Strategy Zoo / S1382

LongTermTrend_V1382

ARCHIVEDhybrid

structuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075

Fitness

0.5692

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_V1382  [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 and rel_volume > 1.1075):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.0%	63.7%	8.6%	25.4%
Total Return	357.3%	338.7%	36.5%	2718.9%
Sharpe	1.03	1.46	0.58	1.04
Sortino	0.80	1.01	0.31	0.65
Calmar	0.96	1.89	0.46	0.75
Volatility	20.5%	39.1%	16.6%	24.7%
Max DD	-21.8%	-33.8%	-18.9%	-33.8%
Win Rate	57.1%	100.0%	50.0%	64.3%
Avg Win	78.6%	71.2%	21.4%	65.7%
Avg Loss	-5.6%	0.0%	-2.7%	-4.4%
Payoff	10.00	5.00	7.97	10.00
Expectancy	42.5%	71.2%	9.4%	40.6%
Profit Factor	10.00	5.00	7.97	10.00
Trades	7	3	4	14
Avg Holding Days	45.0	74.7	25.5	46.6
Turnover	4.7	4.4	3.4	4.2
Exposure	13.1%	22.0%	7.9%	13.6%

Growth of $100

LongTermTrend_V1382 vs TSLA Buy & Hold

LongTermTrend_V1382 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	-12.3%	-0.54	-18.1%	4
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	334.9%	2.55	-33.8%	2
2021	-1.1%	-0.07	-8.8%	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	13.3%	0.39	48%
hidden test	EXTREME	48	196.2%	3.42	69%
hidden test	HIGH VOLATILITY	254	28.3%	1.08	16%
hidden test	LOW VOLATILITY	441	16.0%	1.95	3%
hidden test	MEDIUM VOLATILITY	250	-20.4%	-1.37	9%
hidden test	NORMAL	814	-1.7%	-0.84	0%
hidden test	SIDEWAYS	296	-0.2%	-0.06	1%
hidden test	UPTREND	371	24.7%	0.94	19%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	17.6%	0.58	55%
train	EXTREME	100	387.9%	5.44	89%
train	HIGH VOLATILITY	699	52.1%	1.72	20%
train	LOW VOLATILITY	745	8.1%	0.78	9%
train	MEDIUM VOLATILITY	568	-0.2%	-0.01	9%
train	NORMAL	1,601	-1.2%	-0.75	0%
train	SIDEWAYS	592	6.7%	1.09	3%
train	UPTREND	902	42.6%	1.41	27%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	31.7%	0.73	34%
validation	EXTREME	144	271.2%	3.49	82%
validation	HIGH VOLATILITY	258	109.0%	1.74	41%
validation	LOW VOLATILITY	183	11.7%	0.79	10%
validation	MEDIUM VOLATILITY	315	40.6%	2.34	13%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	4.9%	0.29	5%
validation	UPTREND	425	98.9%	1.95	37%

Trades (full period)

14 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	3.27%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.02%	4
2025-05-15	2025-05-22	$342.82	$341.04	-1.36%	6
2024-11-07	2025-01-17	$296.91	$426.50	39.60%	48
2020-11-19	2021-02-19	$166.42	$260.43	17.35%	62
2020-04-14	2020-09-30	$47.33	$143.00	141.62%	119
2019-12-17	2020-03-05	$25.27	$48.30	74.49%	54
2017-08-04	2017-09-26	$23.79	$23.02	-3.30%	37
2017-04-11	2017-07-07	$20.58	$20.88	-6.89%	61
2017-03-28	2017-04-06	$18.50	$19.91	4.29%	8
2017-02-10	2017-02-28	$17.95	$16.67	-6.58%	12
2014-01-15	2014-03-26	$10.94	$14.20	21.75%	49
2013-04-12	2013-10-24	$2.92	$11.54	287.69%	137
2013-01-29	2013-02-12	$2.53	$2.53	0.82%	11