Strategy Zoo / S1512
LongTermTrend_V1512
ARCHIVEDhybridstructuralremoved entry condition: cumret_252d > 0.0541; changed ret_20d threshold -0.0017 -> -0.1191
Fitness
0.6658
Generation
69
Complexity
8
Created
2026-10-13
Lineage
Parents (1)
removed entry condition: ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1512 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.1191:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 28.1% | 120.3% | 12.3% | 38.6% |
| Total Return | 620.4% | 968.9% | 54.9% | 12179.8% |
| Sharpe | 0.84 | 1.72 | 0.49 | 0.98 |
| Sortino | 1.04 | 2.09 | 0.57 | 1.18 |
| Calmar | 0.52 | 2.85 | 0.22 | 0.69 |
| Volatility | 37.8% | 54.7% | 39.8% | 42.3% |
| Max DD | -54.4% | -42.2% | -56.0% | -56.0% |
| Win Rate | 40.0% | 55.6% | 53.8% | 47.6% |
| Avg Win | 71.3% | 87.0% | 18.8% | 63.4% |
| Avg Loss | -11.8% | -9.5% | -11.8% | -11.4% |
| Payoff | 6.03 | 9.13 | 1.59 | 5.56 |
| Expectancy | 21.4% | 44.1% | 4.7% | 24.2% |
| Profit Factor | 4.02 | 10.00 | 1.86 | 5.05 |
| Trades | 20 | 9 | 13 | 42 |
| Avg Holding Days | 61.6 | 57.3 | 39.9 | 55.8 |
| Turnover | 5.1 | 6.0 | 7.2 | 5.8 |
| Exposure | 64.0% | 67.1% | 57.1% | 62.9% |
Growth of $100
LongTermTrend_V1512 vs TSLA Buy & Hold
LongTermTrend_V1512 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 | -17.7% | -0.70 | -38.7% | 4 |
| 2017 | 15.7% | 0.61 | -34.5% | 2 |
| 2018 | -11.5% | -0.12 | -35.5% | 3 |
| 2019 | 60.2% | 1.55 | -24.9% | 2 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 51.1% | 1.20 | -26.1% | 3 |
| 2022 | -28.2% | -0.74 | -29.9% | 4 |
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 | 4.2% | 0.13 | 39% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 31.9% | 0.62 | 57% |
| hidden test | LOW VOLATILITY | 443 | 43.2% | 1.37 | 60% |
| hidden test | MEDIUM VOLATILITY | 250 | -34.8% | -0.88 | 53% |
| hidden test | NORMAL | 816 | 2.7% | 0.07 | 54% |
| hidden test | SIDEWAYS | 298 | -10.7% | -0.30 | 58% |
| hidden test | UPTREND | 371 | 55.5% | 1.17 | 70% |
| train | DOWNTREND | 518 | 6.2% | 0.28 | 31% |
| train | EXPENSIVE | 311 | 83.7% | 1.92 | 83% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 60.4% | 1.26 | 55% |
| train | LOW VOLATILITY | 745 | 36.9% | 1.35 | 70% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.29 | 68% |
| train | NORMAL | 1,601 | -2.3% | -0.07 | 58% |
| train | SIDEWAYS | 592 | -18.8% | -0.54 | 58% |
| train | UPTREND | 902 | 79.6% | 1.74 | 87% |
| validation | DOWNTREND | 125 | 40.5% | 1.83 | 14% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 125.0% | 1.80 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 90.6% | 1.78 | 65% |
| validation | NORMAL | 474 | 6.7% | 0.18 | 54% |
| validation | SIDEWAYS | 206 | -15.9% | -0.38 | 62% |
| validation | UPTREND | 425 | 162.9% | 2.49 | 85% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.07% | 35 | OPEN |
| 2026-04-20 | 2026-06-11 | $392.50 | $399.15 | -4.94% | 38 | |
| 2025-12-15 | 2026-01-21 | $475.31 | $431.44 | -8.83% | 25 | |
| 2025-08-11 | 2025-11-21 | $339.03 | $391.09 | 19.66% | 74 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -12.76% | 9 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 37.37% | 54 | |
| 2024-09-04 | 2024-10-22 | $219.41 | $217.97 | 3.71% | 35 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2024-02-27 | 2024-03-15 | $199.73 | $163.57 | -18.67% | 14 | |
| 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 | |
| 2023-05-19 | 2023-08-14 | $180.14 | $239.76 | 36.90% | 59 | |
| 2023-01-25 | 2023-03-10 | $144.43 | $173.44 | 19.94% | 32 | |
| 2022-07-14 | 2022-10-06 | $238.31 | $238.13 | 1.39% | 60 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -6.91% | 28 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-06-19 | 2019-08-15 | $15.10 | $14.38 | -2.47% | 41 | |
| 2018-10-29 | 2019-01-04 | $22.32 | $21.18 | -9.41% | 46 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-04-27 | 2018-07-17 | $19.61 | $21.51 | 8.41% | 56 | |
| 2017-12-12 | 2018-03-26 | $22.74 | $20.28 | -8.50% | 71 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-14 | 2017-07-07 | $13.25 | $20.88 | 55.55% | 141 | |
| 2016-07-19 | 2016-09-02 | $15.02 | $13.19 | -11.44% | 34 | |
| 2016-06-08 | 2016-06-27 | $15.70 | $13.24 | -17.03% | 14 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-30 | 2016-01-19 | $15.35 | $13.65 | -11.67% | 34 | |
| 2015-09-21 | 2015-10-13 | $17.61 | $14.62 | -17.45% | 17 | |
| 2015-04-09 | 2015-08-24 | $14.01 | $14.59 | 10.90% | 96 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 415.98% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -11.25% | 37 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |