Strategy Zoo / S1208

LongTermTrend_V1208

ARCHIVEDhybrid

structuraladded exit filter: ret_20d > 0.0944

Fitness
0.4391
Generation
55
Complexity
26
Created
2026-10-06

Lineage

Parents (1)
LongTermTrend_V1018S1018 · gen 46ARCHIVEDstructural

changed cumret_252d threshold 0.2888 -> 0.0286

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1208  [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 > 0.0286 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 or ret_20d > 0.0944):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR4.3%58.3%-3.0%11.7%
Total Return39.9%296.4%-10.8%407.6%
Sharpe0.291.400.040.51
Sortino0.301.590.040.54
Calmar0.081.77-0.080.21
Volatility27.2%37.9%29.7%30.3%
Max DD-54.9%-33.0%-39.6%-54.9%
Win Rate52.8%58.6%49.0%53.6%
Avg Win2.7%3.7%3.2%3.1%
Avg Loss-2.6%-3.1%-3.1%-2.9%
Payoff1.021.191.051.08
Expectancy0.2%0.9%0.0%0.3%
Profit Factor1.141.681.001.24
Trades369181149700
Avg Holding Days2.62.42.92.6
Turnover92.4120.779.795.1
Exposure29.6%33.5%30.0%30.5%

Growth of $100

LongTermTrend_V1208 vs TSLA Buy & Hold
LongTermTrend_V1208 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
201616.6%1.25-5.8%29
20171.3%0.16-14.5%62
2018-22.1%-0.82-28.5%32
201927.1%0.99-22.6%31
2020126.6%1.84-33.0%95
202142.8%1.49-15.1%54
20224.3%0.29-17.3%30

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 testDOWNTREND2781.3%0.0621%
hidden testEXPENSIVE8312.1%0.2737%
hidden testEXTREME4859.2%1.9031%
hidden testHIGH VOLATILITY254-21.6%-0.5331%
hidden testLOW VOLATILITY43832.5%1.5730%
hidden testMEDIUM VOLATILITY250-30.1%-1.0130%
hidden testNORMAL811-3.2%-0.1229%
hidden testSIDEWAYS293-25.5%-0.8138%
hidden testUPTREND37122.5%0.6731%
trainDOWNTREND518-11.3%-0.6716%
trainEXPENSIVE31123.4%0.8342%
trainEXTREME100195.3%3.3347%
trainHIGH VOLATILITY69918.6%0.5226%
trainLOW VOLATILITY74517.5%0.9133%
trainMEDIUM VOLATILITY568-18.1%-0.7829%
trainNORMAL1,601-6.9%-0.2926%
trainSIDEWAYS59210.5%0.4830%
trainUPTREND90217.1%0.5037%
validationDOWNTREND12530.2%1.2114%
validationEXPENSIVE13815.4%0.3632%
validationEXTREME144183.0%3.2147%
validationHIGH VOLATILITY25837.4%0.7628%
validationLOW VOLATILITY18322.3%1.1042%
validationMEDIUM VOLATILITY31583.9%2.3733%
validationNORMAL47424.6%0.8930%
validationSIDEWAYS20633.8%1.4025%
validationUPTREND42569.2%1.5143%

Trades (full period)

latest 100 of 700
EntryExitEntry PxExit PxReturnDays
2026-09-182026-09-29$364.27$352.84-2.58%8
2026-09-142026-09-17$358.97$366.20-2.21%4
2026-09-102026-09-11$363.56$365.44-1.35%2
2026-09-042026-09-09$354.08$367.81-2.38%3
2026-09-012026-09-03$356.09$376.37-3.17%3
2026-08-262026-08-27$345.82$354.81-1.46%2
2026-08-242026-08-25$348.95$350.25-4.03%2
2026-07-012026-07-15$425.30$394.46-5.99%10
2026-06-042026-06-05$418.45$391.00-1.44%2
2026-06-022026-06-03$423.74$423.701.69%2
2026-05-292026-06-01$435.79$415.88-1.63%2
2026-05-272026-05-28$440.36$442.101.36%2
2026-05-222026-05-26$426.01$433.591.75%2
2026-05-182026-05-21$409.99$417.85-1.38%4
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
2026-04-162026-05-05$388.90$389.37-0.06%14
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
2025-12-042025-12-15$454.53$475.312.53%8
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-05$468.37$462.07-2.89%3
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-102025-10-13$413.49$435.90-5.26%2
2025-10-082025-10-09$438.69$435.541.09%2
2025-10-062025-10-07$453.25$433.095.24%2
2025-10-022025-10-03$436.00$429.83-5.30%2
2025-09-302025-10-01$444.72$459.460.14%2
2025-09-262025-09-29$440.40$443.213.81%2
2025-09-242025-09-25$442.79$423.393.77%2
2025-09-222025-09-23$434.21$425.851.71%2
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-082025-09-15$346.40$410.0412.63%6
2025-09-042025-09-05$338.53$350.841.13%2
2025-09-022025-09-03$329.36$334.09-1.55%2
2025-08-282025-08-29$345.98$333.87-1.23%2
2025-08-252025-08-27$346.60$349.603.22%3
2025-08-142025-08-22$335.58$340.01-5.87%7
2025-08-082025-08-13$329.65$339.385.55%4
2025-07-212025-08-01$328.49$302.63-6.67%10
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-052025-06-06$284.70$295.14-14.45%2
2025-06-032025-06-04$344.27$332.050.26%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
2025-05-152025-05-16$342.82$349.98-1.60%2
2025-05-132025-05-14$334.07$347.684.72%2
2025-05-092025-05-12$298.26$318.384.51%2
2025-05-072025-05-08$276.22$284.820.12%2
2025-05-012025-05-06$280.52$275.35-0.87%4
2025-04-282025-04-30$285.88$282.162.28%3
2025-01-062025-01-07$411.05$394.36-0.05%2
2025-01-022025-01-03$379.28$410.44-6.28%2
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2
2024-11-082024-11-11$321.22$350.007.98%2
2024-10-252024-11-07$269.19$296.9110.55%10
2024-10-022024-10-03$249.02$240.66-3.68%2
2024-09-302024-10-01$261.63$258.020.25%2
2024-09-262024-09-27$254.22$260.46-1.29%2
2024-09-242024-09-25$254.27$257.021.51%2
2024-09-162024-09-23$226.78$250.003.25%6
2024-09-122024-09-13$229.81$230.290.54%2
2024-09-062024-09-11$210.73$228.13-1.94%4
2024-08-202024-08-30$221.10$214.11-7.57%9
2024-07-192024-07-22$239.20$251.51-4.22%2
2024-07-172024-07-18$248.50$249.23-3.34%2
2024-07-152024-07-16$252.64$256.561.57%2
2024-07-112024-07-12$241.03$248.23-8.64%2
2024-07-092024-07-10$262.33$263.263.51%2
2024-07-052024-07-08$251.52$252.941.88%2
2024-07-022024-07-03$231.26$246.399.99%2
2024-06-282024-07-01$197.88$209.860.03%2
2024-06-172024-06-27$187.44$197.4210.10%8
2024-05-242024-05-30$179.24$178.791.21%4