Strategy Zoo / S1598

LongTermTrend_V1598

ARCHIVEDhybrid

crossoverentry from LongTermTrend_V1513, exit from LongTermTrend_V1083

Fitness

0.6254

Generation

Complexity

Created

2026-10-15

Lineage

Parents (2)

LongTermTrend_V1083S1083 · gen 49ELITEcrossover

swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934

LongTermTrend_V1513S1513 · gen 69ELITEcrossover

added entry filter: sma_50_slope > -0.005

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1598  [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.0257) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05 and sma_50_slope > -0.005):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	18.7%	71.5%	0.9%	23.0%
Total Return	292.1%	404.6%	3.4%	2006.5%
Sharpe	0.90	1.58	0.13	0.95
Sortino	0.65	1.32	0.06	0.64
Calmar	1.09	2.95	0.03	0.67
Volatility	21.5%	39.0%	15.0%	24.9%
Max DD	-17.2%	-24.2%	-34.0%	-34.0%
Win Rate	56.7%	64.3%	29.4%	55.5%
Avg Win	7.1%	9.4%	8.9%	8.5%
Avg Loss	-2.5%	-3.6%	-3.2%	-3.0%
Payoff	2.83	2.62	2.83	2.88
Expectancy	2.9%	4.8%	0.4%	3.4%
Profit Factor	3.70	4.72	1.18	3.59
Trades	60	42	17	119
Avg Holding Days	5.1	5.2	4.7	5.2
Turnover	15.2	28.0	9.0	16.1
Exposure	12.7%	23.4%	6.6%	13.4%

Growth of $100

LongTermTrend_V1598 vs TSLA Buy & Hold

LongTermTrend_V1598 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	0.0%	0.00	0.0%	0
2017	-4.2%	-0.12	-15.4%	22
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	335.0%	2.59	-24.2%	35
2021	15.5%	0.94	-7.8%	6
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	278	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-45.5%	-1.30	46%
hidden test	EXTREME	48	151.1%	3.22	48%
hidden test	HIGH VOLATILITY	254	11.2%	0.55	10%
hidden test	LOW VOLATILITY	445	18.5%	2.09	4%
hidden test	MEDIUM VOLATILITY	250	-36.7%	-2.18	8%
hidden test	NORMAL	818	-1.9%	-0.81	0%
hidden test	SIDEWAYS	300	-1.0%	-0.31	1%
hidden test	UPTREND	371	5.9%	0.25	16%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	22.1%	0.64	54%
train	EXTREME	100	348.1%	4.87	83%
train	HIGH VOLATILITY	699	42.9%	1.36	18%
train	LOW VOLATILITY	745	6.6%	0.63	10%
train	MEDIUM VOLATILITY	568	7.0%	0.43	10%
train	NORMAL	1,601	-1.8%	-0.92	0%
train	SIDEWAYS	592	4.6%	0.71	3%
train	UPTREND	902	40.1%	1.27	26%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	70.1%	1.63	47%
validation	EXTREME	144	255.5%	3.29	78%
validation	HIGH VOLATILITY	258	94.4%	1.67	33%
validation	LOW VOLATILITY	183	23.7%	1.85	6%
validation	MEDIUM VOLATILITY	315	56.4%	1.83	25%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	0.29	5%
validation	UPTREND	425	107.0%	2.12	39%

Trades (full period)

latest 100 of 119

Entry	Exit	Entry Px	Exit Px	Return	Days
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
2025-09-15	2025-10-06	$410.04	$453.25	8.35%	16
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-05-15	2025-05-22	$342.82	$341.04	-3.95%	6
2025-01-06	2025-01-07	$411.05	$394.36	-0.05%	2
2025-01-02	2025-01-03	$379.28	$410.44	-6.28%	2
2024-12-30	2024-12-31	$417.41	$403.84	-3.50%	2
2024-12-26	2024-12-27	$454.13	$431.66	-1.96%	2
2024-12-06	2024-12-24	$389.22	$462.28	16.31%	13
2024-12-04	2024-12-05	$357.93	$369.49	1.65%	2
2024-12-02	2024-12-03	$357.09	$351.42	3.25%	2
2024-11-07	2024-11-29	$296.91	$345.16	15.15%	16
2021-02-05	2021-02-08	$284.08	$287.81	0.06%	2
2021-02-03	2021-02-04	$284.90	$283.33	-2.27%	2
2021-02-01	2021-02-02	$279.94	$290.93	5.63%	2
2021-01-28	2021-01-29	$278.48	$264.51	-3.52%	2
2021-01-26	2021-01-27	$294.36	$288.05	0.06%	2
2021-01-05	2021-01-25	$245.04	$293.60	15.78%	14
2020-12-31	2021-01-04	$235.22	$243.26	1.37%	2
2020-12-29	2020-12-30	$222.00	$231.59	0.15%	2
2020-12-24	2020-12-28	$220.59	$221.23	2.24%	2
2020-12-18	2020-12-23	$231.67	$215.33	-2.56%	4
2020-11-19	2020-12-17	$166.42	$218.63	27.72%	20
2020-10-22	2020-10-23	$141.93	$140.21	0.54%	2
2020-10-13	2020-10-20	$148.88	$140.65	-2.79%	6
2020-10-09	2020-10-12	$144.67	$147.43	1.70%	2
2020-10-07	2020-10-08	$141.77	$141.97	2.53%	2
2020-09-23	2020-09-24	$126.79	$129.26	-10.53%	2
2020-09-21	2020-09-22	$149.80	$141.41	1.44%	2
2020-09-17	2020-09-18	$141.14	$147.38	-4.35%	2
2020-09-15	2020-09-16	$149.92	$147.25	6.98%	2
2020-09-11	2020-09-14	$124.24	$139.87	0.17%	2
2020-09-09	2020-09-10	$122.09	$123.78	10.71%	2
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-08-14	2020-08-17	$110.05	$122.38	1.63%	2
2020-08-07	2020-08-10	$96.85	$94.57	-2.67%	2
2020-08-05	2020-08-06	$99.00	$99.31	-0.33%	2
2020-08-03	2020-08-04	$99.00	$99.13	3.59%	2
2020-07-30	2020-07-31	$99.17	$95.38	-0.97%	2
2020-07-28	2020-07-29	$98.43	$99.94	-4.29%	2
2020-07-02	2020-07-27	$80.58	$102.64	26.32%	17
2020-06-30	2020-07-01	$71.99	$74.64	6.77%	2
2020-06-26	2020-06-29	$63.98	$67.29	-2.86%	2
2020-06-03	2020-06-25	$58.86	$65.73	8.78%	17
2020-06-01	2020-06-02	$59.87	$58.77	7.35%	2
2020-05-28	2020-05-29	$53.72	$55.67	-1.96%	2
2020-05-26	2020-05-27	$54.59	$54.68	0.04%	2
2020-05-21	2020-05-22	$55.17	$54.46	1.27%	2
2020-05-19	2020-05-20	$53.87	$54.37	-0.89%	2
2020-05-15	2020-05-18	$53.28	$54.24	-0.72%	2
2020-04-14	2020-05-14	$47.33	$53.56	21.28%	23
2020-03-03	2020-03-04	$49.70	$49.97	0.05%	2
2020-02-27	2020-02-28	$45.27	$44.53	-13.00%	2
2019-12-17	2020-02-26	$25.27	$51.92	109.25%	48
2017-09-18	2017-09-25	$25.67	$23.00	-7.75%	6
2017-08-31	2017-09-01	$23.73	$23.69	0.57%	2
2017-08-29	2017-08-30	$23.16	$23.55	0.29%	2
2017-08-25	2017-08-28	$23.20	$23.04	-1.58%	2
2017-08-04	2017-08-22	$23.79	$22.76	-2.85%	13
2017-06-30	2017-07-03	$24.11	$23.51	0.04%	2
2017-06-28	2017-06-29	$24.75	$24.05	2.25%	2
2017-06-01	2017-06-27	$22.69	$24.16	10.48%	19
2017-05-17	2017-05-18	$20.41	$20.87	-3.63%	2
2017-05-15	2017-05-16	$21.06	$21.13	-2.95%	2
2017-05-11	2017-05-12	$21.54	$21.65	-0.85%	2
2017-05-02	2017-05-04	$21.26	$19.70	-3.85%	3
2017-04-28	2017-05-01	$20.94	$21.52	1.56%	2
2017-04-26	2017-04-27	$20.68	$20.58	-1.35%	2
2017-04-24	2017-04-25	$20.54	$20.92	0.59%	2
2017-04-07	2017-04-21	$20.17	$20.37	1.07%	10
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-23	2017-02-24	$17.07	$17.13	-6.60%	2
2017-02-09	2017-02-22	$17.95	$18.23	5.63%	9
2017-02-07	2017-02-08	$17.17	$17.47	-0.31%	2
2017-02-03	2017-02-06	$16.76	$17.18	-0.29%	2
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-03-24	2014-03-25	$14.68	$14.70	-4.01%	2
2014-03-20	2014-03-21	$15.66	$15.26	-0.59%	2
2014-03-18	2014-03-19	$16.00	$15.72	2.39%	2
2014-03-14	2014-03-17	$15.40	$15.60	-3.07%	2
2014-03-12	2014-03-13	$16.10	$15.85	2.82%	2
2014-02-11	2014-03-11	$13.11	$15.63	21.27%	20
2014-02-07	2014-02-10	$12.44	$13.10	4.36%	2
2014-01-15	2014-02-06	$10.94	$11.89	7.94%	16
2014-01-08	2014-01-10	$10.09	$9.71	-1.42%	3
2013-12-23	2014-01-07	$9.57	$9.96	2.42%	10
2013-10-16	2013-10-17	$12.24	$12.19	-0.41%	2
2013-10-14	2013-10-15	$11.98	$12.26	0.37%	2
2013-10-09	2013-10-10	$11.25	$11.53	-3.60%	2
2013-10-07	2013-10-08	$12.20	$11.65	0.95%	2
2013-09-23	2013-10-04	$12.07	$12.07	-5.69%	10
2013-09-19	2013-09-20	$11.86	$12.23	6.83%	2
2013-09-17	2013-09-18	$11.08	$11.08	-0.41%	2
2013-09-13	2013-09-16	$11.04	$11.11	0.17%	2
2013-09-11	2013-09-12	$10.90	$11.00	-1.91%	2