Strategy Zoo / S1297

LongTermTrend_V1297

ARCHIVEDhybrid

structuralswapped indicator macd_hist -> roc_20; added exit filter: cumret_252d < 0.9645

Fitness
0.3991
Generation
59
Complexity
25
Created
2026-10-08

Lineage

Parents (1)
LongTermTrend_V1146S1146 · gen 52ARCHIVEDstructural

changed vol_chg threshold 0.0238 -> 0.2681

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1297  [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 > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and vol_chg > 0.2681) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))):
    position = 1.0
if long and (roc_20 < 23.081 or cumret_252d < 0.9645):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR-2.0%63.4%-8.3%7.1%
Total Return-15.1%336.3%-27.8%174.4%
Sharpe0.041.33-0.190.38
Sortino0.041.38-0.180.37
Calmar-0.041.88-0.190.14
Volatility24.5%44.6%26.6%30.2%
Max DD-49.0%-33.8%-43.0%-49.0%
Win Rate47.7%61.5%49.2%50.8%
Avg Win2.2%3.4%2.7%2.6%
Avg Loss-2.0%-2.4%-2.8%-2.3%
Payoff1.111.370.961.14
Expectancy0.0%1.1%-0.1%0.2%
Profit Factor1.022.200.931.18
Trades440148199788
Avg Holding Days2.12.82.02.2
Turnover110.298.7106.5107.1
Exposure24.4%35.8%21.7%26.1%

Growth of $100

LongTermTrend_V1297 vs TSLA Buy & Hold
LongTermTrend_V1297 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
YearCAGRSharpeMax DDTrades
201610.1%0.87-11.2%37
20172.7%0.25-9.8%73
2018-7.1%-0.20-17.9%47
20191.8%0.19-20.2%40
2020269.4%2.26-33.8%48
20218.9%0.45-20.8%61
20224.4%0.31-15.5%38

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2781.9%0.0914%
hidden testEXPENSIVE8358.0%1.3237%
hidden testEXTREME4859.2%1.9031%
hidden testHIGH VOLATILITY254-35.0%-0.8924%
hidden testLOW VOLATILITY44022.9%1.2222%
hidden testMEDIUM VOLATILITY250-24.3%-1.1219%
hidden testNORMAL813-15.4%-0.6520%
hidden testSIDEWAYS295-33.4%-1.3124%
hidden testUPTREND37112.0%0.3925%
trainDOWNTREND518-10.1%-0.669%
trainEXPENSIVE3119.9%0.3340%
trainEXTREME100197.9%3.6663%
trainHIGH VOLATILITY69919.0%0.5924%
trainLOW VOLATILITY7451.5%0.0927%
trainMEDIUM VOLATILITY568-22.0%-1.0221%
trainNORMAL1,601-13.1%-0.6619%
trainSIDEWAYS5920.6%0.0322%
trainUPTREND9027.5%0.2435%
validationDOWNTREND12539.1%1.816%
validationEXPENSIVE138-0.1%-0.0041%
validationEXTREME144284.0%3.5874%
validationHIGH VOLATILITY25873.2%1.1540%
validationLOW VOLATILITY18314.8%0.8030%
validationMEDIUM VOLATILITY31573.2%2.0836%
validationNORMAL4748.0%0.3423%
validationSIDEWAYS206-7.9%-0.3322%
validationUPTREND42597.4%1.7551%

Trades (full period)

latest 100 of 789
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-0.85%1OPEN
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-032026-09-04$376.37$354.085.22%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-08-242026-08-25$348.95$350.25-4.03%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-042026-06-05$418.45$391.00-1.44%2
2026-06-022026-06-03$423.74$423.701.69%2
2026-05-292026-06-01$435.79$415.88-1.63%2
2026-05-272026-05-28$440.36$442.101.36%2
2026-05-222026-05-26$426.01$433.591.75%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-292025-10-30$461.51$440.100.01%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-102025-10-13$413.49$435.90-5.26%2
2025-10-082025-10-09$438.69$435.541.09%2
2025-10-062025-10-07$453.25$433.095.24%2
2025-10-022025-10-03$436.00$429.83-5.30%2
2025-09-302025-10-01$444.72$459.460.14%2
2025-09-262025-09-29$440.40$443.213.81%2
2025-09-242025-09-25$442.79$423.393.77%2
2025-09-222025-09-23$434.21$425.851.71%2
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-09-042025-09-05$338.53$350.841.13%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-052025-06-06$284.70$295.14-14.45%2
2025-06-032025-06-04$344.27$332.050.26%2
2025-05-302025-06-02$346.46$342.69-3.54%2
2025-05-282025-05-29$356.90$358.43-1.85%2
2025-05-232025-05-27$339.34$362.89-0.70%2
2025-05-142025-05-22$347.68$341.04-0.03%7
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2025-04-162025-04-17$241.55$241.37-5.14%2
2025-04-102025-04-11$252.40$252.31-7.47%2
2025-01-062025-01-07$411.05$394.36-0.05%2
2025-01-022025-01-03$379.28$410.44-6.28%2
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2