Strategy Zoo / S1207
LongTermTrend_V1207
ARCHIVEDhybridstructuraladded exit filter: roll_high_50 > sma_10
Fitness
0.3402
Generation
55
Complexity
14
Created
2026-10-06
Lineage
Parents (1)
restricted to bubble regimes ['EXPENSIVE', 'EXTREME']
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1207 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
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 > 0.05):
position = 1.0
if long and (ret_20d < -0.1003 or roll_high_50 > sma_10):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.4% | 33.7% | -2.5% | 9.8% |
| Total Return | 77.5% | 138.9% | -8.9% | 296.7% |
| Sharpe | 0.50 | 1.13 | -0.13 | 0.58 |
| Sortino | 0.36 | 0.85 | -0.06 | 0.37 |
| Calmar | 0.36 | 1.02 | -0.08 | 0.30 |
| Volatility | 17.2% | 29.7% | 12.7% | 19.5% |
| Max DD | -20.5% | -33.0% | -29.6% | -33.0% |
| Win Rate | 49.4% | 60.7% | 45.0% | 53.0% |
| Avg Win | 3.0% | 3.6% | 3.5% | 3.3% |
| Avg Loss | -2.0% | -3.2% | -3.1% | -2.5% |
| Payoff | 1.47 | 1.12 | 1.11 | 1.29 |
| Expectancy | 0.4% | 0.9% | -0.2% | 0.5% |
| Profit Factor | 1.43 | 1.74 | 0.91 | 1.46 |
| Trades | 156 | 107 | 40 | 304 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 39.1 | 71.3 | 21.4 | 41.3 |
| Exposure | 7.8% | 14.2% | 4.2% | 8.2% |
Growth of $100
LongTermTrend_V1207 vs TSLA Buy & Hold
LongTermTrend_V1207 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -2.4% | -0.08 | -17.0% | 48 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 2.0% | 0.37 | -3.9% | 5 |
| 2020 | 143.7% | 2.06 | -33.0% | 94 |
| 2021 | -2.2% | -0.10 | -12.7% | 12 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -53.2% | -2.45 | 28% |
| hidden test | EXTREME | 48 | 92.7% | 1.95 | 31% |
| hidden test | HIGH VOLATILITY | 254 | 16.8% | 0.90 | 7% |
| hidden test | LOW VOLATILITY | 438 | 9.2% | 1.40 | 2% |
| hidden test | MEDIUM VOLATILITY | 250 | -39.5% | -2.97 | 6% |
| hidden test | NORMAL | 811 | -2.0% | -0.81 | 0% |
| hidden test | SIDEWAYS | 293 | -3.5% | -1.35 | 1% |
| hidden test | UPTREND | 371 | -1.5% | -0.08 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.1% | 0.15 | 34% |
| train | EXTREME | 100 | 187.3% | 3.15 | 47% |
| train | HIGH VOLATILITY | 699 | 18.7% | 0.74 | 11% |
| train | LOW VOLATILITY | 745 | 4.2% | 0.53 | 6% |
| train | MEDIUM VOLATILITY | 568 | 2.0% | 0.15 | 6% |
| train | NORMAL | 1,601 | -1.7% | -0.70 | 0% |
| train | SIDEWAYS | 592 | 0.3% | 0.06 | 3% |
| train | UPTREND | 902 | 19.0% | 0.75 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 17.6% | 0.45 | 29% |
| validation | EXTREME | 144 | 159.0% | 2.86 | 47% |
| validation | HIGH VOLATILITY | 258 | 50.4% | 1.13 | 21% |
| validation | LOW VOLATILITY | 183 | 9.1% | 1.34 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 33.8% | 1.56 | 15% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 14.4% | 1.28 | 2% |
| validation | UPTREND | 425 | 52.6% | 1.35 | 24% |
Trades (full period)
latest 100 of 304
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-22 | 2021-01-25 | $282.21 | $293.60 | -0.00% | 2 | |
| 2021-01-20 | 2021-01-21 | $283.48 | $281.66 | 0.50% | 2 | |
| 2021-01-15 | 2021-01-19 | $275.39 | $281.52 | -2.43% | 2 | |
| 2021-01-13 | 2021-01-14 | $284.80 | $281.67 | 0.38% | 2 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-22 | 2020-12-23 | $213.45 | $215.33 | -1.66% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-16 | 2020-12-17 | $207.59 | $218.63 | -1.85% | 2 | |
| 2020-12-14 | 2020-12-15 | $213.28 | $211.08 | 4.69% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 3.53% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-12-02 | 2020-12-03 | $189.61 | $197.79 | -2.92% | 2 | |
| 2020-11-30 | 2020-12-01 | $189.20 | $194.92 | -3.30% | 2 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.78% | 2 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -21.24% | 2 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 6.21% | 2 | |
| 2020-08-24 | 2020-08-25 | $134.28 | $134.89 | -1.94% | 2 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 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 | |
| 2020-07-24 | 2020-07-27 | $94.47 | $102.64 | -6.54% | 2 | |
| 2020-07-22 | 2020-07-23 | $106.16 | $100.87 | 1.33% | 2 | |
| 2020-07-20 | 2020-07-21 | $109.53 | $104.56 | 9.26% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -3.13% | 2 | |
| 2020-07-14 | 2020-07-15 | $101.12 | $103.07 | 1.12% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 |