Strategy Zoo / S1440

LongTermTrend_V1440

ARCHIVEDhybrid

structuraladded exit filter: vol_60 < 0.9813

Fitness
0.3601
Generation
66
Complexity
26
Created
2026-10-10

Lineage

Parents (1)
LongTermTrend_V1367S1367 · gen 63ELITEstructural

changed ret_20d threshold 0.05 -> 0.1344

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1440  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.1344 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 ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))):
    position = 1.0
if long and (macd_hist < 0.0 or vol_60 < 0.9813):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR6.3%35.3%-0.4%9.8%
Total Return62.9%147.4%-1.6%296.1%
Sharpe0.370.970.110.47
Sortino0.380.990.100.47
Calmar0.161.07-0.010.24
Volatility23.6%38.8%25.0%27.7%
Max DD-39.8%-33.0%-41.2%-41.2%
Win Rate50.6%53.4%50.3%51.2%
Avg Win2.3%3.9%2.8%2.8%
Avg Loss-2.0%-3.0%-2.7%-2.4%
Payoff1.141.301.021.16
Expectancy0.2%0.7%0.0%0.3%
Profit Factor1.171.491.031.22
Trades403163183750
Avg Holding Days2.02.22.02.0
Turnover101.1108.797.8101.8
Exposure20.1%25.1%19.5%20.9%

Growth of $100

LongTermTrend_V1440 vs TSLA Buy & Hold
LongTermTrend_V1440 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
20175.0%0.40-7.8%59
2018-3.1%-0.02-17.9%43
201912.5%0.64-20.2%39
202093.1%1.41-33.0%74
202125.2%1.07-14.6%60
2022-1.1%0.05-18.2%28

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 testEXPENSIVE83117.9%2.7330%
hidden testEXTREME4859.7%1.9231%
hidden testHIGH VOLATILITY254-0.7%-0.0222%
hidden testLOW VOLATILITY44214.6%0.8119%
hidden testMEDIUM VOLATILITY250-15.0%-0.6418%
hidden testNORMAL815-12.4%-0.5718%
hidden testSIDEWAYS297-23.6%-1.0922%
hidden testUPTREND37120.7%0.6723%
trainDOWNTREND518-11.3%-0.749%
trainEXPENSIVE31125.4%1.0931%
trainEXTREME100176.2%3.0845%
trainHIGH VOLATILITY69917.0%0.5320%
trainLOW VOLATILITY7456.7%0.4223%
trainMEDIUM VOLATILITY5681.5%0.0816%
trainNORMAL1,601-4.8%-0.2516%
trainSIDEWAYS5927.9%0.4220%
trainUPTREND90221.0%0.7126%
validationDOWNTREND12529.7%1.435%
validationEXPENSIVE13816.6%0.3729%
validationEXTREME144160.9%2.3851%
validationHIGH VOLATILITY25831.2%0.5826%
validationLOW VOLATILITY1837.4%0.4124%
validationMEDIUM VOLATILITY31560.7%1.8725%
validationNORMAL4746.4%0.3116%
validationSIDEWAYS2060.4%0.0217%
validationUPTREND42558.2%1.2035%

Trades (full period)

latest 100 of 751
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
2025-11-042025-11-05$444.26$462.07-5.34%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
2025-08-292025-09-02$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
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-05-142025-05-15$347.68$342.823.87%2
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
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
2024-10-012024-10-02$258.02$249.02-1.58%2
2024-09-272024-09-30$260.46$261.632.25%2