Strategy Zoo / S1340
LongTermTrend_V1340
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.4649
Generation
61
Complexity
14
Created
2026-10-08
Lineage
Parents (1)
entry = LongTermTrend_V0605 OR PriceMomentum_V1003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1340 [hybrid]
require regime.bubble in ['EXTREME', 'NORMAL']
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):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.1% | 50.2% | 6.9% | 20.9% |
| Total Return | 276.5% | 238.7% | 28.3% | 1536.3% |
| Sharpe | 0.72 | 1.11 | 0.37 | 0.73 |
| Sortino | 0.64 | 1.05 | 0.31 | 0.64 |
| Calmar | 0.40 | 0.94 | 0.15 | 0.39 |
| Volatility | 28.8% | 46.1% | 32.1% | 33.8% |
| Max DD | -45.4% | -53.5% | -45.3% | -53.5% |
| Win Rate | 52.5% | 62.5% | 36.0% | 49.4% |
| Avg Win | 14.5% | 21.4% | 13.6% | 16.0% |
| Avg Loss | -5.7% | -9.4% | -5.1% | -6.0% |
| Payoff | 2.54 | 2.27 | 2.65 | 2.66 |
| Expectancy | 4.9% | 9.9% | 1.6% | 4.9% |
| Profit Factor | 2.81 | 3.79 | 1.49 | 2.59 |
| Trades | 40 | 16 | 25 | 81 |
| Avg Holding Days | 17.8 | 21.6 | 14.0 | 17.4 |
| Turnover | 10.0 | 10.7 | 13.3 | 11.0 |
| Exposure | 33.4% | 43.7% | 34.5% | 35.8% |
Growth of $100
LongTermTrend_V1340 vs TSLA Buy & Hold
LongTermTrend_V1340 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 | 7.8% | 0.47 | -23.1% | 3 |
| 2017 | 7.4% | 0.67 | -11.1% | 5 |
| 2018 | -32.1% | -1.29 | -35.1% | 8 |
| 2019 | 50.8% | 1.46 | -21.9% | 3 |
| 2020 | 138.8% | 1.64 | -43.7% | 7 |
| 2021 | 44.0% | 1.27 | -17.6% | 5 |
| 2022 | -1.9% | 0.08 | -21.5% | 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 | -3.9% | -0.15 | 24% |
| hidden test | EXPENSIVE | 83 | 23.0% | 1.00 | 8% |
| hidden test | EXTREME | 48 | 23.0% | 0.49 | 56% |
| hidden test | HIGH VOLATILITY | 254 | -14.4% | -0.34 | 38% |
| hidden test | LOW VOLATILITY | 440 | 43.4% | 1.78 | 35% |
| hidden test | MEDIUM VOLATILITY | 250 | -16.9% | -0.54 | 30% |
| hidden test | NORMAL | 813 | 10.1% | 0.32 | 36% |
| hidden test | SIDEWAYS | 295 | 2.0% | 0.07 | 38% |
| hidden test | UPTREND | 371 | 31.5% | 0.83 | 39% |
| train | DOWNTREND | 518 | 11.1% | 0.80 | 13% |
| train | EXPENSIVE | 311 | -9.2% | -0.56 | 5% |
| train | EXTREME | 100 | 299.6% | 4.35 | 90% |
| train | HIGH VOLATILITY | 699 | 25.6% | 0.69 | 27% |
| train | LOW VOLATILITY | 745 | 34.4% | 1.57 | 45% |
| train | MEDIUM VOLATILITY | 568 | -3.3% | -0.14 | 26% |
| train | NORMAL | 1,601 | 9.0% | 0.35 | 35% |
| train | SIDEWAYS | 592 | -11.3% | -0.45 | 33% |
| train | UPTREND | 902 | 47.2% | 1.30 | 46% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | -96.3% | -2.76 | 4% |
| validation | EXTREME | 144 | 270.2% | 3.36 | 89% |
| validation | HIGH VOLATILITY | 258 | 70.5% | 1.07 | 48% |
| validation | LOW VOLATILITY | 183 | 45.0% | 1.95 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 39.3% | 1.11 | 34% |
| validation | NORMAL | 474 | 27.8% | 0.88 | 41% |
| validation | SIDEWAYS | 206 | 9.6% | 0.31 | 42% |
| validation | UPTREND | 425 | 74.2% | 1.32 | 55% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 16.22% | 15 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-06-02 | 2025-06-12 | $342.69 | $319.11 | -5.97% | 9 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-06 | 2025-05-15 | $275.35 | $342.82 | 23.81% | 8 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-01-06 | 2025-01-13 | $411.05 | $403.31 | -4.02% | 5 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.07% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.47% | 34 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 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 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-06-30 | 2020-08-10 | $71.99 | $94.57 | 43.65% | 29 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-04-14 | 2020-05-29 | $47.33 | $55.67 | 23.55% | 33 | |
| 2020-01-22 | 2020-03-04 | $37.97 | $49.97 | 35.97% | 30 | |
| 2019-10-23 | 2019-12-17 | $16.98 | $25.27 | 48.97% | 39 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 1.97% | 26 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -6.28% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 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 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 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 | 2016-08-17 | $14.82 | $14.88 | 1.21% | 19 | |
| 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 | |
| 2015-12-01 | 2015-12-29 | $15.81 | $15.81 | -0.76% | 20 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-13 | 2015-07-27 | $13.99 | $16.87 | 25.59% | 74 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.59% | 2 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 11.94% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.38% | 12 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 | |
| 2013-03-26 | 2013-04-11 | $2.52 | $2.91 | 11.32% | 12 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -8.31% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 11.85% | 47 |