Strategy Zoo / S1290
LongTermTrend_V1290
ARCHIVEDhybridstructuraladded exit filter: close < roll_high_50; replaced exit rule with: breakout_20 == 1
Fitness
0.3616
Generation
59
Complexity
27
Created
2026-10-08
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1290 [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 > -0.1997 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 breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 27.4% | 13.7% | 30.8% | 24.5% |
| Total Return | 590.3% | 46.9% | 173.5% | 2407.8% |
| Sharpe | 0.76 | 0.53 | 0.77 | 0.68 |
| Sortino | 1.02 | 0.73 | 1.14 | 0.92 |
| Calmar | 0.57 | 0.20 | 0.59 | 0.35 |
| Volatility | 45.2% | 66.8% | 52.3% | 52.2% |
| Max DD | -47.7% | -69.9% | -52.0% | -70.2% |
| Win Rate | 83.8% | 84.6% | 82.3% | 83.4% |
| Avg Win | 2.7% | 4.3% | 4.1% | 3.2% |
| Avg Loss | -6.9% | -10.1% | -10.2% | -9.1% |
| Payoff | 0.38 | 0.42 | 0.41 | 0.36 |
| Expectancy | 1.1% | 2.1% | 1.6% | 1.2% |
| Profit Factor | 1.99 | 2.33 | 1.89 | 1.78 |
| Trades | 204 | 78 | 79 | 361 |
| Avg Holding Days | 8.7 | 8.7 | 11.3 | 9.5 |
| Turnover | 51.2 | 52.3 | 42.2 | 49.0 |
| Exposure | 77.9% | 89.0% | 86.3% | 82.4% |
Growth of $100
LongTermTrend_V1290 vs TSLA Buy & Hold
LongTermTrend_V1290 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 | -5.1% | 0.02 | -35.8% | 20 |
| 2017 | -0.8% | 0.15 | -27.8% | 29 |
| 2018 | 1.6% | 0.30 | -30.4% | 23 |
| 2019 | 44.4% | 1.18 | -20.4% | 23 |
| 2020 | 245.1% | 1.97 | -59.9% | 38 |
| 2021 | 7.0% | 0.39 | -36.5% | 25 |
| 2022 | -65.2% | -1.32 | -69.0% | 13 |
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 | 72.2% | 1.31 | 78% |
| hidden test | EXPENSIVE | 83 | 140.0% | 2.19 | 78% |
| hidden test | EXTREME | 48 | 101.3% | 1.91 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 94.1% | 1.30 | 89% |
| hidden test | LOW VOLATILITY | 440 | 31.7% | 0.87 | 84% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.1% | 0.02 | 89% |
| hidden test | NORMAL | 813 | 26.6% | 0.52 | 87% |
| hidden test | SIDEWAYS | 295 | -24.7% | -0.51 | 92% |
| hidden test | UPTREND | 371 | 68.4% | 1.28 | 88% |
| train | DOWNTREND | 518 | -2.1% | -0.05 | 67% |
| train | EXPENSIVE | 311 | 51.0% | 1.04 | 85% |
| train | EXTREME | 100 | 386.4% | 5.60 | 74% |
| train | HIGH VOLATILITY | 699 | 73.6% | 1.23 | 77% |
| train | LOW VOLATILITY | 745 | 29.2% | 0.96 | 78% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.18 | 79% |
| train | NORMAL | 1,601 | 9.1% | 0.22 | 77% |
| train | SIDEWAYS | 592 | 17.1% | 0.38 | 82% |
| train | UPTREND | 902 | 66.6% | 1.43 | 81% |
| validation | DOWNTREND | 125 | -102.9% | -1.51 | 96% |
| validation | EXPENSIVE | 138 | 12.1% | 0.16 | 90% |
| validation | EXTREME | 144 | 260.4% | 3.58 | 80% |
| validation | HIGH VOLATILITY | 258 | 85.1% | 0.94 | 91% |
| validation | LOW VOLATILITY | 183 | 33.2% | 0.97 | 87% |
| validation | MEDIUM VOLATILITY | 315 | -4.6% | -0.08 | 89% |
| validation | NORMAL | 474 | -26.5% | -0.43 | 92% |
| validation | SIDEWAYS | 206 | -38.7% | -0.64 | 94% |
| validation | UPTREND | 425 | 111.6% | 1.62 | 85% |
Trades (full period)
latest 100 of 361
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-24 | 2026-10-07 | $377.94 | $377.81 | -0.05% | 10 | |
| 2026-09-09 | 2026-09-23 | $367.81 | $380.12 | 2.71% | 11 | |
| 2026-09-02 | 2026-09-04 | $357.01 | $354.08 | 5.48% | 3 | |
| 2026-08-25 | 2026-09-01 | $350.25 | $356.09 | 5.23% | 6 | |
| 2026-07-07 | 2026-08-24 | $402.90 | $348.95 | -13.73% | 35 | |
| 2026-05-15 | 2026-07-02 | $422.24 | $393.45 | -4.26% | 33 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-12-18 | 2026-04-20 | $483.37 | $392.50 | -14.43% | 83 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 4.20% | 5 | |
| 2025-11-06 | 2025-12-08 | $445.91 | $439.58 | -1.73% | 22 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-27 | 2025-09-12 | $349.60 | $395.94 | 4.66% | 12 | |
| 2025-08-13 | 2025-08-26 | $339.38 | $351.67 | 1.49% | 10 | |
| 2025-05-29 | 2025-08-12 | $358.43 | $340.84 | -5.20% | 52 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-01 | 2025-05-12 | $280.52 | $318.38 | 5.49% | 8 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -35.39% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-29 | 2024-11-07 | $259.52 | $296.91 | 9.69% | 8 | |
| 2024-10-01 | 2024-10-28 | $258.02 | $262.51 | 2.68% | 20 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-17 | 2024-09-20 | $227.87 | $238.25 | 7.34% | 4 | |
| 2024-09-10 | 2024-09-16 | $226.17 | $226.78 | 6.27% | 5 | |
| 2024-07-11 | 2024-09-06 | $241.03 | $210.73 | -12.75% | 41 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-20 | 2024-06-27 | $181.57 | $197.42 | 6.01% | 6 | |
| 2024-04-30 | 2024-06-18 | $183.28 | $184.86 | -3.61% | 35 | |
| 2023-12-29 | 2024-02-29 | $248.48 | $201.88 | -20.36% | 42 | |
| 2023-12-21 | 2023-12-28 | $254.50 | $253.18 | 5.58% | 5 | |
| 2023-12-18 | 2023-12-20 | $252.08 | $247.14 | 1.26% | 3 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-17 | 2023-11-29 | $234.30 | $244.14 | 5.41% | 8 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-13 | 2023-09-15 | $271.30 | $274.39 | 3.00% | 3 | |
| 2023-07-19 | 2023-09-12 | $291.26 | $267.48 | -6.92% | 39 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-24 | 2023-05-30 | $182.90 | $201.16 | 3.77% | 4 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 4.64% | 2 | |
| 2023-04-04 | 2023-05-19 | $192.58 | $180.14 | -9.36% | 33 | |
| 2023-02-16 | 2023-04-03 | $202.04 | $194.77 | -3.36% | 32 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 6.06% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-02-07 | 2023-02-08 | $196.81 | $201.29 | 0.85% | 2 | |
| 2023-02-03 | 2023-02-06 | $189.98 | $194.76 | 0.71% | 2 | |
| 2023-01-31 | 2023-02-02 | $173.22 | $188.27 | 8.64% | 3 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-09-21 | 2023-01-24 | $300.80 | $143.89 | -53.53% | 86 | |
| 2022-08-17 | 2022-09-20 | $304.00 | $308.73 | 0.62% | 24 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-14 | 2022-07-22 | $238.31 | $272.24 | 14.40% | 7 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -31.20% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -21.40% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -2.65% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 |