Strategy Zoo / S1567
LongTermTrend_V1567
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1854
Fitness
0.7211
Generation
72
Complexity
9
Created
2026-10-14
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_V1567 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.1854 and cumret_252d > 0.0541):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.5% | 101.2% | 4.3% | 30.9% |
| Total Return | 437.7% | 714.3% | 17.2% | 5184.6% |
| Sharpe | 0.96 | 1.73 | 0.30 | 1.02 |
| Sortino | 0.79 | 1.55 | 0.19 | 0.80 |
| Calmar | 0.84 | 3.00 | 0.15 | 0.92 |
| Volatility | 25.3% | 46.9% | 24.8% | 30.9% |
| Max DD | -28.0% | -33.7% | -28.9% | -33.7% |
| Win Rate | 57.1% | 70.0% | 50.0% | 59.4% |
| Avg Win | 31.2% | 43.2% | 15.4% | 35.1% |
| Avg Loss | -6.9% | -4.2% | -9.1% | -7.0% |
| Payoff | 4.50 | 10.00 | 1.70 | 5.05 |
| Expectancy | 14.8% | 29.0% | 3.2% | 18.0% |
| Profit Factor | 6.00 | 10.00 | 1.70 | 7.39 |
| Trades | 14 | 10 | 8 | 32 |
| Avg Holding Days | 34.8 | 29.1 | 24.3 | 31.8 |
| Turnover | 3.6 | 6.7 | 4.3 | 4.3 |
| Exposure | 25.7% | 37.2% | 19.6% | 26.5% |
Growth of $100
LongTermTrend_V1567 vs TSLA Buy & Hold
LongTermTrend_V1567 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 | 17.5% | 1.22 | -9.3% | 1 |
| 2017 | -5.4% | -0.16 | -22.8% | 3 |
| 2018 | -2.3% | -0.10 | -10.6% | 1 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 459.7% | 2.78 | -33.7% | 4 |
| 2021 | 39.0% | 1.19 | -17.6% | 4 |
| 2022 | 0.4% | 0.12 | -14.8% | 2 |
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 | 279 | 2.7% | 0.95 | 0% |
| hidden test | EXPENSIVE | 83 | 50.5% | 1.28 | 55% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 39.6% | 1.27 | 18% |
| hidden test | LOW VOLATILITY | 443 | 13.0% | 0.70 | 21% |
| hidden test | MEDIUM VOLATILITY | 251 | -35.4% | -1.32 | 19% |
| hidden test | NORMAL | 817 | -7.4% | -0.39 | 13% |
| hidden test | SIDEWAYS | 298 | 3.3% | 0.15 | 18% |
| hidden test | UPTREND | 371 | 14.0% | 0.41 | 36% |
| train | DOWNTREND | 518 | 2.4% | 0.43 | 2% |
| train | EXPENSIVE | 311 | 34.2% | 0.93 | 56% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 48.8% | 1.43 | 27% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.07 | 30% |
| train | MEDIUM VOLATILITY | 568 | 0.7% | 0.03 | 18% |
| train | NORMAL | 1,601 | 0.8% | 0.06 | 16% |
| train | SIDEWAYS | 592 | -4.4% | -0.35 | 9% |
| train | UPTREND | 902 | 55.5% | 1.54 | 50% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 69.5% | 1.32 | 53% |
| validation | EXTREME | 144 | 319.7% | 3.89 | 91% |
| validation | HIGH VOLATILITY | 258 | 99.2% | 1.52 | 43% |
| validation | LOW VOLATILITY | 183 | 20.2% | 1.36 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 101.3% | 2.48 | 46% |
| validation | NORMAL | 474 | 11.7% | 0.49 | 16% |
| validation | SIDEWAYS | 206 | -1.9% | -0.07 | 19% |
| validation | UPTREND | 425 | 141.5% | 2.37 | 56% |
Trades (full period)
32 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-08 | 2025-06-12 | $284.82 | $319.11 | 17.94% | 25 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-30 | 2024-10-14 | $261.63 | $219.16 | -16.55% | 11 | |
| 2023-11-29 | 2024-01-05 | $244.14 | $237.49 | -3.76% | 26 | |
| 2023-06-14 | 2023-07-24 | $256.79 | $269.06 | 0.30% | 27 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | 2.36% | 22 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 31.30% | 31 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -7.41% | 6 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2018-11-02 | 2018-12-19 | $23.09 | $22.20 | -2.30% | 32 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -13.17% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-09 | 2017-02-28 | $15.42 | $16.67 | 7.31% | 35 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 17.55% | 40 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-12-04 | 2012-12-31 | $2.26 | $2.26 | -4.24% | 19 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -10.45% | 4 | |
| 2012-02-14 | 2012-03-23 | $2.21 | $2.27 | 9.03% | 28 |