Strategy Zoo / S1489
LongTermTrend_V1489
ARCHIVEDhybridstructuralreduce exposure to 41% during EXPENSIVE
Fitness
0.5713
Generation
68
Complexity
13
Created
2026-10-13
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1489 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.1) 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.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.5% | 63.2% | 3.6% | 21.7% |
| Total Return | 261.5% | 334.7% | 14.1% | 1714.1% |
| Sharpe | 0.97 | 1.42 | 0.33 | 0.95 |
| Sortino | 0.67 | 1.05 | 0.16 | 0.57 |
| Calmar | 1.09 | 1.87 | 0.17 | 0.64 |
| Volatility | 18.2% | 40.1% | 13.5% | 23.6% |
| Max DD | -16.1% | -33.7% | -21.6% | -33.7% |
| Win Rate | 41.7% | 100.0% | 50.0% | 52.6% |
| Avg Win | 44.1% | 70.0% | 8.8% | 45.6% |
| Avg Loss | -0.8% | 0.0% | -1.8% | -1.0% |
| Payoff | 10.00 | 5.00 | 4.97 | 10.00 |
| Expectancy | 17.9% | 70.0% | 3.5% | 23.5% |
| Profit Factor | 10.00 | 5.00 | 4.97 | 10.00 |
| Trades | 12 | 3 | 4 | 19 |
| Avg Holding Days | 29.3 | 85.0 | 25.5 | 37.9 |
| Turnover | 2.3 | 4.0 | 2.4 | 2.7 |
| Exposure | 10.1% | 24.4% | 6.4% | 12.1% |
Growth of $100
LongTermTrend_V1489 vs TSLA Buy & Hold
LongTermTrend_V1489 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 | 1.1% | 0.15 | -12.7% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 3.9% | 1.31 | -1.5% | 0 |
| 2020 | 332.5% | 2.50 | -33.7% | 2 |
| 2021 | -1.5% | -0.09 | -8.9% | 1 |
| 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 | -6.3% | -0.29 | 32% |
| hidden test | EXTREME | 48 | 115.9% | 2.20 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 3.1% | 0.15 | 13% |
| hidden test | LOW VOLATILITY | 443 | 12.4% | 1.82 | 2% |
| hidden test | MEDIUM VOLATILITY | 250 | -8.4% | -0.62 | 8% |
| hidden test | NORMAL | 816 | -1.1% | -0.98 | 0% |
| hidden test | SIDEWAYS | 298 | -0.4% | -0.31 | 1% |
| hidden test | UPTREND | 371 | 11.6% | 0.54 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.8% | 0.37 | 33% |
| train | EXTREME | 100 | 354.6% | 5.10 | 96% |
| train | HIGH VOLATILITY | 699 | 36.1% | 1.30 | 15% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.84 | 6% |
| train | MEDIUM VOLATILITY | 568 | 12.1% | 0.90 | 9% |
| train | NORMAL | 1,601 | -1.4% | -1.07 | 0% |
| train | SIDEWAYS | 592 | 3.0% | 0.78 | 3% |
| train | UPTREND | 902 | 37.5% | 1.39 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -19.9% | -0.49 | 37% |
| validation | EXTREME | 144 | 319.7% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 112.3% | 1.78 | 41% |
| validation | LOW VOLATILITY | 183 | 7.2% | 0.60 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 40.8% | 1.81 | 19% |
| validation | NORMAL | 474 | -0.3% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 7.9% | 0.45 | 6% |
| validation | UPTREND | 425 | 97.7% | 1.88 | 40% |
Trades (full period)
19 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 3.95% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -1.95% | 4 | |
| 2025-05-15 | 2025-05-22 | $342.82 | $341.04 | -1.62% | 6 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 13.75% | 48 | |
| 2020-10-07 | 2021-02-19 | $141.77 | $260.43 | 20.88% | 93 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 137.74% | 119 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 59.01% | 54 | |
| 2017-08-04 | 2017-09-26 | $23.79 | $23.02 | -0.15% | 37 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | -0.86% | 63 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 3.66% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -0.81% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -0.72% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 14.35% | 49 | |
| 2014-01-08 | 2014-01-10 | $10.09 | $9.71 | -0.58% | 3 | |
| 2013-12-23 | 2014-01-07 | $9.57 | $9.96 | 1.05% | 10 | |
| 2013-12-13 | 2013-12-20 | $9.84 | $9.55 | -1.93% | 6 | |
| 2013-04-11 | 2013-10-24 | $2.91 | $11.54 | 198.59% | 138 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.27% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 2.67% | 14 |