Strategy Zoo / S1616
LongTermTrend_V1616
ARCHIVEDhybridstructuralchanged cumret_252d threshold -0.1997 -> -0.3429; reduce exposure to 62% during MEDIUM_VOLATILITY
Fitness
0.7141
Generation
74
Complexity
13
Created
2026-10-15
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1616 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.3429) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.3% | 87.0% | 9.1% | 30.9% |
| Total Return | 467.9% | 554.4% | 38.7% | 5206.9% |
| Sharpe | 1.11 | 1.71 | 0.59 | 1.16 |
| Sortino | 0.88 | 1.36 | 0.33 | 0.79 |
| Calmar | 1.27 | 2.58 | 0.46 | 0.92 |
| Volatility | 21.7% | 41.6% | 17.2% | 26.2% |
| Max DD | -19.2% | -33.8% | -19.7% | -33.8% |
| Win Rate | 41.7% | 100.0% | 50.0% | 52.6% |
| Avg Win | 68.5% | 93.6% | 23.1% | 69.0% |
| Avg Loss | -1.8% | 0.0% | -3.3% | -2.1% |
| Payoff | 10.00 | 5.00 | 7.04 | 10.00 |
| Expectancy | 27.5% | 93.6% | 9.9% | 35.3% |
| Profit Factor | 10.00 | 5.00 | 7.04 | 10.00 |
| Trades | 12 | 3 | 4 | 19 |
| Avg Holding Days | 29.3 | 85.0 | 25.5 | 37.9 |
| Turnover | 5.0 | 4.3 | 2.9 | 4.3 |
| Exposure | 15.6% | 28.1% | 8.7% | 16.4% |
Growth of $100
LongTermTrend_V1616 vs TSLA Buy & Hold
LongTermTrend_V1616 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 | 0.2% | 0.12 | -18.9% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 523.1% | 2.97 | -33.8% | 2 |
| 2021 | 2.0% | 0.22 | -9.5% | 1 |
| 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 | 19.4% | 0.53 | 56% |
| hidden test | EXTREME | 48 | 201.4% | 3.48 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 27.6% | 1.05 | 16% |
| hidden test | LOW VOLATILITY | 445 | 16.8% | 2.01 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.4% | -1.13 | 11% |
| hidden test | NORMAL | 818 | -2.0% | -0.91 | 0% |
| hidden test | SIDEWAYS | 300 | -0.4% | -0.16 | 1% |
| hidden test | UPTREND | 371 | 26.3% | 0.96 | 21% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 43.5% | 1.27 | 69% |
| train | EXTREME | 100 | 397.9% | 5.54 | 93% |
| train | HIGH VOLATILITY | 699 | 55.2% | 1.74 | 23% |
| train | LOW VOLATILITY | 745 | 10.1% | 0.91 | 12% |
| train | MEDIUM VOLATILITY | 568 | 3.8% | 0.24 | 12% |
| train | NORMAL | 1,601 | -3.1% | -1.06 | 1% |
| train | SIDEWAYS | 592 | 6.0% | 0.66 | 6% |
| train | UPTREND | 902 | 49.6% | 1.58 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 70.4% | 1.37 | 63% |
| validation | EXTREME | 144 | 309.5% | 3.90 | 87% |
| validation | HIGH VOLATILITY | 258 | 124.1% | 1.95 | 43% |
| validation | LOW VOLATILITY | 183 | 9.0% | 0.45 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 64.3% | 2.62 | 22% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 12.2% | 0.63 | 7% |
| validation | UPTREND | 425 | 121.0% | 2.25 | 46% |
Trades (full period)
19 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 5.24% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.27% | 4 | |
| 2025-05-15 | 2025-05-22 | $342.82 | $341.04 | -2.28% | 6 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 40.89% | 48 | |
| 2020-10-07 | 2021-02-19 | $141.77 | $260.43 | 51.24% | 93 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 168.11% | 119 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 82.02% | 54 | |
| 2017-08-04 | 2017-09-26 | $23.79 | $23.02 | -2.39% | 37 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | -0.52% | 63 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 5.95% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -0.84% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 26.91% | 49 | |
| 2014-01-08 | 2014-01-10 | $10.09 | $9.71 | -1.42% | 3 | |
| 2013-12-23 | 2014-01-07 | $9.57 | $9.96 | 2.48% | 10 | |
| 2013-12-13 | 2013-12-20 | $9.84 | $9.55 | -4.77% | 6 | |
| 2013-04-11 | 2013-10-24 | $2.91 | $11.54 | 300.42% | 138 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |