Strategy Zoo / S1527
LongTermTrend_V1527
ARCHIVEDhybridstructuralreplaced exit rule with: dist_sma_20 < 0.0475
Fitness
0.5174
Generation
70
Complexity
13
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.184 -> 0.2657
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1527 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05) or ret_20d > 0.2657):
position = 1.0
if long and dist_sma_20 < 0.0475:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.6% | 72.4% | 19.3% | 25.5% |
| Total Return | 177.4% | 412.7% | 94.2% | 2743.3% |
| Sharpe | 0.61 | 1.41 | 0.76 | 0.87 |
| Sortino | 0.56 | 1.45 | 0.68 | 0.81 |
| Calmar | 0.40 | 2.14 | 0.57 | 0.74 |
| Volatility | 26.7% | 46.1% | 28.5% | 32.0% |
| Max DD | -34.5% | -33.8% | -33.9% | -34.5% |
| Win Rate | 45.9% | 54.3% | 40.9% | 47.1% |
| Avg Win | 4.9% | 7.2% | 7.7% | 6.3% |
| Avg Loss | -2.4% | -2.9% | -3.0% | -2.7% |
| Payoff | 2.04 | 2.50 | 2.56 | 2.37 |
| Expectancy | 1.0% | 2.6% | 1.4% | 1.6% |
| Profit Factor | 1.73 | 2.97 | 1.78 | 2.11 |
| Trades | 159 | 81 | 66 | 306 |
| Avg Holding Days | 4.7 | 4.8 | 4.9 | 4.8 |
| Turnover | 40.0 | 54.0 | 35.1 | 41.5 |
| Exposure | 29.4% | 40.5% | 27.1% | 31.1% |
Growth of $100
LongTermTrend_V1527 vs TSLA Buy & Hold
LongTermTrend_V1527 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 | 17.1% | 1.11 | -14.8% | 11 |
| 2017 | 28.3% | 1.36 | -11.3% | 24 |
| 2018 | -7.9% | -0.30 | -14.3% | 20 |
| 2019 | -3.9% | -0.06 | -22.9% | 9 |
| 2020 | 298.6% | 2.37 | -33.8% | 27 |
| 2021 | 23.6% | 0.81 | -20.3% | 40 |
| 2022 | -0.0% | 0.12 | -16.2% | 14 |
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 | -6.4% | -0.30 | 15% |
| hidden test | EXPENSIVE | 83 | 40.9% | 1.05 | 49% |
| hidden test | EXTREME | 48 | 197.3% | 3.55 | 58% |
| hidden test | HIGH VOLATILITY | 254 | 39.8% | 1.05 | 33% |
| hidden test | LOW VOLATILITY | 443 | 38.9% | 1.82 | 26% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.1% | -0.96 | 24% |
| hidden test | NORMAL | 816 | 9.4% | 0.38 | 23% |
| hidden test | SIDEWAYS | 298 | 14.0% | 0.67 | 26% |
| hidden test | UPTREND | 371 | 48.9% | 1.33 | 37% |
| train | DOWNTREND | 518 | 4.9% | 0.69 | 5% |
| train | EXPENSIVE | 311 | 31.3% | 0.96 | 53% |
| train | EXTREME | 100 | 323.7% | 4.71 | 87% |
| train | HIGH VOLATILITY | 699 | 42.3% | 1.18 | 32% |
| train | LOW VOLATILITY | 745 | 9.4% | 0.50 | 34% |
| train | MEDIUM VOLATILITY | 568 | -6.7% | -0.31 | 20% |
| train | NORMAL | 1,601 | -5.8% | -0.30 | 21% |
| train | SIDEWAYS | 592 | -1.7% | -0.08 | 26% |
| train | UPTREND | 902 | 34.6% | 0.98 | 46% |
| validation | DOWNTREND | 125 | 31.2% | 2.06 | 6% |
| validation | EXPENSIVE | 138 | 66.5% | 1.36 | 50% |
| validation | EXTREME | 144 | 258.6% | 3.23 | 81% |
| validation | HIGH VOLATILITY | 258 | 58.2% | 0.93 | 40% |
| validation | LOW VOLATILITY | 183 | 33.9% | 1.72 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 88.9% | 2.18 | 46% |
| validation | NORMAL | 474 | 5.9% | 0.22 | 26% |
| validation | SIDEWAYS | 206 | -4.4% | -0.17 | 28% |
| validation | UPTREND | 425 | 108.8% | 1.87 | 57% |
Trades (full period)
latest 100 of 306
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-24 | 2026-08-27 | $348.95 | $354.81 | -4.89% | 4 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-26 | 2026-06-01 | $433.59 | $415.88 | 2.09% | 5 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-07 | 2026-05-19 | $411.79 | $404.11 | 2.62% | 9 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-15 | 2025-12-29 | $475.31 | $459.64 | 3.33% | 10 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 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 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-25 | 2025-08-29 | $346.60 | $333.87 | 1.55% | 5 | |
| 2025-08-11 | 2025-08-15 | $339.03 | $330.56 | 1.60% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2025-04-30 | 2025-05-08 | $282.16 | $284.82 | -5.61% | 7 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-11-07 | 2024-12-30 | $296.91 | $417.41 | 49.31% | 36 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 4.32% | 9 | |
| 2024-09-11 | 2024-09-17 | $228.13 | $227.87 | 0.07% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2024-05-21 | 2024-05-23 | $186.60 | $173.74 | 2.75% | 3 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-04-30 | 2024-05-09 | $183.28 | $171.97 | -10.15% | 8 | |
| 2023-12-27 | 2023-12-29 | $261.44 | $248.48 | -1.53% | 3 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-17 | 2023-12-01 | $234.30 | $238.83 | 2.57% | 10 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-21 | 2023-09-22 | $255.70 | $244.88 | -2.82% | 2 | |
| 2023-09-12 | 2023-09-20 | $267.48 | $262.59 | -2.78% | 7 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-18 | 2023-07-21 | $293.34 | $260.02 | -9.64% | 4 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-06-28 | 2023-07-11 | $256.24 | $269.79 | 7.54% | 9 | |
| 2023-05-24 | 2023-06-27 | $182.90 | $250.21 | 29.50% | 23 | |
| 2023-01-27 | 2023-02-24 | $177.90 | $196.88 | 25.84% | 20 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-07-22 | 2022-08-10 | $272.24 | $294.36 | 4.07% | 14 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 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 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 11.11% | 15 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 3.51% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -2.14% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-10-14 | 2021-11-10 | $272.77 | $355.98 | 25.94% | 20 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 1.06% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 |