Strategy Zoo / S1272
LongTermTrend_V1272
ARCHIVEDhybridstructuralswapped indicator ret_20d -> cumret_252d; removed entry condition: (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > 0.0541)
Fitness
0.6916
Generation
58
Complexity
14
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0959, exit from PriceMomentum_V1021
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1272 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.8% | 106.9% | 15.4% | 34.7% |
| Total Return | 413.8% | 785.2% | 70.8% | 7898.5% |
| Sharpe | 0.77 | 1.70 | 0.57 | 0.96 |
| Sortino | 0.84 | 1.84 | 0.60 | 1.03 |
| Calmar | 0.39 | 3.17 | 0.45 | 0.59 |
| Volatility | 33.7% | 50.1% | 37.7% | 38.6% |
| Max DD | -59.1% | -33.7% | -34.2% | -59.1% |
| Win Rate | 34.8% | 38.9% | 31.6% | 34.4% |
| Avg Win | 17.2% | 55.4% | 16.6% | 26.5% |
| Avg Loss | -4.3% | -5.5% | -4.3% | -4.4% |
| Payoff | 4.04 | 10.00 | 3.87 | 5.98 |
| Expectancy | 3.2% | 18.2% | 2.3% | 6.2% |
| Profit Factor | 2.16 | 6.45 | 1.78 | 3.14 |
| Trades | 66 | 18 | 38 | 122 |
| Avg Holding Days | 15.0 | 23.1 | 12.4 | 15.8 |
| Turnover | 16.7 | 12.0 | 20.3 | 16.6 |
| Exposure | 48.6% | 52.5% | 45.9% | 48.7% |
Growth of $100
LongTermTrend_V1272 vs TSLA Buy & Hold
LongTermTrend_V1272 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 | 25.5% | 1.33 | -15.9% | 3 |
| 2017 | 0.7% | 0.16 | -28.8% | 15 |
| 2018 | -27.8% | -1.02 | -35.9% | 12 |
| 2019 | 48.7% | 1.27 | -21.1% | 6 |
| 2020 | 506.5% | 2.86 | -33.7% | 5 |
| 2021 | 69.6% | 1.64 | -17.6% | 6 |
| 2022 | -17.5% | -0.51 | -24.6% | 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 | 10.1% | 0.42 | 24% |
| hidden test | EXPENSIVE | 83 | 97.2% | 1.86 | 73% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 25.0% | 0.50 | 50% |
| hidden test | LOW VOLATILITY | 439 | 65.6% | 2.44 | 42% |
| hidden test | MEDIUM VOLATILITY | 250 | -59.8% | -1.54 | 48% |
| hidden test | NORMAL | 812 | 4.1% | 0.12 | 42% |
| hidden test | SIDEWAYS | 294 | -15.8% | -0.43 | 51% |
| hidden test | UPTREND | 371 | 59.4% | 1.29 | 58% |
| train | DOWNTREND | 518 | -8.0% | -0.43 | 21% |
| train | EXPENSIVE | 311 | 58.9% | 1.49 | 73% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 52.7% | 1.22 | 42% |
| train | LOW VOLATILITY | 745 | 37.0% | 1.51 | 58% |
| train | MEDIUM VOLATILITY | 568 | -21.0% | -0.69 | 44% |
| train | NORMAL | 1,601 | -2.4% | -0.09 | 41% |
| train | SIDEWAYS | 592 | 2.2% | 0.08 | 41% |
| train | UPTREND | 902 | 61.3% | 1.43 | 69% |
| validation | DOWNTREND | 125 | 30.6% | 1.41 | 8% |
| validation | EXPENSIVE | 138 | 80.6% | 1.45 | 55% |
| validation | EXTREME | 144 | 324.6% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 69.2% | 1.04 | 46% |
| validation | LOW VOLATILITY | 183 | 38.3% | 1.52 | 58% |
| validation | MEDIUM VOLATILITY | 315 | 125.7% | 2.80 | 54% |
| validation | NORMAL | 474 | 13.9% | 0.45 | 40% |
| validation | SIDEWAYS | 206 | -6.6% | -0.21 | 38% |
| validation | UPTREND | 425 | 145.8% | 2.36 | 73% |
Trades (full period)
latest 100 of 122
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-30 | $356.09 | $354.81 | -4.30% | 21 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-04 | 2025-11-13 | $444.26 | $401.99 | -8.25% | 8 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-08 | 2025-08-20 | $329.65 | $323.90 | 1.98% | 9 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -2.22% | 34 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-05-22 | 2023-07-24 | $188.87 | $269.06 | 44.06% | 43 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -7.07% | 10 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-19 | $153.77 | $143.61 | -1.76% | 4 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-11 | 2020-03-04 | $16.53 | $49.97 | 204.01% | 99 | |
| 2019-09-11 | 2019-10-10 | $16.47 | $16.32 | 3.61% | 22 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 4.44% | 24 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2019-01-16 | 2019-01-17 | $23.07 | $23.15 | 0.27% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.43% | 3 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-16 | $20.33 | $19.10 | -7.57% | 5 | |
| 2018-03-14 | 2018-03-19 | $21.78 | $20.90 | -6.19% | 4 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-03-01 | $23.47 | $22.06 | -1.09% | 5 | |
| 2018-01-16 | 2018-02-07 | $22.67 | $23.00 | -0.87% | 17 | |
| 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 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.60% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.10% | 2 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.46% | 2 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.93% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 15.24% | 42 | |
| 2017-03-23 | 2017-03-24 | $16.99 | $17.54 | -0.29% | 2 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -4.49% | 2 | |
| 2017-03-17 | 2017-03-20 | $17.43 | $17.46 | -0.41% | 2 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 24.02% | 51 | |
| 2016-07-12 | 2016-08-16 | $14.98 | $14.91 | 0.16% | 26 | |
| 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 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -6.00% | 4 | |
| 2015-12-08 | 2015-12-29 | $15.11 | $15.81 | -1.14% | 15 | |
| 2015-11-27 | 2015-12-07 | $15.44 | $15.41 | 0.12% | 7 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-07 | 2015-07-09 | $13.55 | $17.19 | 25.28% | 66 | |
| 2015-02-04 | 2015-02-25 | $14.57 | $13.58 | -6.71% | 15 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 |