Strategy Zoo / S1358

LongTermTrend_V1358

ARCHIVEDhybrid

structuralreplaced exit rule with: sma_200 > roll_high_20

Fitness

0.5614

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

LongTermTrend_V1159S1159 · gen 53ELITEstructural

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1358  [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
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):
    position = 1.0
if long and sma_200 > roll_high_20:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.7%	71.7%	1.1%	24.7%
Total Return	378.9%	405.8%	4.0%	2494.6%
Sharpe	0.89	1.34	0.15	0.86
Sortino	0.64	1.08	0.10	0.59
Calmar	0.54	1.18	0.03	0.41
Volatility	25.8%	49.9%	20.8%	31.3%
Max DD	-40.2%	-60.7%	-42.3%	-60.7%
Win Rate	54.5%	50.0%	50.0%	52.9%
Avg Win	41.1%	503.6%	6.6%	84.8%
Avg Loss	-2.2%	-16.2%	-4.3%	-3.1%
Payoff	10.00	10.00	1.53	10.00
Expectancy	21.4%	243.7%	1.2%	43.4%
Profit Factor	10.00	10.00	1.53	10.00
Trades	11	2	4	17
Avg Holding Days	36.3	134.5	32.0	47.5
Turnover	2.9	1.3	2.1	2.3
Exposure	19.8%	35.3%	13.1%	21.3%

Growth of $100

LongTermTrend_V1358 vs TSLA Buy & Hold

LongTermTrend_V1358 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	0.0%	0.00	0.0%	0
2017	20.6%	0.79	-19.5%	4
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	351.0%	2.23	-60.7%	1
2021	7.7%	0.48	-10.9%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-19.2%	-0.40	87%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	22.7%	0.85	19%
hidden test	LOW VOLATILITY	441	17.2%	1.78	5%
hidden test	MEDIUM VOLATILITY	250	-41.3%	-1.52	22%
hidden test	NORMAL	814	-5.2%	-0.97	0%
hidden test	SIDEWAYS	296	-14.0%	-1.46	2%
hidden test	UPTREND	371	19.4%	0.60	32%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	45.2%	0.97	92%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	43.8%	1.20	27%
train	LOW VOLATILITY	745	9.8%	0.79	13%
train	MEDIUM VOLATILITY	568	14.2%	0.63	19%
train	NORMAL	1,601	-6.0%	-1.06	1%
train	SIDEWAYS	592	2.3%	0.18	7%
train	UPTREND	902	49.5%	1.34	39%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	21.3%	0.31	88%
validation	EXTREME	144	360.0%	4.10	99%
validation	HIGH VOLATILITY	258	76.6%	1.03	50%
validation	LOW VOLATILITY	183	7.7%	0.38	19%
validation	MEDIUM VOLATILITY	315	92.6%	2.63	33%
validation	NORMAL	474	-9.3%	-0.80	0%
validation	SIDEWAYS	206	-7.3%	-0.28	8%
validation	UPTREND	425	122.0%	1.91	59%

Trades (full period)

17 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-05-15	2025-05-22	$342.82	$341.04	-3.95%	6
2024-11-07	2025-02-26	$296.91	$290.80	4.74%	74
2020-04-14	2021-02-19	$47.33	$260.43	503.63%	216
2019-12-17	2020-03-19	$25.27	$28.51	-5.51%	64
2017-04-07	2017-09-26	$20.17	$23.02	15.27%	119
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-15	2014-04-11	$10.94	$13.59	26.36%	61
2014-01-08	2014-01-10	$10.09	$9.71	-1.42%	3
2013-12-23	2014-01-07	$9.57	$9.96	2.42%	10
2013-12-13	2013-12-20	$9.84	$9.55	-4.77%	6
2013-04-11	2013-11-19	$2.91	$8.41	189.88%	156
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-28	2013-02-12	$2.54	$2.53	3.69%	12