Strategy Zoo / S1488
LongTermTrend_V1488
ARCHIVEDhybridparameterchanged sma_200_slope threshold 0.0 -> 0.0021; changed ret_20d threshold 0.1 -> 0.2396
Fitness
0.7070
Generation
68
Complexity
13
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.184 -> 0.2657
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1488 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > 0.0021) or ret_20d > 0.2396) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05) or ret_20d > 0.2657):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.7% | 109.2% | 5.6% | 33.1% |
| Total Return | 482.6% | 815.0% | 22.7% | 6634.9% |
| Sharpe | 0.95 | 1.75 | 0.33 | 1.02 |
| Sortino | 0.79 | 1.82 | 0.25 | 0.87 |
| Calmar | 0.62 | 3.24 | 0.12 | 0.73 |
| Volatility | 26.9% | 49.2% | 29.9% | 33.4% |
| Max DD | -39.5% | -33.7% | -45.1% | -45.1% |
| Win Rate | 56.3% | 57.1% | 41.7% | 52.4% |
| Avg Win | 29.9% | 45.8% | 20.7% | 36.0% |
| Avg Loss | -6.5% | -7.6% | -9.7% | -7.9% |
| Payoff | 4.62 | 6.00 | 2.14 | 4.54 |
| Expectancy | 14.0% | 22.9% | 3.0% | 15.1% |
| Profit Factor | 5.94 | 8.00 | 1.53 | 4.99 |
| Trades | 16 | 14 | 12 | 42 |
| Avg Holding Days | 32.7 | 28.4 | 21.8 | 29.2 |
| Turnover | 4.1 | 9.3 | 6.4 | 5.7 |
| Exposure | 27.4% | 50.7% | 26.4% | 31.9% |
Growth of $100
LongTermTrend_V1488 vs TSLA Buy & Hold
LongTermTrend_V1488 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 | 17.5% | 1.22 | -9.3% | 1 |
| 2017 | -20.9% | -1.09 | -26.2% | 5 |
| 2018 | -12.4% | -0.61 | -18.1% | 2 |
| 2019 | 27.7% | 1.21 | -17.9% | 1 |
| 2020 | 541.3% | 2.93 | -33.7% | 6 |
| 2021 | 84.5% | 1.89 | -17.6% | 5 |
| 2022 | -25.9% | -1.16 | -27.0% | 3 |
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 | 20.7% | 1.33 | 5% |
| hidden test | EXPENSIVE | 83 | 41.7% | 1.07 | 54% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 37.9% | 0.89 | 33% |
| hidden test | LOW VOLATILITY | 443 | 21.2% | 1.13 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.4% | -1.27 | 26% |
| hidden test | NORMAL | 816 | -3.5% | -0.13 | 21% |
| hidden test | SIDEWAYS | 298 | -19.5% | -0.71 | 27% |
| hidden test | UPTREND | 371 | 25.6% | 0.66 | 43% |
| train | DOWNTREND | 518 | 7.8% | 1.01 | 4% |
| train | EXPENSIVE | 311 | 27.3% | 0.74 | 59% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 45.4% | 1.25 | 32% |
| train | LOW VOLATILITY | 745 | 24.1% | 1.31 | 27% |
| train | MEDIUM VOLATILITY | 568 | 3.3% | 0.15 | 22% |
| train | NORMAL | 1,601 | 1.7% | 0.10 | 17% |
| train | SIDEWAYS | 592 | 1.2% | 0.07 | 14% |
| train | UPTREND | 902 | 51.9% | 1.39 | 50% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 67.5% | 1.25 | 60% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 100.9% | 1.49 | 50% |
| validation | LOW VOLATILITY | 183 | 51.2% | 2.21 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 93.8% | 2.23 | 52% |
| validation | NORMAL | 474 | 11.8% | 0.42 | 35% |
| validation | SIDEWAYS | 206 | -2.0% | -0.07 | 40% |
| validation | UPTREND | 425 | 153.8% | 2.49 | 71% |
Trades (full period)
42 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2025-12-23 | 2026-01-05 | $485.56 | $451.67 | -10.55% | 8 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-08 | 2025-06-12 | $284.82 | $319.11 | 17.94% | 25 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 32.69% | 43 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2024-05-22 | 2024-05-29 | $180.11 | $176.19 | -5.47% | 5 | |
| 2023-11-29 | 2024-01-08 | $244.14 | $240.45 | -3.93% | 27 | |
| 2023-09-18 | 2023-09-28 | $265.28 | $246.38 | -12.53% | 9 | |
| 2023-05-31 | 2023-07-24 | $203.93 | $269.06 | 29.00% | 37 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-08-01 | 2022-08-29 | $297.28 | $284.82 | -3.24% | 21 | |
| 2022-03-24 | 2022-04-21 | $337.97 | $336.26 | -2.39% | 20 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-26 | 2021-12-01 | $233.72 | $365.00 | 60.64% | 68 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2019-07-02 | 2019-08-06 | $14.97 | $15.38 | 0.30% | 25 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-06-15 | 2018-07-06 | $23.88 | $20.59 | -13.75% | 15 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-08 | 2017-07-06 | $24.67 | $20.59 | -9.23% | 20 | |
| 2017-04-10 | 2017-05-24 | $20.83 | $20.68 | 0.24% | 32 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 17.55% | 40 | |
| 2015-04-28 | 2015-07-27 | $15.37 | $16.87 | 14.39% | 63 | |
| 2014-08-27 | 2014-09-16 | $17.55 | $17.38 | -3.20% | 14 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-02-14 | 2012-04-10 | $2.21 | $2.16 | 5.07% | 39 |