Strategy Zoo / S1108

LongTermTrend_V1108

ARCHIVEDhybrid

structuralchanged cumret_252d threshold -0.4102 -> -0.5534; reduce exposure to 62% during MEDIUM_VOLATILITY

Fitness

0.6979

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

LongTermTrend_V0822S0822 · gen 37ARCHIVEDstructural

changed cumret_252d threshold -0.1997 -> -0.4102

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1108  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.5534) and ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	32.1%	102.3%	24.7%	42.3%
Total Return	821.4%	728.1%	128.1%	17819.7%
Sharpe	0.99	1.73	0.80	1.13
Sortino	1.22	1.94	0.89	1.31
Calmar	0.66	3.03	0.61	0.87
Volatility	33.9%	47.3%	35.9%	37.5%
Max DD	-48.8%	-33.8%	-40.3%	-48.8%
Win Rate	45.0%	55.6%	58.3%	51.2%
Avg Win	55.8%	71.6%	20.9%	53.0%
Avg Loss	-9.8%	-8.0%	-7.8%	-8.9%
Payoff	5.71	8.96	2.68	5.94
Expectancy	19.7%	36.2%	9.0%	22.8%
Profit Factor	4.67	10.00	3.75	6.24
Trades	20	9	12	41
Avg Holding Days	58.0	54.1	40.1	53.8
Turnover	10.3	8.8	10.2	9.9
Exposure	53.8%	53.5%	47.7%	52.2%

Growth of $100

LongTermTrend_V1108 vs TSLA Buy & Hold

LongTermTrend_V1108 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	-19.8%	-0.96	-34.1%	4
2017	7.4%	0.40	-30.8%	2
2018	-4.9%	0.04	-32.2%	3
2019	54.9%	1.49	-24.9%	1
2020	523.1%	2.97	-33.8%	2
2021	64.9%	1.68	-21.4%	3
2022	-21.8%	-0.87	-28.8%	4

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	16.2%	0.58	29%
hidden test	EXPENSIVE	83	75.8%	1.84	60%
hidden test	EXTREME	48	201.4%	3.48	71%
hidden test	HIGH VOLATILITY	254	49.9%	1.05	52%
hidden test	LOW VOLATILITY	436	51.6%	1.76	52%
hidden test	MEDIUM VOLATILITY	251	-33.2%	-1.04	35%
hidden test	NORMAL	810	13.4%	0.40	45%
hidden test	SIDEWAYS	293	8.5%	0.27	52%
hidden test	UPTREND	371	53.5%	1.24	58%
train	DOWNTREND	518	7.5%	0.47	19%
train	EXPENSIVE	311	77.3%	2.05	73%
train	EXTREME	100	397.9%	5.54	93%
train	HIGH VOLATILITY	699	69.6%	1.55	50%
train	LOW VOLATILITY	745	33.3%	1.26	65%
train	MEDIUM VOLATILITY	568	-10.9%	-0.42	43%
train	NORMAL	1,601	2.2%	0.08	48%
train	SIDEWAYS	592	-13.6%	-0.44	48%
train	UPTREND	902	79.2%	1.89	78%
validation	DOWNTREND	125	28.1%	1.46	10%
validation	EXPENSIVE	138	70.4%	1.37	63%
validation	EXTREME	144	309.5%	3.90	87%
validation	HIGH VOLATILITY	258	109.0%	1.64	54%
validation	LOW VOLATILITY	183	52.7%	1.75	75%
validation	MEDIUM VOLATILITY	315	76.2%	2.16	41%
validation	NORMAL	474	15.8%	0.55	41%
validation	SIDEWAYS	206	11.6%	0.37	45%
validation	UPTREND	425	131.4%	2.27	70%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-4.62%	29	OPEN
2026-04-20	2026-06-10	$392.50	$381.59	0.73%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-08-11	2025-11-21	$339.03	$391.09	19.94%	74
2025-04-30	2025-07-02	$282.16	$315.65	9.88%	44
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
2024-11-07	2025-01-17	$296.91	$426.50	40.89%	48
2024-09-06	2024-10-22	$210.73	$217.97	-6.24%	33
2024-04-30	2024-08-02	$183.28	$207.67	9.88%	66
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-15.62%	29
2023-05-23	2023-08-03	$185.77	$259.32	36.47%	50
2023-01-25	2023-03-10	$144.43	$173.44	28.72%	32
2022-07-19	2022-09-01	$245.53	$277.16	8.73%	33
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-03-22	2022-04-27	$331.33	$293.84	-2.62%	26
2022-01-04	2022-01-25	$383.20	$306.13	-23.38%	15
2021-06-14	2021-12-03	$205.90	$338.32	82.66%	122
2021-04-05	2021-05-11	$230.35	$205.73	-2.48%	27
2020-10-07	2021-02-23	$141.77	$232.95	37.24%	95
2020-04-14	2020-09-30	$47.33	$143.00	168.11%	119
2019-09-13	2020-03-05	$16.35	$48.30	168.36%	120
2019-06-20	2019-08-15	$14.64	$14.38	-4.08%	40
2018-10-29	2019-01-03	$22.32	$20.02	-4.30%	45
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-04-27	2018-07-16	$19.61	$20.67	9.48%	55
2017-12-12	2018-03-23	$22.74	$20.10	-5.66%	70
2017-08-04	2017-11-03	$23.79	$20.41	-11.83%	65
2016-12-21	2017-07-07	$13.85	$20.88	34.99%	136
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.57%	13
2016-03-04	2016-05-05	$13.40	$14.10	7.81%	44
2015-12-01	2016-01-19	$15.81	$13.65	-6.95%	33
2015-09-22	2015-10-12	$17.40	$14.37	-15.74%	15
2015-04-13	2015-08-12	$13.99	$15.88	19.20%	86
2014-11-11	2014-12-09	$16.74	$14.46	-12.36%	20
2014-05-28	2014-10-01	$14.02	$16.02	18.69%	89
2013-12-13	2014-03-26	$9.84	$14.20	38.87%	70
2013-03-26	2013-10-24	$2.52	$11.54	346.61%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
2012-06-19	2012-07-27	$2.14	$1.97	-8.41%	28
2012-02-02	2012-04-25	$2.02	$2.19	15.04%	58