Strategy Zoo / S1513

LongTermTrend_V1513

ELITEhybrid

structuraladded entry filter: sma_50_slope > -0.005

Fitness

0.7496

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

LongTermTrend_V1402S1402 · gen 64ELITEstructural

changed ret_20d threshold 0.1 -> 0.0257

Children (10)

LongTermTrend_V1538S1538 · gen 71ARCHIVEDllm

LongTermTrend_V1550S1550 · gen 71ARCHIVEDstructural

LongTermTrend_V1576S1576 · gen 73ARCHIVEDcrossover

LongTermTrend_V1577S1577 · gen 73ARCHIVEDcrossover

LongTermTrend_V1591S1591 · gen 73ARCHIVEDstructural

LongTermTrend_V1598S1598 · gen 74ARCHIVEDcrossover

LongTermTrend_V1615S1615 · gen 74ARCHIVEDparameter

LongTermTrend_V1633S1633 · gen 75REJECTEDstructural

LongTermTrend_V1677S1677 · gen 77ARCHIVEDstructural

LongTermTrend_V1711S1711 · gen 79ARCHIVEDllm

Strategy Logic (pseudocode)

# LongTermTrend_V1513  [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
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 and sma_50_slope > -0.005):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	26.9%	119.7%	9.8%	37.0%
Total Return	570.1%	960.2%	42.2%	10300.1%
Sharpe	1.13	1.94	0.59	1.24
Sortino	0.84	1.69	0.36	0.88
Calmar	1.24	3.55	0.46	1.10
Volatility	23.5%	45.9%	18.9%	28.7%
Max DD	-21.8%	-33.7%	-21.2%	-33.7%
Win Rate	54.5%	100.0%	50.0%	61.1%
Avg Win	58.3%	128.3%	25.8%	73.5%
Avg Loss	-1.4%	0.0%	-4.3%	-2.2%
Payoff	10.00	5.00	5.96	10.00
Expectancy	31.2%	128.3%	10.8%	44.1%
Profit Factor	10.00	5.00	5.96	10.00
Trades	11	3	4	18
Avg Holding Days	31.5	85.0	25.5	39.7
Turnover	2.9	2.0	2.1	2.4
Exposure	17.1%	33.3%	10.3%	18.7%

Growth of $100

LongTermTrend_V1513 vs TSLA Buy & Hold

LongTermTrend_V1513 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	7.1%	0.39	-21.8%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	842.7%	3.35	-33.7%	2
2021	7.7%	0.48	-10.9%	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	30.5%	0.70	71%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	26.4%	1.00	16%
hidden test	LOW VOLATILITY	443	18.6%	2.09	4%
hidden test	MEDIUM VOLATILITY	250	-17.6%	-0.79	17%
hidden test	NORMAL	816	-2.6%	-0.98	0%
hidden test	SIDEWAYS	298	-1.0%	-0.31	1%
hidden test	UPTREND	371	29.2%	0.97	25%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	51.5%	1.29	76%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	56.8%	1.69	23%
train	LOW VOLATILITY	745	9.8%	0.87	12%
train	MEDIUM VOLATILITY	568	11.1%	0.57	17%
train	NORMAL	1,601	-2.7%	-1.03	0%
train	SIDEWAYS	592	9.4%	1.10	5%
train	UPTREND	902	53.0%	1.54	35%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	143.0%	2.16	44%
validation	LOW VOLATILITY	183	7.7%	0.38	19%
validation	MEDIUM VOLATILITY	315	92.6%	2.63	33%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	12.3%	0.63	7%
validation	UPTREND	425	152.8%	2.57	56%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-05-15	2025-05-22	$342.82	$341.04	-3.95%	6
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2020-10-07	2021-02-19	$141.77	$260.43	89.82%	93
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-08-04	2017-09-26	$23.79	$23.02	-0.80%	37
2017-04-07	2017-07-07	$20.17	$20.88	3.19%	63
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-15	2014-03-26	$10.94	$14.20	36.42%	49
2014-01-08	2014-01-10	$10.09	$9.71	-1.42%	3
2013-12-23	2014-01-07	$9.57	$9.96	2.42%	10
2013-04-11	2013-10-24	$2.91	$11.54	292.21%	138
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14