Strategy Zoo / S1377
LongTermTrend_V1377
ARCHIVEDhybridstructuralreduce exposure to 59% during MEDIUM_VOLATILITY
Fitness
0.6863
Generation
63
Complexity
12
Created
2026-10-09
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1377 [hybrid]
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 < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.59Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.9% | 97.3% | 17.7% | 38.2% |
| Total Return | 706.7% | 667.6% | 84.0% | 11630.6% |
| Sharpe | 1.02 | 1.75 | 0.68 | 1.13 |
| Sortino | 1.11 | 1.77 | 0.64 | 1.14 |
| Calmar | 0.59 | 2.88 | 0.58 | 0.76 |
| Volatility | 29.8% | 44.4% | 31.3% | 33.7% |
| Max DD | -50.3% | -33.8% | -30.3% | -50.3% |
| Win Rate | 43.6% | 62.5% | 33.3% | 44.7% |
| Avg Win | 21.7% | 30.6% | 21.2% | 27.4% |
| Avg Loss | -4.8% | -5.6% | -4.8% | -4.9% |
| Payoff | 4.50 | 5.48 | 4.43 | 5.58 |
| Expectancy | 6.7% | 17.0% | 3.9% | 9.6% |
| Profit Factor | 3.48 | 9.14 | 2.22 | 4.51 |
| Trades | 39 | 16 | 21 | 76 |
| Avg Holding Days | 22.3 | 26.3 | 19.0 | 22.9 |
| Turnover | 11.9 | 11.5 | 13.2 | 12.1 |
| Exposure | 39.4% | 44.5% | 35.5% | 39.5% |
Growth of $100
LongTermTrend_V1377 vs TSLA Buy & Hold
LongTermTrend_V1377 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 | 15.2% | 1.03 | -12.8% | 3 |
| 2017 | -0.7% | 0.08 | -24.0% | 7 |
| 2018 | -29.4% | -1.25 | -33.0% | 8 |
| 2019 | 59.7% | 1.64 | -20.0% | 2 |
| 2020 | 359.9% | 2.61 | -33.8% | 6 |
| 2021 | 81.5% | 2.21 | -11.8% | 5 |
| 2022 | -10.5% | -0.39 | -22.8% | 5 |
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 | -12.7% | -0.61 | 21% |
| hidden test | EXPENSIVE | 83 | 60.4% | 1.51 | 54% |
| hidden test | EXTREME | 48 | 173.7% | 3.21 | 62% |
| hidden test | HIGH VOLATILITY | 254 | 24.8% | 0.60 | 41% |
| hidden test | LOW VOLATILITY | 441 | 52.2% | 2.11 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -37.3% | -1.24 | 28% |
| hidden test | NORMAL | 814 | 8.2% | 0.29 | 32% |
| hidden test | SIDEWAYS | 296 | 12.0% | 0.46 | 36% |
| hidden test | UPTREND | 371 | 53.9% | 1.34 | 46% |
| train | DOWNTREND | 518 | 8.6% | 0.72 | 10% |
| train | EXPENSIVE | 311 | 47.7% | 1.44 | 65% |
| train | EXTREME | 100 | 389.0% | 5.42 | 90% |
| train | HIGH VOLATILITY | 699 | 61.2% | 1.53 | 38% |
| train | LOW VOLATILITY | 745 | 36.3% | 1.55 | 52% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -0.69 | 25% |
| train | NORMAL | 1,601 | 4.8% | 0.20 | 31% |
| train | SIDEWAYS | 592 | -6.1% | -0.26 | 32% |
| train | UPTREND | 902 | 67.1% | 1.71 | 61% |
| validation | DOWNTREND | 125 | 32.0% | 1.72 | 7% |
| validation | EXPENSIVE | 138 | 51.3% | 1.15 | 39% |
| validation | EXTREME | 144 | 282.0% | 3.59 | 85% |
| validation | HIGH VOLATILITY | 258 | 88.3% | 1.35 | 49% |
| validation | LOW VOLATILITY | 183 | 59.1% | 2.41 | 58% |
| validation | MEDIUM VOLATILITY | 315 | 80.3% | 2.64 | 33% |
| validation | NORMAL | 474 | 23.6% | 0.93 | 34% |
| validation | SIDEWAYS | 206 | 4.6% | 0.17 | 34% |
| validation | UPTREND | 425 | 126.9% | 2.29 | 60% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -5.15% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -4.11% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.58% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.12% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 26.22% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 24.92% | 27 | |
| 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 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 34.22% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -6.17% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 8.45% | 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 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -7.37% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-23 | 2023-07-24 | $185.77 | $269.06 | 40.00% | 42 | |
| 2023-02-01 | 2023-03-08 | $181.41 | $182.00 | 12.81% | 25 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 13.19% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 3.79% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -12.87% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 62.33% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -6.10% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 41.42% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.56% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -1.33% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.25% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 8.79% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 102.46% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 168.64% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -4.30% | 20 | |
| 2019-06-20 | 2019-08-02 | $14.64 | $15.62 | 2.07% | 31 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.43% | 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 | -4.99% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -2.79% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | -0.13% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.73% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.37% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.16% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.70% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.43% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 4.92% | 41 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 19.72% | 46 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.55% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 16.75% | 42 | |
| 2015-12-01 | 2015-12-07 | $15.81 | $15.41 | 0.27% | 5 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.75% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.36% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -3.64% | 5 | |
| 2015-04-13 | 2015-07-09 | $13.99 | $17.19 | 20.65% | 62 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -5.36% | 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 | -2.04% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 26.17% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.64% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 59.11% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 180.72% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -5.11% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 2.08% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -3.22% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -6.34% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 16.06% | 36 |