Strategy Zoo / S1587
LongTermTrend_V1587
ARCHIVEDhybridstructuraladded entry filter: volume_breakout == 1
Fitness
0.5420
Generation
73
Complexity
15
Created
2026-10-14
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1587 [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) and volume_breakout == 1):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.8% | 49.0% | 3.1% | 21.3% |
| Total Return | 352.5% | 230.6% | 12.3% | 1629.9% |
| Sharpe | 0.85 | 1.37 | 0.26 | 0.86 |
| Sortino | 0.75 | 0.87 | 0.12 | 0.63 |
| Calmar | 0.56 | 1.80 | 0.15 | 0.57 |
| Volatility | 26.3% | 33.0% | 20.0% | 26.5% |
| Max DD | -37.2% | -27.2% | -21.0% | -37.2% |
| Win Rate | 55.6% | 75.0% | 50.0% | 57.7% |
| Avg Win | 25.7% | 53.8% | 16.7% | 35.2% |
| Avg Loss | -8.7% | -3.2% | -9.0% | -8.2% |
| Payoff | 2.97 | 10.00 | 1.85 | 4.28 |
| Expectancy | 10.4% | 39.6% | 3.8% | 16.8% |
| Profit Factor | 3.71 | 10.00 | 1.85 | 5.83 |
| Trades | 18 | 4 | 4 | 26 |
| Avg Holding Days | 29.1 | 35.8 | 25.5 | 31.3 |
| Turnover | 4.6 | 2.7 | 2.1 | 3.5 |
| Exposure | 27.4% | 18.4% | 10.3% | 21.2% |
Growth of $100
LongTermTrend_V1587 vs TSLA Buy & Hold
LongTermTrend_V1587 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 | 1.6% | 0.21 | -9.3% | 1 |
| 2017 | 0.5% | 0.13 | -18.8% | 3 |
| 2018 | -20.3% | -0.79 | -28.5% | 3 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 141.8% | 2.02 | -27.2% | 2 |
| 2021 | 31.6% | 1.13 | -17.6% | 2 |
| 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 | 279 | -10.8% | -1.48 | 3% |
| hidden test | EXPENSIVE | 83 | 1.4% | 0.04 | 45% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -17.4% | -0.55 | 22% |
| hidden test | LOW VOLATILITY | 443 | 16.9% | 1.95 | 3% |
| hidden test | MEDIUM VOLATILITY | 251 | 7.0% | 0.36 | 11% |
| hidden test | NORMAL | 817 | -5.0% | -0.39 | 4% |
| hidden test | SIDEWAYS | 298 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 21.2% | 0.68 | 24% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 49.9% | 1.47 | 53% |
| train | EXTREME | 100 | 358.9% | 4.96 | 87% |
| train | HIGH VOLATILITY | 699 | 53.4% | 1.51 | 30% |
| train | LOW VOLATILITY | 745 | 16.2% | 0.88 | 33% |
| train | MEDIUM VOLATILITY | 568 | -8.1% | -0.38 | 17% |
| train | NORMAL | 1,601 | -4.1% | -0.24 | 19% |
| train | SIDEWAYS | 592 | -4.7% | -0.35 | 9% |
| train | UPTREND | 902 | 52.8% | 1.40 | 55% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 114.2% | 2.93 | 45% |
| validation | EXTREME | 144 | 105.5% | 1.78 | 36% |
| validation | HIGH VOLATILITY | 258 | 31.3% | 0.70 | 19% |
| validation | LOW VOLATILITY | 183 | 14.6% | 1.67 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 74.5% | 2.42 | 26% |
| validation | NORMAL | 474 | 6.9% | 0.46 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 80.5% | 1.83 | 33% |
Trades (full period)
26 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2024-11-11 | 2025-01-13 | $350.00 | $403.31 | 22.65% | 42 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-07-14 | 2020-08-10 | $101.12 | $94.57 | -3.16% | 20 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-13 | 2018-07-06 | $22.99 | $20.59 | -9.99% | 17 | |
| 2017-06-12 | 2017-07-06 | $23.93 | $20.59 | -8.64% | 18 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-04-04 | 2016-05-03 | $16.47 | $15.49 | 1.57% | 22 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -8.66% | 7 | |
| 2014-06-17 | 2014-07-16 | $15.44 | $14.48 | -2.43% | 21 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-07-17 | 2013-10-22 | $8.02 | $11.44 | 57.97% | 69 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-12 | 2013-02-22 | $2.53 | $2.41 | -8.67% | 8 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-06-21 | 2012-06-27 | $2.15 | $2.13 | -6.62% | 5 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-16 | 2012-03-23 | $2.28 | $2.27 | 2.18% | 26 |