Strategy Zoo / S1320

LongTermTrend_V1320

ARCHIVEDhybrid

structuralrestricted to bubble regimes ['NORMAL']

Fitness

0.2043

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

LongTermTrend_V0909S0909 · gen 41ARCHIVEDstructural

swapped indicator ret_20d -> ret_1d

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1320  [hybrid]
require regime.bubble in ['NORMAL']
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_1d > -0.0578 and cumret_252d > -0.4102) and ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.1%	10.9%	7.4%	5.7%
Total Return	27.7%	36.5%	30.6%	127.7%
Sharpe	0.25	0.51	0.38	0.34
Sortino	0.23	0.41	0.35	0.30
Calmar	0.06	0.29	0.17	0.11
Volatility	27.2%	27.4%	32.5%	28.7%
Max DD	-50.4%	-38.3%	-43.4%	-50.4%
Win Rate	50.0%	33.3%	38.5%	44.2%
Avg Win	13.7%	45.9%	18.5%	18.3%
Avg Loss	-9.5%	-9.1%	-7.1%	-8.6%
Payoff	1.44	5.06	2.60	2.12
Expectancy	2.1%	9.3%	2.7%	3.3%
Profit Factor	1.44	2.53	1.63	1.68
Trades	24	6	13	43
Avg Holding Days	34.9	38.3	28.7	33.5
Turnover	6.0	4.0	7.2	5.9
Exposure	40.5%	29.6%	41.5%	38.5%

Growth of $100

LongTermTrend_V1320 vs TSLA Buy & Hold

LongTermTrend_V1320 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	-18.6%	-0.78	-36.2%	4
2017	12.2%	1.23	-9.3%	3
2018	-6.7%	0.01	-33.7%	3
2019	49.9%	1.38	-24.9%	2
2020	0.0%	0.00	0.0%	0
2021	68.4%	1.66	-19.1%	2
2022	-19.0%	-0.50	-29.9%	4

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	4.2%	0.18	30%
hidden test	EXPENSIVE	83	54.9%	2.92	4%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-4.0%	-0.10	35%
hidden test	LOW VOLATILITY	440	37.4%	1.31	50%
hidden test	MEDIUM VOLATILITY	250	-14.7%	-0.48	32%
hidden test	NORMAL	813	8.8%	0.26	48%
hidden test	SIDEWAYS	295	-3.0%	-0.09	55%
hidden test	UPTREND	371	30.9%	0.87	39%
train	DOWNTREND	518	11.4%	0.63	22%
train	EXPENSIVE	311	15.3%	2.04	3%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	7.1%	0.23	27%
train	LOW VOLATILITY	745	28.6%	1.21	53%
train	MEDIUM VOLATILITY	568	-22.4%	-0.85	41%
train	NORMAL	1,601	5.5%	0.18	50%
train	SIDEWAYS	592	-22.5%	-0.75	46%
train	UPTREND	902	23.3%	0.79	47%
validation	DOWNTREND	125	37.6%	1.70	12%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-18.0%	-0.87	11%
validation	LOW VOLATILITY	183	44.8%	1.98	57%
validation	MEDIUM VOLATILITY	315	22.6%	0.66	29%
validation	NORMAL	474	22.5%	0.65	47%
validation	SIDEWAYS	206	-1.0%	-0.03	46%
validation	UPTREND	425	14.6%	0.57	27%

Trades (full period)

44 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.01%	32	OPEN
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-08-11	2025-09-15	$339.03	$410.04	19.87%	25
2025-06-02	2025-07-02	$342.69	$315.65	-13.38%	22
2025-05-22	2025-05-28	$341.04	$356.90	8.23%	4
2025-04-30	2025-05-15	$282.16	$342.82	18.81%	12
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
2024-09-06	2024-10-22	$210.73	$217.97	-5.12%	33
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-23	2023-08-03	$185.77	$259.32	34.27%	50
2023-02-01	2023-03-10	$181.41	$173.44	-0.37%	27
2022-07-19	2022-09-01	$245.53	$277.16	14.35%	33
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-14	2021-12-03	$205.90	$338.32	77.48%	122
2021-04-05	2021-05-11	$230.35	$205.73	-5.13%	27
2019-09-13	2019-12-17	$16.35	$25.27	54.85%	67
2019-06-20	2019-08-15	$14.64	$14.38	-3.20%	40
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-04-27	2018-07-16	$19.61	$20.67	11.48%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-04-06	2017-04-07	$19.91	$20.17	1.05%	2
2017-01-31	2017-02-03	$16.80	$16.76	0.17%	4
2016-12-21	2017-01-25	$13.85	$16.96	21.70%	23
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-12-01	2016-01-19	$15.81	$13.65	-11.15%	33
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-04-13	2015-08-12	$13.99	$15.88	12.33%	86
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-20	2013-12-23	$9.55	$9.57	1.59%	2
2013-03-26	2013-04-11	$2.52	$2.91	11.32%	12
2013-02-15	2013-03-20	$2.47	$2.40	-8.52%	23
2013-02-12	2013-02-14	$2.53	$2.55	-0.12%	3
2012-11-06	2013-01-24	$2.08	$2.47	14.06%	54
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58