAL | 1,601 | 4.4% | 0.11 | 76% |
| train | SIDEWAYS | 592 | 33.2% | 0.74 | 88% |
| train | UPTREND | 902 | 86.8% | 1.72 | 100% |
| validation | DOWNTREND | 125 | -1.6% | -0.04 | 38% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 133.9% | 1.43 | 84% |
| validation | LOW VOLATILITY | 183 | 54.5% | 1.50 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 77.6% | 1.32 | 88% |
| validation | NORMAL | 474 | 4.3% | 0.07 | 83% |
| validation | SIDEWAYS | 206 | -42.7% | -0.70 | 99% |
| validation | UPTREND | 425 | 183.4% | 2.38 | 100% |
Trades (full period)
latest 100 of 117
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-05-08 | 2026-08-04 | $428.35 | $327.35 | -21.94% | 60 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-20 | 2026-04-27 | $392.50 | $378.67 | -6.26% | 6 | |
| 2025-05-12 | 2026-04-16 | $318.38 | $388.90 | 31.16% | 234 | |
| 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 | |
| 2025-04-30 | 2025-05-05 | $282.16 | $280.26 | -1.85% | 4 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-07-02 | 2025-04-04 | $231.26 | $239.43 | 27.12% | 191 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.96% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-08 | 2024-05-09 | $174.72 | $171.97 | -1.94% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-05-31 | 2024-02-09 | $203.93 | $193.57 | -5.95% | 176 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 4.64% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 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 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 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 | |
| 2022-08-04 | 2022-10-27 | $308.63 | $225.09 | -27.07% | 60 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-27 | 2022-07-28 | $274.82 | $280.90 | 5.96% | 2 | |
| 2022-07-25 | 2022-07-26 | $268.43 | $258.86 | -1.60% | 2 | |
| 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 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2019-10-15 | 2022-06-03 | $17.19 | $234.52 | 1405.01% | 665 | |
| 2019-10-11 | 2019-10-14 | $16.53 | $17.13 | 1.09% | 2 | |
| 2019-10-02 | 2019-10-03 | $16.21 | $15.54 | -0.84% | 2 | |
| 2019-09-23 | 2019-09-24 | $16.08 | $14.88 | 0.05% | 2 | |
| 2019-09-19 | 2019-09-20 | $16.44 | $16.04 | 1.08% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.61% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.47% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 4.70% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-12 | 2019-07-15 | $16.34 | $16.90 | 2.51% | 2 | |
| 2019-07-10 | 2019-07-11 | $15.93 | $15.91 | 3.65% | 2 | |
| 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 | |
| 2018-10-26 | 2019-03-29 | $22.06 | $18.66 | -11.68% | 105 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-06-12 | 2018-09-26 | $22.85 | $20.64 | -9.55% | 75 | |
| 2018-06-08 | 2018-06-11 | $21.18 | $22.14 | 0.30% | 2 | |
| 2018-06-06 | 2018-06-07 | $21.30 | $21.07 | 9.54% | 2 | |
| 2018-06-04 | 2018-06-05 | $19.78 | $19.41 | 1.48% | 2 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-11 | $20.33 | $20.07 | -0.80% | 2 | |
| 2017-12-12 | 2018-04-12 | $22.74 | $19.61 | -8.69% | 83 | |
| 2016-12-27 | 2017-11-30 | $14.64 | $20.59 | 43.87% | 235 | |
| 2016-12-22 | 2016-12-23 | $13.90 | $14.22 | 0.16% | 2 | |
| 2016-12-20 | 2016-12-21 | $13.92 | $13.85 | 2.79% | 2 | |
| 2016-12-16 | 2016-12-19 | $13.50 | $13.52 | 2.28% | 2 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.07% | 2 | |
| 2016-03-18 | 2016-09-27 | $15.52 | $13.72 | -7.86% | 134 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 3.48% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -1.89% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-12-01 | 2016-02-02 | $15.81 | $12.19 | -14.64% | 43 | |
| 2015-11-27 | 2015-11-30 | $15.44 | $15.35 | 0.66% | 2 | |
| 2015-04-27 | 2015-11-04 | $15.44 | $15.44 | -4.80% | 135 |