Strategy Zoo / S1446
LongTermTrend_V1446
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> 0.08
Fitness
0.6551
Generation
66
Complexity
11
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1446 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_1d > -0.0578 and cumret_252d > -0.4102) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < 0.08:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.7% | 93.8% | 9.7% | 32.9% |
| Total Return | 522.0% | 628.2% | 41.5% | 6499.0% |
| Sharpe | 0.92 | 1.62 | 0.46 | 1.00 |
| Sortino | 0.89 | 1.70 | 0.38 | 0.94 |
| Calmar | 0.56 | 2.68 | 0.27 | 0.72 |
| Volatility | 29.5% | 48.0% | 29.9% | 34.2% |
| Max DD | -45.6% | -35.0% | -36.4% | -45.6% |
| Win Rate | 44.9% | 52.1% | 39.1% | 45.3% |
| Avg Win | 9.4% | 13.6% | 7.5% | 10.4% |
| Avg Loss | -3.1% | -3.3% | -3.0% | -3.1% |
| Payoff | 3.06 | 4.12 | 2.51 | 3.36 |
| Expectancy | 2.5% | 5.5% | 1.1% | 3.0% |
| Profit Factor | 2.49 | 4.47 | 1.62 | 2.79 |
| Trades | 98 | 48 | 46 | 192 |
| Avg Holding Days | 7.8 | 8.2 | 7.0 | 7.8 |
| Turnover | 24.7 | 32.0 | 24.5 | 26.1 |
| Exposure | 33.5% | 45.5% | 29.2% | 34.9% |
Growth of $100
LongTermTrend_V1446 vs TSLA Buy & Hold
LongTermTrend_V1446 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 | 19.0% | 1.17 | -12.9% | 5 |
| 2017 | 39.7% | 1.70 | -12.7% | 14 |
| 2018 | -27.1% | -1.51 | -31.3% | 15 |
| 2019 | 21.7% | 0.80 | -26.9% | 8 |
| 2020 | 562.2% | 3.04 | -33.7% | 11 |
| 2021 | 10.0% | 0.45 | -35.0% | 29 |
| 2022 | -4.2% | -0.05 | -17.1% | 8 |
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 | -2.6% | -0.14 | 14% |
| hidden test | EXPENSIVE | 83 | 44.6% | 1.08 | 53% |
| hidden test | EXTREME | 48 | 139.2% | 2.60 | 60% |
| hidden test | HIGH VOLATILITY | 254 | -10.6% | -0.26 | 33% |
| hidden test | LOW VOLATILITY | 442 | 43.9% | 1.94 | 28% |
| hidden test | MEDIUM VOLATILITY | 250 | -14.8% | -0.52 | 27% |
| hidden test | NORMAL | 815 | 3.2% | 0.12 | 25% |
| hidden test | SIDEWAYS | 297 | -8.8% | -0.33 | 28% |
| hidden test | UPTREND | 371 | 44.1% | 1.15 | 41% |
| train | DOWNTREND | 518 | 8.1% | 0.83 | 8% |
| train | EXPENSIVE | 311 | 53.9% | 1.54 | 61% |
| train | EXTREME | 100 | 366.0% | 5.05 | 94% |
| train | HIGH VOLATILITY | 699 | 55.5% | 1.40 | 34% |
| train | LOW VOLATILITY | 745 | 25.4% | 1.23 | 39% |
| train | MEDIUM VOLATILITY | 568 | -5.4% | -0.22 | 25% |
| train | NORMAL | 1,601 | 0.8% | 0.04 | 24% |
| train | SIDEWAYS | 592 | -1.7% | -0.07 | 26% |
| train | UPTREND | 902 | 57.0% | 1.46 | 53% |
| validation | DOWNTREND | 125 | 19.4% | 1.56 | 7% |
| validation | EXPENSIVE | 138 | 92.1% | 1.78 | 55% |
| validation | EXTREME | 144 | 324.7% | 3.96 | 89% |
| validation | HIGH VOLATILITY | 258 | 104.4% | 1.59 | 47% |
| validation | LOW VOLATILITY | 183 | 8.0% | 0.39 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 96.4% | 2.30 | 49% |
| validation | NORMAL | 474 | -1.5% | -0.05 | 30% |
| validation | SIDEWAYS | 206 | -12.4% | -0.44 | 32% |
| validation | UPTREND | 425 | 138.6% | 2.30 | 63% |
Trades (full period)
latest 100 of 192
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | 2026-09-14 | $367.81 | $358.97 | -0.94% | 4 | |
| 2026-08-24 | 2026-09-08 | $348.95 | $368.16 | -2.62% | 11 | |
| 2026-06-03 | 2026-06-05 | $423.70 | $391.00 | -1.45% | 3 | |
| 2026-05-21 | 2026-06-02 | $417.85 | $423.74 | -0.53% | 8 | |
| 2026-05-05 | 2026-05-18 | $389.37 | $409.99 | 7.36% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-05-06 | 2025-05-09 | $275.35 | $298.26 | 1.42% | 4 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-01-06 | 2025-01-08 | $411.05 | $394.94 | -4.11% | 3 | |
| 2024-11-07 | 2025-01-03 | $296.91 | $410.44 | 31.19% | 39 | |
| 2024-10-07 | 2024-10-10 | $240.83 | $238.77 | -3.81% | 4 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-11 | 2024-09-16 | $228.13 | $226.78 | 1.62% | 4 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-27 | 2024-07-31 | $197.42 | $232.07 | 13.14% | 24 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2024-04-30 | 2024-05-02 | $183.28 | $180.01 | -7.44% | 3 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-08 | 2023-12-13 | $243.84 | $239.29 | -2.52% | 4 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-11-17 | 2023-12-05 | $234.30 | $238.72 | 0.65% | 12 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-18 | 2023-07-20 | $293.34 | $262.90 | 0.10% | 3 | |
| 2023-05-23 | 2023-07-14 | $185.77 | $281.38 | 46.84% | 36 | |
| 2023-02-01 | 2023-03-03 | $181.41 | $197.79 | 9.99% | 22 | |
| 2022-07-28 | 2022-08-26 | $280.90 | $288.09 | 7.52% | 22 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-07-19 | 2022-07-21 | $245.53 | $271.71 | 2.69% | 3 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-18 | 2022-01-21 | $343.50 | $314.63 | -5.27% | 4 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-15 | 2021-11-26 | $281.01 | $360.64 | 36.11% | 30 | |
| 2021-10-12 | 2021-10-14 | $268.57 | $272.77 | 2.21% | 3 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-15 | 2021-09-21 | $251.94 | $246.46 | -2.12% | 5 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-25 | 2021-08-27 | $237.07 | $237.31 | -1.23% | 3 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-11 | 2021-08-17 | $235.94 | $221.90 | -3.55% | 5 | |
| 2021-08-04 | 2021-08-09 | $236.97 | $237.92 | -1.70% | 4 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-13 | 2021-07-16 | $222.85 | $214.74 | -5.31% | 4 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-06-29 | 2021-07-08 | $226.92 | $217.60 | -6.59% | 7 | |
| 2021-06-24 | 2021-06-28 | $226.61 | $229.57 | 2.13% | 3 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-22 | 2021-04-30 | $239.90 | $236.48 | -9.21% | 7 | |
| 2021-04-19 | 2021-04-21 | $238.21 | $248.04 | -3.01% | 3 | |
| 2021-04-14 | 2021-04-16 | $244.08 | $246.59 | -3.28% | 3 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-13 | $141.77 | $148.88 | 6.63% | 5 | |
| 2020-08-14 | 2020-09-23 | $110.05 | $126.79 | 30.60% | 28 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-06-01 | 2020-08-05 | $59.87 | $99.00 | 77.74% | 47 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-18 | 2020-05-27 | $54.24 | $54.68 | 2.26% | 7 | |
| 2020-04-14 | 2020-05-15 | $47.33 | $53.28 | 23.17% | 24 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 74.74% | 51 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-10-23 | 2019-11-25 | $16.98 | $22.42 | 30.05% | 24 | |
| 2019-10-03 | 2019-10-04 | $15.54 | $15.43 | -4.35% | 2 | |
| 2019-09-27 | 2019-10-01 | $16.14 | $16.31 | -0.90% | 3 | |
| 2019-09-20 | 2019-09-25 | $16.04 | $15.25 | -9.67% | 4 |