Strategy Zoo / S1438
LongTermTrend_V1438
ARCHIVEDhybridstructuralreplaced exit rule with: breakout_20 == 1
Fitness
0.3338
Generation
66
Complexity
12
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1438 [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 > -0.4102) and ret_20d > 0.05):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.7% | 28.1% | 2.5% | 13.7% |
| Total Return | 178.8% | 110.2% | 9.9% | 563.2% |
| Sharpe | 0.65 | 0.79 | 0.23 | 0.60 |
| Sortino | 0.45 | 0.60 | 0.14 | 0.39 |
| Calmar | 0.35 | 0.47 | 0.07 | 0.23 |
| Volatility | 24.0% | 43.7% | 17.9% | 28.0% |
| Max DD | -38.9% | -60.0% | -38.9% | -60.0% |
| Win Rate | 78.5% | 86.0% | 81.8% | 81.3% |
| Avg Win | 3.8% | 5.2% | 3.5% | 4.2% |
| Avg Loss | -6.2% | -12.7% | -11.4% | -8.4% |
| Payoff | 0.61 | 0.41 | 0.31 | 0.50 |
| Expectancy | 1.6% | 2.7% | 0.8% | 1.8% |
| Profit Factor | 2.22 | 2.51 | 1.39 | 2.15 |
| Trades | 79 | 43 | 22 | 144 |
| Avg Holding Days | 5.1 | 6.3 | 5.7 | 5.6 |
| Turnover | 19.9 | 28.7 | 11.7 | 19.5 |
| Exposure | 16.3% | 29.9% | 10.9% | 17.7% |
Growth of $100
LongTermTrend_V1438 vs TSLA Buy & Hold
LongTermTrend_V1438 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 | -4.1% | -0.01 | -19.6% | 24 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 1.2% | 0.24 | -4.0% | 3 |
| 2020 | 117.9% | 1.44 | -60.0% | 38 |
| 2021 | -3.7% | -0.13 | -11.2% | 4 |
| 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 | -6.5% | -0.16 | 70% |
| hidden test | EXTREME | 48 | 180.6% | 3.33 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 21.8% | 0.90 | 16% |
| hidden test | LOW VOLATILITY | 442 | 11.4% | 1.45 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.7% | -1.19 | 18% |
| hidden test | NORMAL | 815 | -5.2% | -0.97 | 0% |
| hidden test | SIDEWAYS | 297 | -12.2% | -1.31 | 2% |
| hidden test | UPTREND | 371 | 20.3% | 0.74 | 26% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.2% | 0.19 | 78% |
| train | EXTREME | 100 | 386.4% | 5.60 | 74% |
| train | HIGH VOLATILITY | 699 | 34.6% | 1.02 | 22% |
| train | LOW VOLATILITY | 745 | 0.4% | 0.04 | 11% |
| train | MEDIUM VOLATILITY | 568 | 12.4% | 0.57 | 16% |
| train | NORMAL | 1,601 | -6.1% | -1.06 | 1% |
| train | SIDEWAYS | 592 | 0.7% | 0.06 | 6% |
| train | UPTREND | 902 | 34.5% | 1.00 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -50.8% | -0.78 | 79% |
| validation | EXTREME | 144 | 260.6% | 3.59 | 80% |
| validation | HIGH VOLATILITY | 258 | 39.4% | 0.61 | 42% |
| validation | LOW VOLATILITY | 183 | -1.2% | -0.06 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 51.2% | 1.67 | 27% |
| validation | NORMAL | 474 | -9.3% | -0.80 | 0% |
| validation | SIDEWAYS | 206 | -3.9% | -0.15 | 7% |
| validation | UPTREND | 425 | 63.2% | 1.14 | 50% |
Trades (full period)
latest 100 of 144
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-13 | $445.91 | $401.99 | -7.00% | 6 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2025-05-20 | 2025-05-22 | $343.82 | $341.04 | -2.38% | 3 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2024-12-19 | 2025-02-26 | $436.17 | $290.80 | -31.34% | 45 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2021-01-27 | 2021-02-19 | $288.05 | $260.43 | -11.02% | 17 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-16 | 2020-11-18 | $146.56 | $162.21 | -1.82% | 24 | |
| 2020-09-02 | 2020-10-15 | $149.12 | $149.63 | -3.09% | 31 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 2.01% | 5 | |
| 2020-05-12 | 2020-05-22 | $53.96 | $54.46 | 1.81% | 9 | |
| 2020-05-01 | 2020-05-11 | $46.75 | $54.09 | 4.58% | 7 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-20 | 2020-04-28 | $49.76 | $51.27 | 5.74% | 7 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-02-21 | 2020-03-19 | $60.07 | $28.51 | -59.92% | 20 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.52% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 | |
| 2019-12-27 | 2020-01-06 | $28.69 | $30.10 | 2.60% | 6 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.85% | 3 | |
| 2017-09-20 | 2017-09-26 | $24.93 | $23.02 | -8.21% | 5 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-08-10 | 2017-09-14 | $23.69 | $25.18 | 0.54% | 25 | |
| 2017-08-07 | 2017-08-09 | $23.68 | $24.24 | 2.12% | 3 | |
| 2017-06-26 | 2017-08-04 | $25.17 | $23.79 | -9.66% | 29 | |
| 2017-06-15 | 2017-06-23 | $25.02 | $25.56 | 0.31% | 7 | |
| 2017-06-09 | 2017-06-14 | $23.82 | $25.38 | 1.40% | 4 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-06-01 | 2017-06-06 | $22.69 | $23.52 | 1.65% | 4 | |
| 2017-05-12 | 2017-05-31 | $21.65 | $22.73 | 3.51% | 13 | |
| 2017-05-02 | 2017-05-11 | $21.26 | $21.54 | 0.54% | 8 | |
| 2017-04-27 | 2017-05-01 | $20.58 | $21.52 | 1.05% | 3 | |
| 2017-04-12 | 2017-04-26 | $19.79 | $20.68 | 1.44% | 10 | |
| 2017-04-07 | 2017-04-11 | $20.17 | $20.58 | 4.38% | 3 | |
| 2017-04-05 | 2017-04-06 | $19.67 | $19.91 | -3.06% | 2 | |
| 2017-04-03 | 2017-04-04 | $19.90 | $20.25 | 7.06% | 2 | |
| 2017-03-30 | 2017-03-31 | $18.53 | $18.55 | -0.01% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-16 | 2017-02-28 | $17.93 | $16.67 | -12.16% | 8 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-02-08 | 2017-02-09 | $17.47 | $17.95 | 1.58% | 2 | |
| 2017-02-03 | 2017-02-07 | $16.76 | $17.17 | 2.27% | 3 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-03-06 | 2014-04-11 | $16.86 | $13.59 | -19.35% | 27 | |
| 2014-02-28 | 2014-03-05 | $16.32 | $16.84 | 0.71% | 4 | |
| 2014-02-26 | 2014-02-27 | $16.87 | $16.84 | 1.81% | 2 | |
| 2014-02-24 | 2014-02-25 | $14.51 | $16.53 | 3.64% | 2 | |
| 2014-02-20 | 2014-02-21 | $14.00 | $13.97 | 8.22% | 2 | |
| 2014-02-18 | 2014-02-19 | $13.58 | $12.91 | 2.56% | 2 | |
| 2014-02-13 | 2014-02-14 | $13.31 | $13.22 | 2.00% | 2 | |
| 2014-02-11 | 2014-02-12 | $13.11 | $13.02 | -0.17% | 2 |