Strategy Zoo / S1617

LongTermTrend_V1617

ARCHIVEDhybrid

crossoverlogic of LongTermTrend_V1402 with risk overlay of PriceMomentum_V1554

Fitness

0.4734

Generation

Complexity

Created

2026-10-15

Lineage

Parents (2)

LongTermTrend_V1402S1402 · gen 64ELITEcrossover

changed ret_20d threshold 0.1 -> 0.0257

PriceMomentum_V1554S1554 · gen 71ELITEcrossover

changed ret_20d threshold -0.0674 -> -0.1083; reduce exposure to 62% during MEDIUM_VOLATILITY

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1617  [hybrid]
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):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	6.9%	72.4%	6.8%	18.0%
Total Return	70.2%	412.3%	28.0%	1049.2%
Sharpe	0.38	1.81	0.37	0.71
Sortino	0.43	2.38	0.39	0.82
Calmar	0.10	2.42	0.13	0.25
Volatility	28.0%	33.0%	29.7%	29.6%
Max DD	-70.8%	-29.9%	-52.2%	-70.8%
Win Rate	34.6%	50.0%	50.0%	42.0%
Avg Win	26.2%	52.9%	15.7%	32.6%
Avg Loss	-9.4%	-7.1%	-10.2%	-9.2%
Payoff	2.78	7.47	1.54	3.54
Expectancy	2.9%	22.9%	2.7%	8.4%
Profit Factor	1.47	7.47	1.54	2.57
Trades	26	10	14	50
Avg Holding Days	50.0	50.2	35.3	47.5
Turnover	10.5	7.0	9.6	9.5
Exposure	48.0%	43.8%	41.6%	45.5%

Growth of $100

LongTermTrend_V1617 vs TSLA Buy & Hold

LongTermTrend_V1617 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	-31.3%	-1.44	-44.8%	4
2017	5.9%	0.36	-27.3%	2
2018	-7.6%	-0.25	-20.2%	4
2019	-2.2%	0.09	-40.3%	3
2020	321.5%	3.74	-14.8%	2
2021	52.5%	1.49	-22.0%	3
2022	-22.5%	-0.96	-26.9%	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

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	278	-20.5%	-0.82	28%
hidden test	EXPENSIVE	83	67.1%	1.97	50%
hidden test	EXTREME	48	95.2%	2.74	37%
hidden test	HIGH VOLATILITY	254	-5.2%	-0.21	21%
hidden test	LOW VOLATILITY	445	48.6%	1.56	58%
hidden test	MEDIUM VOLATILITY	250	-39.6%	-1.27	34%
hidden test	NORMAL	818	0.3%	0.01	41%
hidden test	SIDEWAYS	300	0.1%	0.00	49%
hidden test	UPTREND	371	43.4%	1.27	46%
train	DOWNTREND	518	-28.8%	-1.36	32%
train	EXPENSIVE	311	59.5%	1.86	54%
train	EXTREME	100	194.0%	5.43	52%
train	HIGH VOLATILITY	699	23.7%	0.80	25%
train	LOW VOLATILITY	745	23.7%	0.86	73%
train	MEDIUM VOLATILITY	568	-22.8%	-0.85	45%
train	NORMAL	1,601	-10.4%	-0.39	47%
train	SIDEWAYS	592	-17.3%	-0.65	39%
train	UPTREND	902	51.4%	1.62	63%
validation	DOWNTREND	125	33.2%	1.97	9%
validation	EXPENSIVE	138	73.0%	1.86	57%
validation	EXTREME	144	209.2%	5.06	46%
validation	HIGH VOLATILITY	258	59.4%	1.92	23%
validation	LOW VOLATILITY	183	43.3%	1.38	79%
validation	MEDIUM VOLATILITY	315	70.0%	1.96	40%
validation	NORMAL	474	10.8%	0.39	39%
validation	SIDEWAYS	206	-7.0%	-0.24	44%
validation	UPTREND	425	100.2%	2.64	54%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	3.98%	38	OPEN
2026-07-13	2026-07-24	$394.76	$313.03	-13.49%	10
2026-04-20	2026-06-10	$392.50	$381.59	0.73%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-07-31	2025-11-21	$308.27	$391.09	25.42%	81
2025-04-29	2025-07-02	$292.03	$315.65	0.81%	45
2025-04-08	2025-04-23	$221.86	$250.74	1.45%	11
2024-11-07	2025-01-17	$296.91	$426.50	18.36%	48
2024-09-04	2024-10-22	$219.41	$217.97	-4.51%	35
2024-04-30	2024-08-02	$183.28	$207.67	24.46%	66
2024-04-15	2024-04-19	$161.48	$147.05	-11.67%	5
2024-02-26	2024-03-15	$199.40	$163.57	-15.52%	15
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-15.62%	29
2023-05-24	2023-08-03	$182.90	$259.32	38.75%	49
2022-09-21	2022-10-04	$300.80	$249.44	-18.49%	10
2022-07-14	2022-09-01	$238.31	$277.16	9.72%	36
2022-06-22	2022-07-05	$236.09	$233.07	-1.73%	9
2022-03-22	2022-04-27	$331.33	$293.84	-2.62%	26
2022-01-04	2022-01-25	$383.20	$306.13	-9.41%	15
2021-06-14	2021-12-03	$205.90	$338.32	70.13%	122
2021-04-05	2021-05-11	$230.35	$205.73	-3.17%	27
2020-10-07	2021-02-23	$141.77	$232.95	32.10%	95
2020-04-14	2020-09-30	$47.33	$143.00	102.79%	119
2019-09-12	2020-03-05	$16.39	$48.30	124.75%	121
2019-07-16	2019-08-15	$16.83	$14.38	-11.31%	23
2019-04-04	2019-04-29	$17.85	$16.10	-15.82%	17
2019-02-28	2019-03-06	$21.33	$18.42	-10.13%	5
2018-10-29	2019-01-03	$22.32	$20.02	-1.91%	45
2018-10-04	2018-10-09	$18.79	$17.52	-6.42%	4
2018-08-03	2018-08-31	$23.21	$20.11	-5.43%	21
2018-04-27	2018-07-16	$19.61	$20.67	5.91%	55
2017-12-12	2018-03-23	$22.74	$20.10	-5.63%	70
2017-08-04	2017-11-03	$23.79	$20.41	-10.60%	65
2016-10-04	2017-07-07	$14.09	$20.88	22.08%	191
2016-07-19	2016-09-02	$15.02	$13.19	-10.07%	34
2016-06-08	2016-06-24	$15.70	$12.88	-15.51%	13
2016-03-04	2016-05-05	$13.40	$14.10	0.24%	44
2015-11-09	2016-01-19	$15.02	$13.65	-7.68%	48
2015-09-21	2015-10-12	$17.61	$14.37	-15.02%	16
2015-04-08	2015-08-12	$13.84	$15.88	25.24%	89
2015-02-10	2015-03-09	$14.42	$12.73	-11.03%	19
2014-11-11	2014-12-09	$16.74	$14.46	-12.36%	20
2014-05-28	2014-10-01	$14.02	$16.02	18.69%	89
2013-12-13	2014-03-26	$9.84	$14.20	27.05%	70
2013-03-26	2013-10-24	$2.52	$11.54	117.35%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.44%	92
2012-09-18	2012-10-16	$2.09	$1.87	-11.26%	21
2012-08-24	2012-09-12	$1.97	$1.89	-5.29%	13
2012-06-19	2012-07-27	$2.14	$1.97	-4.67%	28
2012-02-02	2012-04-25	$2.02	$2.19	7.61%	58