Strategy Zoo / S1401
LongTermTrend_V1401
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0349
Fitness
0.6651
Generation
64
Complexity
9
Created
2026-10-09
Lineage
Parents (1)
removed entry condition: ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1401 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > -0.0349 and cumret_252d > 0.0541):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.5% | 113.0% | -12.1% | 26.3% |
| Total Return | 407.0% | 866.2% | -38.4% | 3008.1% |
| Sharpe | 0.79 | 1.69 | -0.25 | 0.81 |
| Sortino | 0.81 | 1.96 | -0.23 | 0.83 |
| Calmar | 0.44 | 3.11 | -0.22 | 0.46 |
| Volatility | 32.0% | 52.9% | 31.7% | 37.2% |
| Max DD | -51.0% | -36.4% | -53.9% | -56.8% |
| Win Rate | 38.0% | 26.5% | 21.4% | 30.6% |
| Avg Win | 15.1% | 49.7% | 12.8% | 22.8% |
| Avg Loss | -3.7% | -3.6% | -4.2% | -3.9% |
| Payoff | 4.04 | 10.00 | 3.04 | 5.91 |
| Expectancy | 3.4% | 10.5% | -0.6% | 4.3% |
| Profit Factor | 2.48 | 4.98 | 0.83 | 2.61 |
| Trades | 71 | 34 | 42 | 147 |
| Avg Holding Days | 12.4 | 14.2 | 9.1 | 12.2 |
| Turnover | 17.9 | 22.7 | 22.4 | 20.0 |
| Exposure | 42.6% | 59.5% | 36.1% | 44.4% |
Growth of $100
LongTermTrend_V1401 vs TSLA Buy & Hold
LongTermTrend_V1401 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 | 17.5% | 1.22 | -9.3% | 1 |
| 2017 | 21.6% | 0.82 | -22.1% | 17 |
| 2018 | -29.2% | -1.29 | -35.0% | 7 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 614.2% | 3.00 | -33.7% | 10 |
| 2021 | 54.8% | 1.30 | -21.9% | 13 |
| 2022 | -16.2% | -0.39 | -26.6% | 10 |
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 | -36.6% | -1.72 | 22% |
| hidden test | EXPENSIVE | 83 | 97.2% | 1.80 | 81% |
| hidden test | EXTREME | 48 | 140.8% | 2.39 | 75% |
| hidden test | HIGH VOLATILITY | 254 | -5.7% | -0.14 | 34% |
| hidden test | LOW VOLATILITY | 441 | 29.5% | 1.21 | 38% |
| hidden test | MEDIUM VOLATILITY | 250 | -76.1% | -2.31 | 34% |
| hidden test | NORMAL | 814 | -27.3% | -1.06 | 29% |
| hidden test | SIDEWAYS | 296 | -22.6% | -0.82 | 33% |
| hidden test | UPTREND | 371 | 25.4% | 0.63 | 49% |
| train | DOWNTREND | 518 | -6.2% | -0.81 | 5% |
| train | EXPENSIVE | 311 | 80.4% | 1.87 | 80% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 51.6% | 1.28 | 37% |
| train | LOW VOLATILITY | 745 | 33.2% | 1.40 | 48% |
| train | MEDIUM VOLATILITY | 568 | -17.3% | -0.58 | 43% |
| train | NORMAL | 1,601 | -9.2% | -0.39 | 32% |
| train | SIDEWAYS | 592 | -0.4% | -0.01 | 33% |
| train | UPTREND | 902 | 60.3% | 1.41 | 70% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 48.9% | 0.85 | 66% |
| validation | EXTREME | 144 | 373.2% | 4.39 | 95% |
| validation | HIGH VOLATILITY | 258 | 109.2% | 1.57 | 53% |
| validation | LOW VOLATILITY | 183 | 29.3% | 1.04 | 68% |
| validation | MEDIUM VOLATILITY | 315 | 108.7% | 2.27 | 60% |
| validation | NORMAL | 474 | 15.3% | 0.44 | 47% |
| validation | SIDEWAYS | 206 | -14.9% | -0.40 | 49% |
| validation | UPTREND | 425 | 153.4% | 2.38 | 79% |
Trades (full period)
latest 100 of 147
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 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 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-06 | 2026-03-10 | $396.73 | $399.24 | -1.89% | 3 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 16.24% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 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 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -2.22% | 34 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-06-14 | 2023-07-24 | $256.79 | $269.06 | 0.30% | 27 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-01-10 | 2022-01-24 | $352.71 | $310.00 | -8.27% | 10 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -1.47% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-07-30 | 2021-12-01 | $229.07 | $365.00 | 68.67% | 87 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 | |
| 2021-06-11 | 2021-07-23 | $203.30 | $214.46 | 6.20% | 30 | |
| 2021-05-10 | 2021-05-11 | $209.68 | $205.73 | -6.64% | 2 | |
| 2021-05-05 | 2021-05-07 | $223.65 | $224.12 | -1.69% | 3 | |
| 2021-04-13 | 2021-05-04 | $254.11 | $224.53 | -2.62% | 16 | |
| 2021-04-09 | 2021-04-12 | $225.67 | $233.99 | -1.19% | 2 | |
| 2021-04-01 | 2021-04-08 | $220.58 | $227.93 | 0.25% | 5 | |
| 2021-02-16 | 2021-02-17 | $265.41 | $266.05 | -2.64% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-28 | 2020-10-29 | $135.34 | $136.94 | -4.59% | 2 | |
| 2020-10-21 | 2020-10-27 | $140.88 | $141.56 | -0.59% | 5 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-10-02 | 2020-10-14 | $138.36 | $153.77 | -0.54% | 9 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 153.05% | 84 | |
| 2020-03-06 | 2020-03-09 | $46.90 | $40.53 | -3.10% | 2 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2019-01-02 | 2019-01-03 | $20.67 | $20.02 | -7.01% | 2 | |
| 2018-11-02 | 2018-12-19 | $23.09 | $22.20 | -2.30% | 32 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-23 | 2018-03-01 | $23.47 | $22.06 | -1.09% | 5 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-16 | 2018-02-07 | $22.67 | $23.00 | -0.87% | 17 | |
| 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 | |
| 2017-10-25 | 2017-10-26 | $21.72 | $21.74 | -3.61% | 2 | |
| 2017-10-23 | 2017-10-24 | $22.47 | $22.49 | -2.54% | 2 | |
| 2017-10-11 | 2017-10-12 | $23.64 | $23.71 | -0.48% | 2 | |
| 2017-10-04 | 2017-10-10 | $23.67 | $23.71 | -1.69% | 5 | |
| 2017-09-26 | 2017-09-28 | $23.02 | $22.64 | -1.36% | 3 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-09-11 | 2017-09-13 | $24.25 | $24.42 | 5.43% | 3 | |
| 2017-09-06 | 2017-09-07 | $22.97 | $23.37 | -1.65% | 2 | |
| 2017-08-23 | 2017-09-05 | $23.52 | $23.31 | 3.91% | 9 | |
| 2017-08-03 | 2017-08-22 | $23.14 | $22.76 | 3.47% | 14 | |
| 2017-05-25 | 2017-07-06 | $21.12 | $20.59 | 5.23% | 29 | |
| 2017-03-24 | 2017-05-24 | $17.54 | $20.68 | 19.03% | 43 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.04% | 2 | |
| 2017-03-03 | 2017-03-08 | $16.77 | $16.46 | -0.95% | 4 | |
| 2017-03-01 | 2017-03-02 | $16.67 | $16.70 | -0.19% | 2 |