Strategy Zoo / S1229
LongTermTrend_V1229
ARCHIVEDhybridstructuralreplaced exit rule with: sma_200 > roll_high_20
Fitness
0.6052
Generation
56
Complexity
11
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1229 [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 > 0.05):
position = 1.0
if long and sma_200 > roll_high_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 30.0% | 93.6% | 0.6% | 32.3% |
| Total Return | 710.3% | 625.6% | 2.4% | 6101.1% |
| Sharpe | 0.81 | 1.31 | 0.25 | 0.80 |
| Sortino | 1.07 | 1.82 | 0.33 | 1.06 |
| Calmar | 0.61 | 1.54 | 0.01 | 0.53 |
| Volatility | 44.2% | 68.4% | 48.3% | 51.0% |
| Max DD | -49.0% | -60.6% | -54.0% | -60.6% |
| Win Rate | 37.0% | 57.1% | 36.0% | 39.0% |
| Avg Win | 66.5% | 201.8% | 8.8% | 94.2% |
| Avg Loss | -5.0% | -8.5% | -4.1% | -4.9% |
| Payoff | 10.00 | 10.00 | 2.13 | 10.00 |
| Expectancy | 21.5% | 111.6% | 0.5% | 33.7% |
| Profit Factor | 7.87 | 10.00 | 1.20 | 10.00 |
| Trades | 27 | 7 | 25 | 59 |
| Avg Holding Days | 57.2 | 97.3 | 28.4 | 50.6 |
| Turnover | 6.9 | 4.7 | 13.4 | 8.0 |
| Exposure | 77.8% | 89.2% | 72.6% | 78.8% |
Growth of $100
LongTermTrend_V1229 vs TSLA Buy & Hold
LongTermTrend_V1229 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 | -18.6% | -0.62 | -27.2% | 8 |
| 2017 | 33.9% | 1.01 | -24.5% | 1 |
| 2018 | -10.9% | -0.02 | -30.6% | 4 |
| 2019 | 31.8% | 0.96 | -28.3% | 9 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 44.7% | 0.94 | -36.2% | 0 |
| 2022 | -48.1% | -1.00 | -52.5% | 7 |
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 | -43.1% | -1.15 | 35% |
| hidden test | EXPENSIVE | 83 | 135.9% | 1.95 | 100% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 31.2% | 0.49 | 67% |
| hidden test | LOW VOLATILITY | 439 | 16.1% | 0.45 | 74% |
| hidden test | MEDIUM VOLATILITY | 250 | -13.7% | -0.28 | 76% |
| hidden test | NORMAL | 812 | -10.6% | -0.24 | 68% |
| hidden test | SIDEWAYS | 294 | -38.5% | -0.89 | 74% |
| hidden test | UPTREND | 371 | 94.0% | 1.62 | 100% |
| train | DOWNTREND | 518 | -36.1% | -1.20 | 32% |
| train | EXPENSIVE | 311 | 98.1% | 1.89 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 75.2% | 1.29 | 79% |
| train | LOW VOLATILITY | 745 | 29.3% | 1.01 | 77% |
| train | MEDIUM VOLATILITY | 568 | -3.9% | -0.10 | 78% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 72% |
| train | SIDEWAYS | 592 | 20.5% | 0.46 | 85% |
| train | UPTREND | 902 | 87.3% | 1.73 | 100% |
| validation | DOWNTREND | 125 | -14.8% | -0.37 | 36% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 144.7% | 1.55 | 84% |
| validation | LOW VOLATILITY | 183 | 54.5% | 1.50 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 64.5% | 1.11 | 87% |
| validation | NORMAL | 474 | 1.5% | 0.03 | 83% |
| validation | SIDEWAYS | 206 | -41.3% | -0.67 | 100% |
| validation | UPTREND | 425 | 183.5% | 2.38 | 100% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-07 | 2026-08-04 | $411.79 | $327.35 | -19.38% | 61 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-27 | $392.50 | $378.67 | -6.26% | 6 | |
| 2025-05-12 | 2026-04-16 | $318.38 | $388.90 | 31.16% | 234 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-04-30 | 2025-05-05 | $282.16 | $280.26 | -1.85% | 4 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-07-02 | 2025-04-04 | $231.26 | $239.43 | 27.12% | 191 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -3.73% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-05-31 | 2024-02-09 | $203.93 | $193.57 | -5.95% | 176 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2022-08-03 | 2022-10-27 | $307.40 | $225.09 | -25.41% | 61 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2019-10-23 | 2022-06-03 | $16.98 | $234.52 | 1413.12% | 659 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-24 | 2019-09-25 | $14.88 | $15.25 | -7.66% | 2 | |
| 2019-09-20 | 2019-09-23 | $16.04 | $16.08 | -2.62% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.61% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.47% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2018-10-29 | 2019-03-29 | $22.32 | $18.66 | -15.97% | 104 | |
| 2018-06-12 | 2018-09-26 | $22.85 | $20.64 | -9.55% | 75 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2017-12-12 | 2018-04-12 | $22.74 | $19.61 | -8.69% | 83 | |
| 2016-12-28 | 2017-11-30 | $14.65 | $20.59 | 39.81% | 234 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.72% | 2 | |
| 2016-03-18 | 2016-09-27 | $15.52 | $13.72 | -7.86% | 134 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 3.48% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -1.89% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-12-01 | 2016-02-02 | $15.81 | $12.19 | -14.64% | 43 | |
| 2015-04-28 | 2015-11-04 | $15.37 | $15.44 | -10.20% | 134 | |
| 2015-04-24 | 2015-04-27 | $14.56 | $15.44 | -0.28% | 2 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2012-11-06 | 2015-01-02 | $2.08 | $14.62 | 604.64% | 543 | |
| 2012-01-04 | 2012-08-20 | $1.85 | $1.97 | 6.66% | 159 |