Strategy Zoo / S1424

LongTermTrend_V1424

ARCHIVEDhybrid

structuralswapped indicator macd_hist -> roc_20; added exit filter: cumret_252d < 0.9645

Fitness
0.5184
Generation
65
Complexity
26
Created
2026-10-10

Lineage

Parents (1)
LongTermTrend_V0844S0844 · gen 38ARCHIVEDstructural

changed sma_200_slope threshold -0.0024 -> -0.0003; changed cumret_252d threshold -0.1997 -> 0.2888

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1424  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((roc_20 > 23.081 and close > sma_50) and sma_50 > sma_200)))):
    position = 1.0
if long and (macd_hist < 0.0 or cumret_252d < 0.9645):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR10.8%71.7%-7.2%15.8%
Total Return127.0%406.4%-24.5%767.5%
Sharpe0.511.44-0.150.62
Sortino0.531.65-0.140.64
Calmar0.272.29-0.170.38
Volatility27.2%44.4%26.5%31.3%
Max DD-40.0%-31.4%-41.4%-41.4%
Win Rate50.1%55.7%48.7%50.7%
Avg Win2.6%5.2%2.8%3.1%
Avg Loss-2.0%-2.8%-2.8%-2.4%
Payoff1.311.890.991.33
Expectancy0.3%1.7%-0.1%0.4%
Profit Factor1.312.370.941.37
Trades365115187668
Avg Holding Days2.43.62.12.5
Turnover91.676.799.990.7
Exposure24.9%39.6%20.9%26.8%

Growth of $100

LongTermTrend_V1424 vs TSLA Buy & Hold
LongTermTrend_V1424 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
YearCAGRSharpeMax DDTrades
201618.9%1.59-4.1%31
2017-0.4%0.06-11.9%69
2018-2.9%-0.02-17.9%44
201912.5%0.64-20.2%39
2020281.7%2.38-24.2%45
202142.8%1.20-16.8%38
2022-7.5%-0.28-21.5%31

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2786.7%0.3613%
hidden testEXPENSIVE8359.6%1.3537%
hidden testEXTREME4859.2%1.9031%
hidden testHIGH VOLATILITY254-22.5%-0.5824%
hidden testLOW VOLATILITY44218.8%1.0220%
hidden testMEDIUM VOLATILITY250-25.4%-1.0819%
hidden testNORMAL815-14.2%-0.6019%
hidden testSIDEWAYS297-37.3%-1.4624%
hidden testUPTREND37114.7%0.4725%
trainDOWNTREND518-11.3%-0.749%
trainEXPENSIVE31124.0%0.7445%
trainEXTREME100293.0%4.2170%
trainHIGH VOLATILITY69933.5%0.8826%
trainLOW VOLATILITY74510.6%0.6127%
trainMEDIUM VOLATILITY568-6.1%-0.2820%
trainNORMAL1,601-5.5%-0.2718%
trainSIDEWAYS59212.8%0.6425%
trainUPTREND90229.1%0.8234%
validationDOWNTREND12529.7%1.435%
validationEXPENSIVE13864.1%1.4346%
validationEXTREME144238.5%3.0975%
validationHIGH VOLATILITY25868.0%1.1537%
validationLOW VOLATILITY18312.5%0.5740%
validationMEDIUM VOLATILITY31590.2%2.2741%
validationNORMAL47410.7%0.4027%
validationSIDEWAYS2064.2%0.1631%
validationUPTREND425102.7%1.8754%

Trades (full period)

latest 100 of 669
EntryExitEntry PxExit PxReturnDays
2026-10-09—$382.70—1.95%1OPEN
2026-10-072026-10-08$377.81$375.00-0.95%2
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-042026-09-08$354.08$368.16-6.12%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-102025-10-13$413.49$435.90-5.26%2
2025-10-082025-10-09$438.69$435.541.09%2
2025-10-062025-10-07$453.25$433.095.24%2
2025-10-022025-10-03$436.00$429.83-5.30%2
2025-09-302025-10-01$444.72$459.460.14%2
2025-09-262025-09-29$440.40$443.213.81%2
2025-09-242025-09-25$442.79$423.393.77%2
2025-09-222025-09-23$434.21$425.851.71%2
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-09-042025-09-05$338.53$350.841.13%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-052025-06-06$284.70$295.14-14.45%2
2025-06-032025-06-04$344.27$332.050.26%2
2025-05-282025-06-02$356.90$342.69-4.72%4
2025-05-232025-05-27$339.34$362.89-0.70%2
2025-05-142025-05-22$347.68$341.04-0.03%7
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2025-01-062025-01-07$411.05$394.36-0.05%2
2025-01-022025-01-03$379.28$410.44-6.28%2
2024-12-302024-12-31$417.41$403.84-3.50%2
2024-12-262024-12-27$454.13$431.66-1.96%2
2024-12-232024-12-24$430.60$462.282.06%2
2024-12-192024-12-20$436.17$421.06-1.10%2
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-122024-11-13$328.49$330.24-6.34%2
2024-11-082024-11-11$321.22$350.007.98%2
2024-11-062024-11-07$288.53$296.9114.54%2
2024-11-042024-11-05$242.84$251.44-2.66%2
2024-10-312024-11-01$249.85$248.98-3.19%2
2024-10-292024-10-30$259.52$257.55-1.34%2
2024-10-252024-10-28$269.19$262.513.14%2
2024-10-032024-10-04$240.66$250.08-3.55%2