Strategy Zoo / S1507
LongTermTrend_V1507
ARCHIVEDhybridstructuraladded entry filter: vol_chg < 1.2824; swapped indicator macd_hist -> roc_20
Fitness
0.6600
Generation
69
Complexity
26
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1507 [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 ((roc_20 > 23.9768 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)))) and vol_chg < 1.2824):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.4% | 91.6% | 17.0% | 28.7% |
| Total Return | 214.0% | 603.6% | 80.7% | 4010.1% |
| Sharpe | 0.66 | 1.69 | 0.70 | 0.95 |
| Sortino | 0.55 | 1.78 | 0.61 | 0.85 |
| Calmar | 0.34 | 3.78 | 0.44 | 0.63 |
| Volatility | 27.5% | 44.3% | 28.0% | 31.8% |
| Max DD | -45.2% | -24.2% | -39.1% | -45.2% |
| Win Rate | 52.2% | 59.6% | 40.6% | 52.1% |
| Avg Win | 9.3% | 10.9% | 10.6% | 10.6% |
| Avg Loss | -5.0% | -3.3% | -3.5% | -4.1% |
| Payoff | 1.89 | 3.26 | 3.06 | 2.58 |
| Expectancy | 2.5% | 5.1% | 2.3% | 3.6% |
| Profit Factor | 2.06 | 4.80 | 2.10 | 2.80 |
| Trades | 67 | 47 | 32 | 146 |
| Avg Holding Days | 9.1 | 7.1 | 9.0 | 8.5 |
| Turnover | 16.9 | 31.3 | 17.0 | 19.8 |
| Exposure | 27.5% | 37.7% | 26.9% | 29.4% |
Growth of $100
LongTermTrend_V1507 vs TSLA Buy & Hold
LongTermTrend_V1507 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 | 6.9% | 0.60 | -11.0% | 3 |
| 2017 | 14.4% | 0.73 | -19.6% | 11 |
| 2018 | -21.1% | -1.07 | -23.7% | 4 |
| 2019 | 14.4% | 0.68 | -14.3% | 3 |
| 2020 | 335.5% | 2.62 | -24.2% | 25 |
| 2021 | 47.4% | 1.35 | -16.8% | 15 |
| 2022 | -7.3% | -0.24 | -17.6% | 7 |
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 | 19.4% | 1.24 | 5% |
| hidden test | EXPENSIVE | 83 | 55.8% | 1.28 | 48% |
| hidden test | EXTREME | 48 | 151.6% | 3.23 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 51.4% | 1.33 | 32% |
| hidden test | LOW VOLATILITY | 443 | 25.1% | 1.25 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.4% | -0.83 | 26% |
| hidden test | NORMAL | 816 | 8.2% | 0.34 | 24% |
| hidden test | SIDEWAYS | 298 | -1.3% | -0.05 | 31% |
| hidden test | UPTREND | 371 | 36.6% | 1.04 | 40% |
| train | DOWNTREND | 518 | 5.6% | 0.70 | 4% |
| train | EXPENSIVE | 311 | 42.7% | 1.25 | 53% |
| train | EXTREME | 100 | 317.7% | 4.52 | 81% |
| train | HIGH VOLATILITY | 699 | 36.2% | 0.94 | 30% |
| train | LOW VOLATILITY | 745 | 25.3% | 1.41 | 31% |
| train | MEDIUM VOLATILITY | 568 | -13.8% | -0.65 | 20% |
| train | NORMAL | 1,601 | -5.5% | -0.28 | 19% |
| train | SIDEWAYS | 592 | -5.6% | -0.27 | 21% |
| train | UPTREND | 902 | 40.7% | 1.10 | 45% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 110.9% | 2.56 | 46% |
| validation | EXTREME | 144 | 221.7% | 2.89 | 72% |
| validation | HIGH VOLATILITY | 258 | 87.1% | 1.46 | 36% |
| validation | LOW VOLATILITY | 183 | 31.0% | 1.72 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 90.1% | 2.23 | 43% |
| validation | NORMAL | 474 | 19.6% | 0.71 | 25% |
| validation | SIDEWAYS | 206 | 24.5% | 0.86 | 28% |
| validation | UPTREND | 425 | 117.7% | 2.13 | 53% |
Trades (full period)
latest 100 of 146
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-07 | 2026-05-21 | $411.79 | $417.85 | 4.44% | 11 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 8.35% | 16 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-06 | 2025-06-03 | $275.35 | $344.27 | 22.03% | 20 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-29 | 2024-11-29 | $259.52 | $345.16 | 26.56% | 23 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-05 | 2024-07-22 | $251.52 | $251.51 | -3.11% | 12 | |
| 2024-05-22 | 2024-05-30 | $180.11 | $178.79 | -5.77% | 6 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-29 | 2022-08-12 | $297.15 | $300.03 | 1.84% | 11 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-06 | 2021-04-29 | $230.54 | $225.67 | 0.28% | 18 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-19 | 2020-09-08 | $125.24 | $110.07 | 10.62% | 14 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-20 | 2020-05-21 | $54.37 | $55.17 | 0.73% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-31 | 2019-11-21 | $20.99 | $23.66 | 11.59% | 16 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.52% | 18 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-11-05 | 2018-11-21 | $22.76 | $22.55 | 0.11% | 13 | |
| 2018-08-07 | 2018-08-20 | $25.30 | $20.56 | -10.84% | 10 | |
| 2018-06-15 | 2018-06-26 | $23.88 | $22.80 | -7.09% | 8 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-13 | 2017-09-25 | $24.42 | $23.00 | -3.41% | 9 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 9.58% | 20 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-03-08 | 2016-04-01 | $13.51 | $15.84 | 11.70% | 18 |