Strategy Zoo / S1651
LongTermTrend_V1651
ARCHIVEDhybridstructuraladded exit filter: close > sma_200; swapped indicator ret_20d -> ret_60d
Fitness
0.2889
Generation
76
Complexity
14
Created
2026-10-15
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1651 [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 > -0.1997) and ret_60d > 0.4347):
position = 1.0
if long and (ret_20d < -0.1003 or close > sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.3% | 20.8% | 1.4% | 6.9% |
| Total Return | 39.9% | 76.4% | 5.3% | 166.9% |
| Sharpe | 0.34 | 0.82 | 0.19 | 0.46 |
| Sortino | 0.19 | 0.51 | 0.06 | 0.23 |
| Calmar | 0.21 | 0.63 | 0.10 | 0.21 |
| Volatility | 15.8% | 28.1% | 9.9% | 17.9% |
| Max DD | -20.4% | -33.0% | -14.4% | -33.0% |
| Win Rate | 48.1% | 58.2% | 43.5% | 52.2% |
| Avg Win | 3.6% | 4.2% | 4.2% | 3.9% |
| Avg Loss | -2.3% | -3.7% | -2.7% | -2.9% |
| Payoff | 1.55 | 1.12 | 1.56 | 1.35 |
| Expectancy | 0.5% | 0.9% | 0.3% | 0.7% |
| Profit Factor | 1.44 | 1.56 | 1.20 | 1.47 |
| Trades | 81 | 79 | 23 | 184 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 20.3 | 52.7 | 12.2 | 24.9 |
| Exposure | 4.0% | 10.4% | 2.4% | 5.0% |
Growth of $100
LongTermTrend_V1651 vs TSLA Buy & Hold
LongTermTrend_V1651 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 | 4.8% | 0.92 | -1.7% | 8 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 2.0% | 0.37 | -3.9% | 5 |
| 2020 | 49.6% | 1.10 | -33.0% | 67 |
| 2021 | 14.1% | 1.11 | -7.5% | 11 |
| 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 | -12.9% | -0.54 | 10% |
| hidden test | EXTREME | 48 | 59.2% | 1.90 | 31% |
| hidden test | HIGH VOLATILITY | 254 | -2.0% | -0.12 | 6% |
| hidden test | LOW VOLATILITY | 445 | 6.2% | 1.29 | 1% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.8% | -0.24 | 2% |
| hidden test | NORMAL | 818 | 0.0% | 0.00 | 0% |
| hidden test | SIDEWAYS | 300 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 4.8% | 0.30 | 6% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -15.1% | -0.66 | 14% |
| train | EXTREME | 100 | 155.1% | 2.70 | 39% |
| train | HIGH VOLATILITY | 699 | 15.0% | 0.61 | 6% |
| train | LOW VOLATILITY | 745 | 2.8% | 0.40 | 3% |
| train | MEDIUM VOLATILITY | 568 | -3.1% | -0.38 | 2% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 12.0% | 0.51 | 9% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 8.8% | 0.23 | 20% |
| validation | EXTREME | 144 | 112.1% | 2.13 | 35% |
| validation | HIGH VOLATILITY | 258 | 18.0% | 0.43 | 14% |
| validation | LOW VOLATILITY | 183 | 3.2% | 0.47 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 38.5% | 1.79 | 12% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 40.8% | 1.09 | 19% |
Trades (full period)
latest 100 of 184
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 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 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.75% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-29 | 2021-02-01 | $264.51 | $279.94 | -5.21% | 2 | |
| 2021-01-27 | 2021-01-28 | $288.05 | $278.48 | -2.34% | 2 | |
| 2021-01-25 | 2021-01-26 | $293.60 | $294.36 | 3.83% | 2 | |
| 2021-01-21 | 2021-01-22 | $281.66 | $282.21 | -0.84% | 2 | |
| 2021-01-19 | 2021-01-20 | $281.52 | $283.48 | 2.02% | 2 | |
| 2021-01-14 | 2021-01-15 | $281.67 | $275.39 | -1.30% | 2 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 4.51% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.09% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-12-17 | 2020-12-18 | $218.63 | $231.67 | 5.11% | 2 | |
| 2020-12-14 | 2020-12-15 | $213.28 | $211.08 | 4.69% | 2 | |
| 2020-12-09 | 2020-12-10 | $201.49 | $209.02 | -7.18% | 2 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-12-03 | 2020-12-04 | $197.79 | $199.68 | 4.11% | 2 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 1.71% | 2 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -21.24% | 2 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 6.21% | 2 | |
| 2020-08-24 | 2020-08-25 | $134.28 | $134.89 | -1.94% | 2 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 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 | |
| 2020-07-24 | 2020-07-27 | $94.47 | $102.64 | -6.54% | 2 | |
| 2020-07-22 | 2020-07-23 | $106.16 | $100.87 | 1.33% | 2 | |
| 2020-07-20 | 2020-07-21 | $109.53 | $104.56 | 9.26% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -3.13% | 2 | |
| 2020-07-14 | 2020-07-15 | $101.12 | $103.07 | 1.12% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 4.96% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 2.41% | 2 | |
| 2020-06-23 | 2020-06-24 | $66.79 | $64.06 | 0.55% | 2 | |
| 2020-06-19 | 2020-06-22 | $66.73 | $66.29 | -0.50% | 2 | |
| 2020-06-17 | 2020-06-18 | $66.12 | $66.93 | 0.78% | 2 | |
| 2020-06-15 | 2020-06-16 | $66.06 | $65.48 | 5.74% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-06-04 | 2020-06-05 | $57.63 | $59.04 | -2.30% | 2 | |
| 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 | |
| 2020-02-25 | 2020-02-26 | $53.33 | $51.92 | -4.26% | 2 | |
| 2020-02-21 | 2020-02-24 | $60.07 | $55.59 | -0.02% | 2 | |
| 2020-02-19 | 2020-02-20 | $61.16 | $59.96 | 6.67% | 2 | |
| 2020-02-14 | 2020-02-18 | $53.34 | $57.23 | -0.69% | 2 | |
| 2020-02-12 | 2020-02-13 | $51.15 | $53.60 | -1.11% | 2 | |
| 2020-02-10 | 2020-02-11 | $51.42 | $51.63 | 2.90% | 2 | |
| 2020-02-06 | 2020-02-07 | $49.93 | $49.87 | 1.74% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-29 | 2020-01-30 | $38.73 | $42.72 | 2.28% | 2 | |
| 2020-01-27 | 2020-01-28 | $37.20 | $37.79 | -1.40% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-21 | 2020-01-22 | $36.48 | $37.97 | 6.98% | 2 | |
| 2020-01-16 | 2020-01-17 | $34.23 | $34.03 | -1.17% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 |