Strategy Zoo / S1448

LongTermTrend_V1448

ARCHIVEDhybrid

crossoverlogic of LongTermTrend_V1402 with risk overlay of PriceMomentum_V1133

Fitness

0.5016

Generation

Complexity

Created

2026-10-10

Lineage

Parents (2)

PriceMomentum_V1133S1133 · gen 52ELITEcrossover

entry from PriceMomentum_V0690, exit from PriceMomentum_V0624

LongTermTrend_V1402S1402 · gen 64ELITEcrossover

changed ret_20d threshold 0.1 -> 0.0257

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1448  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.0257) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	4.2%	98.0%	3.0%	18.6%
Total Return	38.8%	676.0%	11.9%	1140.5%
Sharpe	0.29	1.84	0.26	0.67
Sortino	0.33	2.38	0.26	0.76
Calmar	0.06	2.68	0.06	0.25
Volatility	31.9%	41.8%	33.6%	34.6%
Max DD	-73.3%	-36.6%	-55.1%	-73.3%
Win Rate	34.6%	50.0%	35.7%	38.0%
Avg Win	27.1%	69.9%	21.6%	41.8%
Avg Loss	-11.1%	-8.6%	-9.7%	-10.3%
Payoff	2.44	8.12	2.24	4.07
Expectancy	2.1%	30.6%	1.5%	9.5%
Profit Factor	1.29	8.12	1.24	2.50
Trades	26	10	14	50
Avg Holding Days	50.0	50.2	35.3	47.5
Turnover	10.3	8.2	8.7	9.4
Exposure	55.5%	53.8%	46.8%	52.9%

Growth of $100

LongTermTrend_V1448 vs TSLA Buy & Hold

LongTermTrend_V1448 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	-26.8%	-1.04	-46.0%	4
2017	12.2%	0.53	-31.6%	2
2018	-10.4%	-0.28	-23.0%	4
2019	-5.5%	-0.00	-45.1%	3
2020	533.1%	3.93	-15.9%	2
2021	51.8%	1.24	-25.3%	3
2022	-22.7%	-0.64	-31.7%	5

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	-26.5%	-0.94	31%
hidden test	EXPENSIVE	83	78.3%	1.90	65%
hidden test	EXTREME	48	103.9%	2.75	41%
hidden test	HIGH VOLATILITY	254	-19.8%	-0.61	22%
hidden test	LOW VOLATILITY	442	52.6%	1.66	59%
hidden test	MEDIUM VOLATILITY	250	-39.9%	-1.05	51%
hidden test	NORMAL	815	-4.0%	-0.12	45%
hidden test	SIDEWAYS	297	-6.1%	-0.20	52%
hidden test	UPTREND	371	46.9%	1.21	54%
train	DOWNTREND	518	-33.1%	-1.33	39%
train	EXPENSIVE	311	68.2%	1.78	64%
train	EXTREME	100	211.4%	5.29	59%
train	HIGH VOLATILITY	699	19.5%	0.59	26%
train	LOW VOLATILITY	745	24.4%	0.88	75%
train	MEDIUM VOLATILITY	568	-23.5%	-0.67	66%
train	NORMAL	1,601	-14.9%	-0.50	54%
train	SIDEWAYS	592	-17.1%	-0.58	46%
train	UPTREND	902	50.6%	1.39	71%
validation	DOWNTREND	125	43.8%	2.18	12%
validation	EXPENSIVE	138	98.5%	1.95	77%
validation	EXTREME	144	277.5%	5.41	54%
validation	HIGH VOLATILITY	258	74.7%	2.02	24%
validation	LOW VOLATILITY	183	42.2%	1.34	80%
validation	MEDIUM VOLATILITY	315	99.2%	1.98	63%
validation	NORMAL	474	9.9%	0.29	47%
validation	SIDEWAYS	206	-12.1%	-0.32	52%
validation	UPTREND	425	130.0%	2.71	67%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	10.78%	35	OPEN
2026-07-13	2026-07-24	$394.76	$313.03	-20.89%	10
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-07-31	2025-11-21	$308.27	$391.09	23.63%	81
2025-04-29	2025-07-02	$292.03	$315.65	-6.00%	45
2025-04-08	2025-04-23	$221.86	$250.74	1.45%	11
2024-11-07	2025-01-17	$296.91	$426.50	20.07%	48
2024-09-04	2024-10-22	$219.41	$217.97	-0.40%	35
2024-04-30	2024-08-02	$183.28	$207.67	26.23%	66
2024-04-15	2024-04-19	$161.48	$147.05	-12.53%	5
2024-02-26	2024-03-15	$199.40	$163.57	-15.52%	15
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-24	2023-08-03	$182.90	$259.32	36.51%	49
2022-09-21	2022-10-04	$300.80	$249.44	-21.64%	10
2022-07-14	2022-09-01	$238.31	$277.16	16.04%	36
2022-06-22	2022-07-05	$236.09	$233.07	-1.73%	9
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-25	$383.20	$306.13	-8.75%	15
2021-06-14	2021-12-03	$205.90	$338.32	65.06%	122
2021-04-05	2021-05-11	$230.35	$205.73	-5.87%	27
2020-10-07	2021-02-23	$141.77	$232.95	65.68%	95
2020-04-14	2020-09-30	$47.33	$143.00	141.57%	119
2019-09-12	2020-03-05	$16.39	$48.30	154.11%	121
2019-07-16	2019-08-15	$16.83	$14.38	-11.31%	23
2019-04-04	2019-04-29	$17.85	$16.10	-20.62%	17
2019-02-28	2019-03-06	$21.33	$18.42	-12.31%	5
2018-10-29	2019-01-03	$22.32	$20.02	-4.27%	45
2018-10-04	2018-10-09	$18.79	$17.52	-6.42%	4
2018-08-03	2018-08-31	$23.21	$20.11	-5.43%	21
2018-04-27	2018-07-16	$19.61	$20.67	7.18%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.54%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.15%	65
2016-10-04	2017-07-07	$14.09	$20.88	38.66%	191
2016-07-19	2016-09-02	$15.02	$13.19	-10.07%	34
2016-06-08	2016-06-24	$15.70	$12.88	-15.57%	13
2016-03-04	2016-05-05	$13.40	$14.10	5.43%	44
2015-11-09	2016-01-19	$15.02	$13.65	-11.92%	48
2015-09-21	2015-10-12	$17.61	$14.37	-15.49%	16
2015-04-08	2015-08-12	$13.84	$15.88	17.84%	89
2015-02-10	2015-03-09	$14.42	$12.73	-11.03%	19
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-26	$9.84	$14.20	36.07%	70
2013-03-26	2013-10-24	$2.52	$11.54	112.25%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.27%	92
2012-09-18	2012-10-16	$2.09	$1.87	-18.97%	21
2012-08-24	2012-09-12	$1.97	$1.89	-5.22%	13
2012-06-19	2012-07-27	$2.14	$1.97	-8.37%	28
2012-02-02	2012-04-25	$2.02	$2.19	0.43%	58