Strategy Zoo / S1324

LongTermTrend_V1324

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V1110 OR PriceMomentum_V0863

Fitness

0.7198

Generation

Complexity

Created

2026-10-08

Lineage

Parents (2)

PriceMomentum_V0863S0863 · gen 39ARCHIVEDcrossover

removed entry condition: ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)

LongTermTrend_V1110S1110 · gen 51ARCHIVEDcrossover

entry = LongTermTrend_V0605 OR PriceMomentum_V1003

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1324  [hybrid]
if flat and ((((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05) or ret_20d > 0.184) or ret_20d > 0.1146):
    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	32.0%	135.9%	21.5%	45.8%
Total Return	817.5%	1213.0%	107.3%	25609.1%
Sharpe	0.94	1.87	0.70	1.12
Sortino	1.14	2.22	0.78	1.31
Calmar	0.68	3.55	0.50	0.97
Volatility	36.8%	53.6%	38.8%	41.3%
Max DD	-47.3%	-38.3%	-43.4%	-47.3%
Win Rate	45.0%	55.6%	50.0%	48.8%
Avg Win	56.1%	91.8%	21.9%	61.3%
Avg Loss	-10.6%	-9.1%	-7.2%	-9.3%
Payoff	5.31	10.00	3.04	6.57
Expectancy	19.4%	47.0%	7.3%	25.1%
Profit Factor	4.34	10.00	3.04	6.26
Trades	20	9	12	41
Avg Holding Days	58.0	54.1	40.1	53.8
Turnover	5.1	6.0	6.7	5.6
Exposure	60.4%	63.2%	53.1%	59.1%

Growth of $100

LongTermTrend_V1324 vs TSLA Buy & Hold

LongTermTrend_V1324 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	15.7%	0.61	-34.5%	2
2018	-6.7%	0.01	-33.7%	3
2019	69.6%	1.74	-24.9%	1
2020	842.7%	3.35	-33.7%	2
2021	64.5%	1.42	-24.7%	3
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	22.3%	0.77	32%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	42.3%	0.84	53%
hidden test	LOW VOLATILITY	440	56.2%	1.89	54%
hidden test	MEDIUM VOLATILITY	250	-40.1%	-1.03	52%
hidden test	NORMAL	813	10.0%	0.28	50%
hidden test	SIDEWAYS	295	-3.8%	-0.11	57%
hidden test	UPTREND	371	55.1%	1.17	66%
train	DOWNTREND	518	9.5%	0.52	22%
train	EXPENSIVE	311	87.1%	2.02	82%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	67.4%	1.43	52%
train	LOW VOLATILITY	745	33.9%	1.27	67%
train	MEDIUM VOLATILITY	568	-5.5%	-0.16	62%
train	NORMAL	1,601	0.3%	0.01	54%
train	SIDEWAYS	592	-11.8%	-0.35	55%
train	UPTREND	902	79.0%	1.73	86%
validation	DOWNTREND	125	37.6%	1.70	12%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	125.0%	1.80	55%
validation	LOW VOLATILITY	183	51.6%	1.71	77%
validation	MEDIUM VOLATILITY	315	108.3%	2.19	63%
validation	NORMAL	474	16.8%	0.48	48%
validation	SIDEWAYS	206	11.2%	0.29	53%
validation	UPTREND	425	161.9%	2.49	83%

Trades (full period)

42 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	2025-11-21	$339.03	$391.09	19.66%	74
2025-04-30	2025-07-02	$282.16	$315.65	2.76%	44
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
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
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
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
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-13	2020-03-05	$16.35	$48.30	204.23%	120
2019-06-21	2019-08-15	$14.79	$14.38	-0.20%	39
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
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-12-21	2017-07-07	$13.85	$20.88	47.62%	136
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
2013-12-13	2014-03-26	$9.84	$14.20	49.18%	70
2013-03-26	2013-10-24	$2.52	$11.54	337.44%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
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