Strategy Zoo / S1148

LongTermTrend_V1148

ARCHIVEDhybrid

structuraladded exit filter: vol_chg < 0.7647

Fitness
0.3124
Generation
52
Complexity
28
Created
2026-10-03

Lineage

Parents (1)
LongTermTrend_V1083S1083 · gen 49ELITEstructural

swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1148  [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 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):
    position = 1.0
if long and (macd_hist < 0.0 or vol_chg < 0.7647):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR5.0%36.3%-5.3%8.1%
Total Return47.9%153.5%-18.5%213.8%
Sharpe0.321.04-0.130.42
Sortino0.321.08-0.110.41
Calmar0.101.13-0.150.17
Volatility25.6%36.2%22.6%27.5%
Max DD-48.0%-32.2%-36.3%-48.0%
Win Rate50.0%55.9%49.4%51.4%
Avg Win2.5%3.3%2.4%2.7%
Avg Loss-2.1%-2.8%-2.5%-2.3%
Payoff1.181.180.971.14
Expectancy0.2%0.6%-0.1%0.2%
Profit Factor1.181.500.951.21
Trades374177162714
Avg Holding Days2.22.22.12.2
Turnover93.7118.086.897.0
Exposure23.0%27.1%18.8%22.8%

Growth of $100

LongTermTrend_V1148 vs TSLA Buy & Hold
LongTermTrend_V1148 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
YearCAGRSharpeMax DDTrades
201616.0%1.18-9.6%30
2017-5.2%-0.30-13.1%54
2018-20.3%-0.90-32.1%39
20196.0%0.37-22.8%36
2020207.2%2.37-20.2%86
2021-6.6%-0.13-20.7%65
2022-15.0%-0.76-21.3%26

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND277-5.7%-0.2913%
hidden testEXPENSIVE83-5.1%-0.2030%
hidden testEXTREME4812.4%0.3219%
hidden testHIGH VOLATILITY2548.8%0.3122%
hidden testLOW VOLATILITY43613.3%0.7319%
hidden testMEDIUM VOLATILITY251-43.0%-1.8516%
hidden testNORMAL810-3.6%-0.1718%
hidden testSIDEWAYS293-20.0%-1.0521%
hidden testUPTREND37112.6%0.4722%
trainDOWNTREND518-6.0%-0.4310%
trainEXPENSIVE311-2.3%-0.0834%
trainEXTREME100233.9%3.7155%
trainHIGH VOLATILITY69923.6%0.6724%
trainLOW VOLATILITY7456.0%0.3625%
trainMEDIUM VOLATILITY568-8.2%-0.3820%
trainNORMAL1,601-4.0%-0.2019%
trainSIDEWAYS5925.5%0.2523%
trainUPTREND90217.9%0.5530%
validationDOWNTREND1256.3%0.355%
validationEXPENSIVE13830.1%0.8532%
validationEXTREME144198.4%3.1149%
validationHIGH VOLATILITY25833.5%0.6925%
validationLOW VOLATILITY183-6.5%-0.3328%
validationMEDIUM VOLATILITY31566.4%2.1328%
validationNORMAL474-9.2%-0.4319%
validationSIDEWAYS2066.0%0.2620%
validationUPTREND42562.0%1.3937%

Trades (full period)

latest 100 of 714
EntryExitEntry PxExit PxReturnDays
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-142026-09-15$358.97$356.58-1.97%2
2026-09-102026-09-11$363.56$365.44-1.35%2
2026-09-042026-09-09$354.08$367.81-2.38%3
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-042025-11-05$444.26$462.07-5.34%2
2025-10-032025-10-06$429.83$453.25-1.61%2
2025-10-012025-10-02$459.46$436.003.11%2
2025-09-292025-09-30$443.21$444.720.44%2
2025-09-252025-09-26$423.39$440.40-4.58%2
2025-09-232025-09-24$425.85$442.79-2.12%2
2025-09-192025-09-22$426.07$434.212.01%2
2025-09-162025-09-18$421.62$416.853.65%3
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-05-302025-06-02$346.46$342.69-3.54%2
2025-05-282025-05-29$356.90$358.43-1.85%2
2025-05-232025-05-27$339.34$362.89-0.70%2
2025-05-212025-05-22$334.62$341.04-2.87%2
2025-05-192025-05-20$342.09$343.82-2.45%2
2025-05-142025-05-16$347.68$349.982.42%3
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-12-202024-12-23$421.06$430.60-3.66%2
2024-12-182024-12-19$440.13$436.17-8.47%2
2024-12-162024-12-17$463.02$479.865.94%2
2024-12-112024-12-13$424.77$436.234.06%3
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-11-272024-11-29$332.89$345.16-1.78%2
2024-11-252024-11-26$338.59$338.23-4.16%2
2024-11-212024-11-22$339.64$352.56-0.90%2
2024-11-192024-11-20$346.00$342.031.94%2
2024-11-152024-11-18$320.72$338.742.86%2
2024-11-112024-11-14$350.00$311.182.61%4
2024-11-072024-11-08$296.91$321.222.70%2
2024-11-052024-11-06$251.44$288.533.34%2
2024-11-012024-11-04$248.98$242.84-0.55%2
2024-10-252024-10-31$269.19$249.85-1.32%5
2024-10-032024-10-04$240.66$250.08-3.55%2
2024-10-012024-10-02$258.02$249.02-1.58%2
2024-09-272024-09-30$260.46$261.632.25%2
2024-09-252024-09-26$257.02$254.220.88%2
2024-09-232024-09-24$250.00$254.274.73%2
2024-09-192024-09-20$243.92$238.257.15%2
2024-09-172024-09-18$227.87$227.200.28%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.67%2
2024-09-062024-09-10$210.73$226.17-6.24%3
2024-08-262024-08-27$213.21$209.21-3.42%2
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-07-182024-07-19$249.23$239.200.09%2
2024-07-162024-07-17$256.56$248.501.35%2
2024-07-122024-07-15$248.23$252.642.78%2
2024-07-102024-07-11$263.26$241.030.15%2
2024-07-082024-07-09$252.94$262.330.36%2
2024-07-012024-07-05$209.86$251.5224.27%4
2024-06-272024-06-28$197.42$197.880.33%2