Strategy Zoo / S1516
LongTermTrend_V1516
ELITEhybridcrossoverlogic of LongTermTrend_V1249 with risk overlay of PriceMomentum_V1133
Fitness
0.7732
Generation
70
Complexity
10
Created
2026-10-13
Lineage
Parents (2)
entry from PriceMomentum_V0690, exit from PriceMomentum_V0624
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 (4)
Strategy Logic (pseudocode)
# LongTermTrend_V1516 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.8% | 113.0% | -4.3% | 23.4% |
| Total Return | 161.9% | 866.0% | -15.2% | 2108.5% |
| Sharpe | 0.63 | 2.24 | -0.05 | 0.91 |
| Sortino | 0.55 | 2.79 | -0.04 | 0.85 |
| Calmar | 0.32 | 5.68 | -0.15 | 0.59 |
| Volatility | 23.6% | 36.8% | 24.6% | 27.1% |
| Max DD | -39.6% | -19.9% | -29.0% | -39.6% |
| Win Rate | 48.5% | 58.8% | 23.5% | 44.8% |
| Avg Win | 12.0% | 32.3% | 12.1% | 20.1% |
| Avg Loss | -5.2% | -4.0% | -4.4% | -4.7% |
| Payoff | 2.33 | 8.06 | 2.74 | 4.31 |
| Expectancy | 3.2% | 17.3% | -0.5% | 6.4% |
| Profit Factor | 2.20 | 10.00 | 0.84 | 3.49 |
| Trades | 33 | 17 | 17 | 67 |
| Avg Holding Days | 22.7 | 25.1 | 17.9 | 22.8 |
| Turnover | 9.3 | 10.9 | 8.1 | 9.2 |
| Exposure | 30.9% | 44.0% | 25.8% | 32.3% |
Growth of $100
LongTermTrend_V1516 vs TSLA Buy & Hold
LongTermTrend_V1516 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 | 12.3% | 0.96 | -9.3% | 1 |
| 2017 | -1.3% | 0.07 | -26.5% | 7 |
| 2018 | -14.1% | -0.93 | -18.1% | 5 |
| 2019 | 21.7% | 1.59 | -7.9% | 0 |
| 2020 | 395.8% | 3.78 | -14.9% | 6 |
| 2021 | 69.3% | 1.65 | -18.2% | 5 |
| 2022 | 10.5% | 0.51 | -15.2% | 6 |
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 | -18.5% | -1.20 | 16% |
| hidden test | EXPENSIVE | 83 | 53.8% | 1.37 | 58% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -4.2% | -0.20 | 12% |
| hidden test | LOW VOLATILITY | 443 | 35.8% | 1.55 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -64.2% | -2.15 | 28% |
| hidden test | NORMAL | 816 | -12.5% | -0.58 | 22% |
| hidden test | SIDEWAYS | 298 | 1.9% | 0.08 | 25% |
| hidden test | UPTREND | 371 | 8.9% | 0.29 | 34% |
| train | DOWNTREND | 518 | -8.5% | -1.27 | 4% |
| train | EXPENSIVE | 311 | 41.6% | 1.21 | 57% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 21.9% | 0.94 | 15% |
| train | LOW VOLATILITY | 745 | 29.1% | 1.34 | 44% |
| train | MEDIUM VOLATILITY | 568 | -12.6% | -0.48 | 33% |
| train | NORMAL | 1,601 | -1.9% | -0.10 | 24% |
| train | SIDEWAYS | 592 | 2.2% | 0.12 | 22% |
| train | UPTREND | 902 | 36.5% | 1.15 | 52% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 90.5% | 2.12 | 54% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 57.4% | 1.66 | 22% |
| validation | LOW VOLATILITY | 183 | 48.3% | 1.90 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 122.7% | 2.81 | 53% |
| validation | NORMAL | 474 | 28.8% | 0.98 | 38% |
| validation | SIDEWAYS | 206 | 5.8% | 0.22 | 36% |
| validation | UPTREND | 425 | 130.1% | 2.95 | 58% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 17.66% | 44 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-11-17 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-06-14 | 2023-07-24 | $256.79 | $269.06 | 0.30% | 27 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -2.70% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 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 | 2021-04-08 | $230.35 | $227.93 | 0.52% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 20.42% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 101.47% | 88 | |
| 2018-11-02 | 2018-12-19 | $23.09 | $22.20 | 1.02% | 32 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.50% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2017-01-09 | 2017-02-28 | $15.42 | $16.67 | 7.31% | 35 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 12.31% | 40 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.29% | 9 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.74% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 25.41% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 69.25% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -7.93% | 5 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -4.06% | 8 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | 3.09% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 8.58% | 36 |