Strategy Zoo / S1106
LongTermTrend_V1106
ARCHIVEDhybridstructuralreduce exposure to 41% during EXPENSIVE
Fitness
0.5807
Generation
50
Complexity
25
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_V1106 [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 macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 63.6% | 22.3% | 27.3% |
| Total Return | 270.0% | 337.8% | 112.3% | 3380.5% |
| Sharpe | 0.70 | 1.35 | 0.80 | 0.89 |
| Sortino | 0.68 | 1.46 | 0.84 | 0.90 |
| Calmar | 0.45 | 2.63 | 0.67 | 0.69 |
| Volatility | 29.7% | 43.5% | 31.1% | 33.3% |
| Max DD | -39.4% | -24.2% | -33.1% | -39.4% |
| Win Rate | 47.2% | 57.5% | 32.5% | 47.9% |
| Avg Win | 8.2% | 6.4% | 14.2% | 8.4% |
| Avg Loss | -3.9% | -2.9% | -3.3% | -3.5% |
| Payoff | 2.13 | 2.20 | 4.35 | 2.43 |
| Expectancy | 1.8% | 2.4% | 2.4% | 2.2% |
| Profit Factor | 1.90 | 2.97 | 2.09 | 2.24 |
| Trades | 106 | 73 | 40 | 219 |
| Avg Holding Days | 8.5 | 5.8 | 10.3 | 8.0 |
| Turnover | 22.6 | 42.0 | 20.8 | 26.1 |
| Exposure | 34.8% | 41.4% | 36.5% | 36.6% |
Growth of $100
LongTermTrend_V1106 vs TSLA Buy & Hold
LongTermTrend_V1106 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 | 26.5% | 1.47 | -12.2% | 5 |
| 2017 | 12.9% | 0.88 | -11.9% | 21 |
| 2018 | -3.9% | 0.00 | -23.3% | 8 |
| 2019 | 13.4% | 0.54 | -28.9% | 6 |
| 2020 | 205.3% | 2.15 | -24.2% | 36 |
| 2021 | 31.5% | 1.01 | -16.8% | 26 |
| 2022 | -4.4% | -0.03 | -17.6% | 10 |
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 | 14.6% | 0.60 | 27% |
| hidden test | EXPENSIVE | 83 | 57.1% | 1.54 | 29% |
| hidden test | EXTREME | 48 | 83.2% | 2.04 | 43% |
| hidden test | HIGH VOLATILITY | 254 | 26.5% | 0.66 | 40% |
| hidden test | LOW VOLATILITY | 436 | 47.8% | 1.94 | 36% |
| hidden test | MEDIUM VOLATILITY | 251 | -16.3% | -0.53 | 34% |
| hidden test | NORMAL | 810 | 18.2% | 0.61 | 37% |
| hidden test | SIDEWAYS | 293 | 1.2% | 0.04 | 46% |
| hidden test | UPTREND | 371 | 51.4% | 1.48 | 36% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 13.9% | 0.66 | 27% |
| train | EXTREME | 100 | 304.9% | 4.48 | 81% |
| train | HIGH VOLATILITY | 699 | 39.5% | 1.01 | 33% |
| train | LOW VOLATILITY | 745 | 29.0% | 1.39 | 41% |
| train | MEDIUM VOLATILITY | 568 | -13.3% | -0.52 | 29% |
| train | NORMAL | 1,601 | 4.3% | 0.16 | 33% |
| train | SIDEWAYS | 592 | 14.6% | 0.54 | 38% |
| train | UPTREND | 902 | 41.4% | 1.15 | 42% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | -1.6% | -0.06 | 22% |
| validation | EXTREME | 144 | 232.6% | 3.04 | 77% |
| validation | HIGH VOLATILITY | 258 | 66.7% | 1.11 | 38% |
| validation | LOW VOLATILITY | 183 | 24.6% | 1.08 | 49% |
| validation | MEDIUM VOLATILITY | 315 | 71.6% | 2.00 | 40% |
| validation | NORMAL | 474 | 23.2% | 0.74 | 36% |
| validation | SIDEWAYS | 206 | 11.1% | 0.36 | 36% |
| validation | UPTREND | 425 | 88.1% | 1.68 | 52% |
Trades (full period)
latest 100 of 219
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -1.52% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.15% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.71% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.38% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -1.90% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 16.67% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 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 | 25.92% | 26 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 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 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 15.42% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 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 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 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 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.43% | 2 | |
| 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 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 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 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 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 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 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 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.03% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -0.93% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 2.31% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -1.44% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.02% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 1.28% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.56% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.06% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 0.92% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.96% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 11.38% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -1.96% | 3 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.22% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.12% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 0.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 1.04% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.07% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 4.39% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.67% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.33% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 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 | 26.32% | 17 |