Strategy Zoo / S1232
LongTermTrend_V1232
ARCHIVEDhybridstructuralreduce exposure to 41% during EXPENSIVE
Fitness
0.6098
Generation
56
Complexity
12
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1232 [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 ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.6% | 80.4% | 5.9% | 26.7% |
| Total Return | 345.4% | 486.8% | 24.0% | 3179.8% |
| Sharpe | 0.79 | 1.50 | 0.34 | 0.87 |
| Sortino | 0.78 | 1.49 | 0.29 | 0.82 |
| Calmar | 0.38 | 2.38 | 0.16 | 0.50 |
| Volatility | 28.8% | 46.7% | 30.5% | 33.6% |
| Max DD | -53.5% | -33.7% | -36.6% | -53.5% |
| Win Rate | 41.0% | 62.5% | 30.0% | 42.7% |
| Avg Win | 18.9% | 27.8% | 17.3% | 24.1% |
| Avg Loss | -5.2% | -6.0% | -4.9% | -5.2% |
| Payoff | 3.62 | 4.66 | 3.56 | 4.62 |
| Expectancy | 4.7% | 15.1% | 1.8% | 7.3% |
| Profit Factor | 2.52 | 7.77 | 1.53 | 3.43 |
| Trades | 39 | 16 | 20 | 75 |
| Avg Holding Days | 21.8 | 26.3 | 18.6 | 22.6 |
| Turnover | 10.7 | 11.1 | 12.0 | 11.1 |
| Exposure | 36.1% | 47.3% | 33.8% | 37.8% |
Growth of $100
LongTermTrend_V1232 vs TSLA Buy & Hold
LongTermTrend_V1232 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 | 21.5% | 1.21 | -15.9% | 3 |
| 2017 | 6.5% | 0.50 | -18.1% | 7 |
| 2018 | -32.1% | -1.29 | -35.1% | 8 |
| 2019 | 41.5% | 1.28 | -20.0% | 2 |
| 2020 | 270.2% | 2.29 | -33.7% | 6 |
| 2021 | 58.6% | 1.54 | -17.6% | 5 |
| 2022 | -2.0% | 0.07 | -21.6% | 5 |
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 | -25.4% | -1.23 | 21% |
| hidden test | EXPENSIVE | 83 | 39.2% | 1.40 | 33% |
| hidden test | EXTREME | 48 | 89.0% | 1.83 | 61% |
| hidden test | HIGH VOLATILITY | 254 | -20.5% | -0.53 | 32% |
| hidden test | LOW VOLATILITY | 439 | 49.4% | 2.02 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.7% | -0.87 | 32% |
| hidden test | NORMAL | 812 | 2.8% | 0.10 | 32% |
| hidden test | SIDEWAYS | 294 | 6.6% | 0.25 | 33% |
| hidden test | UPTREND | 371 | 40.3% | 1.04 | 44% |
| train | DOWNTREND | 518 | 4.5% | 0.40 | 8% |
| train | EXPENSIVE | 311 | 17.7% | 0.80 | 33% |
| train | EXTREME | 100 | 342.1% | 4.94 | 93% |
| train | HIGH VOLATILITY | 699 | 42.1% | 1.12 | 31% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.28 | 46% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.27 | 29% |
| train | NORMAL | 1,601 | 3.8% | 0.15 | 33% |
| train | SIDEWAYS | 592 | -6.5% | -0.27 | 34% |
| train | UPTREND | 902 | 52.4% | 1.42 | 53% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | -25.2% | -0.64 | 26% |
| validation | EXTREME | 144 | 301.8% | 3.74 | 91% |
| validation | HIGH VOLATILITY | 258 | 82.9% | 1.26 | 48% |
| validation | LOW VOLATILITY | 183 | 50.2% | 2.15 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 70.8% | 1.92 | 41% |
| validation | NORMAL | 474 | 27.2% | 0.87 | 40% |
| validation | SIDEWAYS | 206 | 8.5% | 0.27 | 41% |
| validation | UPTREND | 425 | 107.9% | 1.89 | 62% |
Trades (full period)
75 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -2.34% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 21.61% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 21.95% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 8.51% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-17 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 16.94% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.31% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -0.92% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.10% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 1.85% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 111.52% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 135.80% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-07-16 | 2019-08-02 | $16.83 | $15.62 | -7.94% | 14 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -6.28% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -3.22% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.21% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.13% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.12% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 5.79% | 41 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 20.34% | 46 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.63% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-12-01 | 2015-12-07 | $15.81 | $15.41 | -0.14% | 5 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-13 | 2015-07-09 | $13.99 | $17.19 | 20.65% | 62 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 14.35% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -3.94% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 27.80% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 152.96% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -7.05% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -0.92% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 16.06% | 36 |