Strategy Zoo / S1278
LongTermTrend_V1278
ARCHIVEDhybridcrossoverentry from LongTermTrend_V0886, exit from PriceMomentum_V0936
Fitness
0.6684
Generation
59
Complexity
27
Created
2026-10-08
Lineage
Parents (2)
changed cumret_252d threshold -0.1997 -> -0.4599
logic of PriceMomentum_V0624 with risk overlay of LongTermTrend_V0521
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1278 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.4599 and dist_sma_50 > -0.0774) or ((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)))) and sma_20 < close and macd_hist > -2.6055):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.4% | 118.8% | 16.1% | 37.4% |
| Total Return | 471.6% | 947.6% | 75.1% | 10692.8% |
| Sharpe | 0.80 | 1.79 | 0.58 | 1.00 |
| Sortino | 0.87 | 2.00 | 0.63 | 1.09 |
| Calmar | 0.39 | 3.52 | 0.46 | 0.60 |
| Volatility | 34.6% | 50.9% | 38.2% | 39.4% |
| Max DD | -62.2% | -33.7% | -35.2% | -62.2% |
| Win Rate | 32.3% | 45.0% | 31.6% | 34.2% |
| Avg Win | 20.6% | 46.0% | 16.1% | 28.1% |
| Avg Loss | -4.3% | -6.1% | -4.1% | -4.5% |
| Payoff | 4.77 | 7.59 | 3.95 | 6.25 |
| Expectancy | 3.7% | 17.4% | 2.3% | 6.6% |
| Profit Factor | 2.27 | 6.21 | 1.82 | 3.25 |
| Trades | 62 | 20 | 38 | 120 |
| Avg Holding Days | 16.6 | 22.2 | 12.8 | 16.8 |
| Turnover | 15.7 | 13.3 | 20.6 | 16.4 |
| Exposure | 50.9% | 56.1% | 47.5% | 51.1% |
Growth of $100
LongTermTrend_V1278 vs TSLA Buy & Hold
LongTermTrend_V1278 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 | 11.4% | 0.62 | -24.7% | 3 |
| 2017 | 3.8% | 0.27 | -29.2% | 13 |
| 2018 | -31.1% | -1.15 | -38.8% | 13 |
| 2019 | 44.3% | 1.18 | -23.4% | 6 |
| 2020 | 582.6% | 3.00 | -33.7% | 6 |
| 2021 | 78.6% | 1.76 | -17.6% | 7 |
| 2022 | -17.7% | -0.49 | -25.5% | 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 | 13.3% | 0.53 | 27% |
| hidden test | EXPENSIVE | 83 | 94.1% | 1.78 | 76% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 22.9% | 0.46 | 50% |
| hidden test | LOW VOLATILITY | 440 | 65.5% | 2.35 | 45% |
| hidden test | MEDIUM VOLATILITY | 250 | -54.4% | -1.37 | 50% |
| hidden test | NORMAL | 813 | 5.4% | 0.15 | 43% |
| hidden test | SIDEWAYS | 295 | -20.8% | -0.57 | 52% |
| hidden test | UPTREND | 371 | 63.3% | 1.36 | 60% |
| train | DOWNTREND | 518 | -9.9% | -0.52 | 24% |
| train | EXPENSIVE | 311 | 61.7% | 1.56 | 77% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 45.0% | 1.01 | 44% |
| train | LOW VOLATILITY | 745 | 42.5% | 1.68 | 60% |
| train | MEDIUM VOLATILITY | 568 | -12.9% | -0.41 | 47% |
| train | NORMAL | 1,601 | -2.3% | -0.08 | 43% |
| train | SIDEWAYS | 592 | -0.1% | -0.00 | 44% |
| train | UPTREND | 902 | 67.7% | 1.55 | 71% |
| validation | DOWNTREND | 125 | 22.5% | 0.98 | 12% |
| validation | EXPENSIVE | 138 | 79.6% | 1.43 | 58% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 81.9% | 1.21 | 50% |
| validation | LOW VOLATILITY | 183 | 48.8% | 1.86 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 123.6% | 2.74 | 57% |
| validation | NORMAL | 474 | 16.9% | 0.52 | 44% |
| validation | SIDEWAYS | 206 | 0.1% | 0.00 | 44% |
| validation | UPTREND | 425 | 155.7% | 2.49 | 75% |
Trades (full period)
latest 100 of 121
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.85% | 1 | OPEN |
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 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 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 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 | |
| 2024-10-25 | 2025-01-13 | $269.19 | $403.31 | 51.25% | 53 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | 3.22% | 29 | |
| 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 | 2024-01-08 | $233.59 | $240.45 | -2.40% | 35 | |
| 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 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-05-19 | 2023-07-24 | $180.14 | $269.06 | 46.70% | 44 | |
| 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 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-06-27 | 2022-06-29 | $244.92 | $228.49 | -5.50% | 3 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 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 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -2.23% | 5 | |
| 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 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-08 | 2020-10-14 | $141.97 | $153.77 | 4.81% | 5 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 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 | |
| 2019-06-19 | 2019-08-06 | $15.10 | $15.38 | 1.39% | 34 | |
| 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 | |
| 2018-04-30 | 2018-05-04 | $19.59 | $19.61 | -3.47% | 5 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 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 | |
| 2017-10-13 | 2017-10-16 | $23.70 | $23.37 | -0.23% | 2 | |
| 2017-09-12 | 2017-09-26 | $24.18 | $23.02 | -5.33% | 11 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 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 | |
| 2017-03-23 | 2017-05-24 | $16.99 | $20.68 | 18.92% | 44 | |
| 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 | 2016-08-17 | $14.98 | $14.88 | -0.72% | 27 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 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 | |
| 2015-11-27 | 2015-12-29 | $15.44 | $15.81 | -0.50% | 22 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-07 | 2015-07-27 | $13.55 | $16.87 | 30.42% | 78 | |
| 2015-02-04 | 2015-02-25 | $14.57 | $13.58 | -6.71% | 15 |