Strategy Zoo / S1557

LongTermTrend_V1557

ARCHIVEDhybrid

crossoverentry = LongTermTrend_V1110 OR PriceMomentum_V1423

Fitness
0.6844
Generation
72
Complexity
26
Created
2026-10-14

Lineage

Parents (2)
LongTermTrend_V1110S1110 · gen 51ARCHIVEDcrossover

entry = LongTermTrend_V0605 OR PriceMomentum_V1003

PriceMomentum_V1423S1423 · gen 65ARCHIVEDcrossover

swapped indicator ret_20d -> ret_1d

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1557  [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 > 0.184) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_1d > -0.0578) and ret_20d > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184)):
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR25.0%125.0%12.0%37.3%
Total Return494.0%1039.3%53.0%10560.3%
Sharpe0.831.860.501.02
Sortino0.902.050.491.07
Calmar0.423.710.300.63
Volatility33.3%50.4%35.9%38.1%
Max DD-59.6%-33.7%-40.5%-59.6%
Win Rate38.1%62.5%44.0%44.6%
Avg Win24.0%39.4%14.7%28.6%
Avg Loss-5.7%-8.2%-6.9%-6.4%
Payoff4.194.832.144.47
Expectancy5.6%21.6%2.6%9.2%
Profit Factor2.588.051.683.59
Trades42162583
Avg Holding Days22.227.317.222.3
Turnover10.610.713.311.3
Exposure46.9%55.6%42.7%47.6%

Growth of $100

LongTermTrend_V1557 vs TSLA Buy & Hold
LongTermTrend_V1557 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
YearCAGRSharpeMax DDTrades
20167.8%0.47-23.1%3
20170.2%0.14-29.8%7
2018-32.1%-1.29-35.1%8
201950.7%1.39-21.9%3
2020541.3%2.93-33.7%6
202184.9%1.85-17.6%5
2022-7.9%-0.13-21.5%5

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND279-11.7%-0.4131%
hidden testEXPENSIVE8362.6%1.3867%
hidden testEXTREME48183.9%3.2767%
hidden testHIGH VOLATILITY25416.6%0.3546%
hidden testLOW VOLATILITY44355.1%2.0840%
hidden testMEDIUM VOLATILITY251-46.9%-1.2943%
hidden testNORMAL8173.5%0.1039%
hidden testSIDEWAYS298-2.7%-0.0940%
hidden testUPTREND37156.4%1.2854%
trainDOWNTREND518-0.9%-0.0518%
trainEXPENSIVE31155.9%1.4274%
trainEXTREME100403.3%5.4797%
trainHIGH VOLATILITY69948.9%1.1440%
trainLOW VOLATILITY74541.3%1.6658%
trainMEDIUM VOLATILITY568-15.9%-0.5541%
trainNORMAL1,601-1.1%-0.0438%
trainSIDEWAYS592-15.2%-0.5739%
trainUPTREND90272.4%1.6968%
validationDOWNTREND12543.5%1.9914%
validationEXPENSIVE13867.5%1.2560%
validationEXTREME144347.4%4.1793%
validationHIGH VOLATILITY25899.1%1.4652%
validationLOW VOLATILITY18343.7%1.6861%
validationMEDIUM VOLATILITY315118.7%2.6956%
validationNORMAL47424.5%0.7743%
validationSIDEWAYS2064.5%0.1442%
validationUPTREND425152.0%2.4474%

Trades (full period)

83 trades
EntryExitEntry PxExit PxReturnDays
2026-08-212026-09-30$362.86$354.812.03%28
2026-07-132026-07-14$394.76$396.18-3.38%2
2026-04-292026-06-08$372.80$408.953.78%28
2026-04-202026-04-24$392.50$376.30-6.90%5
2025-12-152026-01-05$475.31$451.67-4.74%14
2025-11-032025-11-13$468.37$401.99-5.87%9
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-08-252025-10-23$346.60$448.9828.85%43
2025-08-052025-08-20$308.72$323.906.27%12
2025-07-312025-08-01$308.27$302.63-3.57%2
2025-05-052025-06-12$280.26$319.1113.43%28
2025-04-292025-05-02$292.03$287.21-2.07%4
2025-04-102025-04-22$252.40$237.97-16.60%8
2025-04-082025-04-09$221.86$272.20-5.09%2
2024-11-072025-01-13$296.91$403.3136.54%44
2024-09-062024-10-14$210.73$219.16-5.57%27
2024-06-272024-08-02$197.42$207.6710.21%26
2024-05-142024-05-29$177.55$176.192.63%11
2024-04-302024-05-10$183.28$168.47-11.56%9
2024-03-042024-03-07$188.14$178.65-13.06%4
2023-11-172024-01-08$234.30$240.451.47%34
2023-09-122023-09-28$267.48$246.38-12.27%13
2023-07-262023-08-02$264.35$254.11-1.78%6
2023-05-242023-07-24$182.90$269.0639.69%41
2023-01-272023-03-08$177.90$182.0016.90%28
2022-09-212022-09-23$300.80$275.33-6.71%3
2022-07-142022-08-29$238.31$284.8221.29%33
2022-06-222022-06-29$236.09$228.49-2.04%6
2022-03-222022-04-21$331.33$336.265.88%22
2022-01-042022-01-24$383.20$310.00-21.49%14
2021-08-042021-12-01$236.97$365.0060.97%84
2021-06-142021-07-23$205.90$214.466.24%29
2021-04-142021-05-04$244.08$224.53-10.34%15
2021-04-052021-04-12$230.35$233.992.11%6
2020-11-192021-02-09$166.42$283.1577.07%55
2020-10-222020-10-29$141.93$136.94-4.12%6
2020-10-162020-10-20$146.56$140.65-4.21%3
2020-10-072020-10-14$141.77$153.777.68%6
2020-08-142020-09-24$110.05$129.2617.09%29
2020-04-142020-08-10$47.33$94.57122.74%83
2019-10-152020-03-04$17.19$49.97189.55%97
2019-09-132019-10-10$16.35$16.32-0.74%20
2019-07-012019-08-06$15.14$15.381.97%26
2019-04-042019-04-05$17.85$18.33-8.43%2
2018-10-292018-12-19$22.32$22.201.65%36
2018-08-272018-08-31$21.28$20.11-6.28%5
2018-08-032018-08-20$23.21$20.56-12.77%12
2018-06-122018-07-06$22.85$20.59-7.09%18
2018-04-272018-05-04$19.61$19.61-0.56%6
2018-03-132018-03-19$22.79$20.90-7.18%5
2018-01-222018-02-07$23.44$23.00-4.78%13
2018-01-092018-01-12$22.25$22.410.26%4
2017-12-122017-12-28$22.74$21.02-5.44%12
2017-09-182017-09-26$25.67$23.02-9.35%7
2017-08-252017-09-06$23.20$22.97-1.15%8
2017-08-042017-08-22$23.79$22.76-2.85%13
2017-06-012017-07-06$22.69$20.59-4.27%25
2017-03-282017-05-24$18.50$20.6812.23%41
2016-12-212017-02-28$13.85$16.6717.70%46
2016-07-222016-08-17$14.82$14.881.21%19
2016-06-082016-06-23$15.70$13.09-15.52%12
2016-03-042016-05-03$13.40$15.4923.29%42
2015-12-012015-12-29$15.81$15.81-0.76%20
2015-09-222015-09-30$17.40$16.56-6.83%7
2015-08-062015-08-07$16.41$16.17-9.08%2
2015-04-092015-07-27$14.01$16.8727.55%76
2015-02-102015-02-25$14.42$13.58-6.34%11
2014-11-112014-12-02$16.74$15.43-4.44%15
2014-08-052014-09-16$15.90$17.386.22%30
2014-06-092014-07-16$13.69$14.485.27%27
2014-05-282014-06-03$14.02$13.66-3.44%5
2014-01-152014-03-26$10.94$14.2036.42%49
2013-12-132014-01-14$9.84$10.75-5.70%21
2013-07-012013-10-22$7.81$11.4460.46%80
2013-03-262013-06-26$2.52$7.05172.31%65
2013-01-242013-02-22$2.47$2.41-2.53%21
2012-11-062012-12-31$2.08$2.265.25%38
2012-10-092012-10-12$1.89$1.84-3.38%4
2012-10-032012-10-08$1.95$1.95-3.25%4
2012-09-182012-09-24$2.09$2.04-7.93%5
2012-08-242012-09-06$1.97$1.90-9.26%9
2012-06-192012-07-20$2.14$2.121.15%23
2012-02-022012-04-10$2.02$2.1611.85%47