Strategy Zoo / S1174

LongTermTrend_V1174

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.05 -> 0.1314

Fitness

0.7078

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

LongTermTrend_V0519S0519 · gen 24ARCHIVEDparameter

entry from LongTermTrend_V0323, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1174  [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 > -0.1997) and ret_20d > 0.1314):
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.4%	105.6%	19.4%	37.3%
Total Return	509.3%	769.6%	94.2%	10495.0%
Sharpe	0.89	1.72	0.73	1.08
Sortino	0.85	1.73	0.58	0.99
Calmar	0.48	3.13	0.78	0.70
Volatility	30.5%	48.8%	31.0%	35.1%
Max DD	-53.3%	-33.7%	-24.9%	-53.3%
Win Rate	56.0%	58.3%	58.3%	57.1%
Avg Win	20.7%	49.9%	15.4%	30.9%
Avg Loss	-7.9%	-7.5%	-5.4%	-7.2%
Payoff	2.62	6.63	2.86	4.28
Expectancy	8.1%	26.0%	6.7%	14.6%
Profit Factor	3.33	9.28	4.00	5.71
Trades	25	12	12	49
Avg Holding Days	29.4	30.2	25.2	29.5
Turnover	6.4	8.0	6.4	6.7
Exposure	37.6%	46.3%	30.8%	37.7%

Growth of $100

LongTermTrend_V1174 vs TSLA Buy & Hold

LongTermTrend_V1174 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	23.2%	1.39	-9.3%	2
2017	4.4%	0.30	-19.5%	4
2018	-29.1%	-1.39	-34.2%	4
2019	46.3%	1.37	-21.7%	2
2020	500.0%	2.87	-33.7%	4
2021	54.1%	1.44	-18.6%	5
2022	-9.8%	-0.24	-23.0%	3

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	278	5.7%	0.34	14%
hidden test	EXPENSIVE	83	61.3%	1.54	57%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	31.3%	0.78	30%
hidden test	LOW VOLATILITY	438	42.2%	1.87	30%
hidden test	MEDIUM VOLATILITY	250	-20.6%	-0.63	34%
hidden test	NORMAL	811	9.1%	0.33	26%
hidden test	SIDEWAYS	293	4.7%	0.19	24%
hidden test	UPTREND	371	49.4%	1.18	49%
train	DOWNTREND	518	3.5%	0.35	6%
train	EXPENSIVE	311	41.3%	1.10	64%
train	EXTREME	100	380.3%	5.23	96%
train	HIGH VOLATILITY	699	45.0%	1.14	35%
train	LOW VOLATILITY	745	33.6%	1.46	47%
train	MEDIUM VOLATILITY	568	-3.1%	-0.12	29%
train	NORMAL	1,601	2.4%	0.10	29%
train	SIDEWAYS	592	-5.1%	-0.22	25%
train	UPTREND	902	62.0%	1.53	64%
validation	DOWNTREND	125	40.1%	2.07	6%
validation	EXPENSIVE	138	82.8%	1.54	55%
validation	EXTREME	144	319.7%	3.89	91%
validation	HIGH VOLATILITY	258	81.1%	1.22	48%
validation	LOW VOLATILITY	183	35.1%	1.80	33%
validation	MEDIUM VOLATILITY	315	114.9%	2.65	52%
validation	NORMAL	474	12.8%	0.44	30%
validation	SIDEWAYS	206	-16.5%	-0.59	32%
validation	UPTREND	425	145.7%	2.39	65%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	2026-09-30	$348.95	$354.81	-2.96%	27
2026-05-07	2026-06-08	$411.79	$408.95	-2.13%	22
2025-12-15	2026-01-05	$475.31	$451.67	-4.74%	14
2025-09-15	2025-10-23	$410.04	$448.98	10.65%	29
2025-05-06	2025-06-12	$275.35	$319.11	16.24%	27
2024-11-07	2025-01-13	$296.91	$403.31	36.54%	44
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-07-02	2024-08-02	$231.26	$207.67	3.14%	23
2024-05-17	2024-05-29	$177.46	$176.19	0.89%	8
2023-11-27	2024-01-08	$236.08	$240.45	0.67%	29
2023-09-14	2023-09-28	$276.04	$246.38	-11.53%	11
2023-05-24	2023-07-24	$182.90	$269.06	39.69%	41
2022-07-20	2022-08-29	$247.50	$284.82	17.10%	29
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2022-01-04	2022-01-24	$383.20	$310.00	-21.49%	14
2021-09-16	2021-12-01	$252.33	$365.00	51.15%	54
2021-07-02	2021-07-23	$226.30	$214.46	-4.42%	15
2021-04-19	2021-05-04	$238.21	$224.53	-7.61%	12
2021-04-06	2021-04-12	$230.54	$233.99	-2.23%	5
2020-11-19	2021-02-09	$166.42	$283.15	77.07%	55
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-19	2020-09-24	$125.24	$129.26	0.58%	26
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-10-23	2020-03-04	$16.98	$49.97	191.11%	91
2019-09-16	2019-10-10	$16.19	$16.32	-0.47%	19
2019-07-16	2019-08-06	$16.83	$15.38	-10.11%	16
2018-10-29	2018-12-19	$22.32	$22.20	1.65%	36
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-13	2018-07-06	$22.99	$20.59	-9.99%	17
2018-05-01	2018-05-04	$19.99	$19.61	-3.41%	4
2017-08-07	2017-08-22	$23.68	$22.76	-5.53%	12
2017-06-05	2017-07-06	$23.15	$20.59	-3.94%	23
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2016-12-21	2017-02-28	$13.85	$16.67	17.70%	46
2016-07-25	2016-08-17	$15.33	$14.88	0.41%	18
2016-03-07	2016-05-03	$13.69	$15.49	20.04%	41
2015-09-22	2015-09-30	$17.40	$16.56	-6.83%	7
2015-04-27	2015-07-27	$15.44	$16.87	21.27%	64
2014-11-17	2014-12-02	$16.93	$15.43	-10.63%	11
2014-08-08	2014-09-16	$16.54	$17.38	0.38%	27
2014-06-09	2014-07-16	$13.69	$14.48	5.27%	27
2014-01-21	2014-03-26	$11.78	$14.20	29.41%	46
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2013-01-30	2013-02-22	$2.50	$2.41	-7.54%	17
2012-11-14	2012-12-31	$2.09	$2.26	4.88%	32
2012-06-19	2012-07-20	$2.14	$2.12	1.15%	23
2012-02-06	2012-04-10	$2.12	$2.16	6.21%	45