Strategy Zoo / S1654
LongTermTrend_V1654
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0243
Fitness
0.7301
Generation
76
Complexity
3
Created
2026-10-15
Lineage
Parents (1)
removed entry condition: (((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.0257) and ret_20d > 0.05 and cumret_252d > -0.1997)
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1654 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > -0.0243:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.2% | 110.4% | 2.6% | 32.5% |
| Total Return | 500.2% | 831.7% | 10.0% | 6232.2% |
| Sharpe | 1.04 | 1.80 | 0.23 | 1.09 |
| Sortino | 0.73 | 1.57 | 0.15 | 0.77 |
| Calmar | 0.91 | 3.27 | 0.07 | 0.94 |
| Volatility | 24.4% | 47.5% | 19.6% | 29.7% |
| Max DD | -27.5% | -33.7% | -34.4% | -34.4% |
| Win Rate | 57.1% | 75.0% | 28.6% | 52.0% |
| Avg Win | 44.7% | 138.1% | 25.8% | 65.1% |
| Avg Loss | -4.1% | -16.3% | -6.6% | -6.1% |
| Payoff | 10.00 | 8.49 | 3.91 | 10.00 |
| Expectancy | 23.8% | 99.5% | 2.7% | 30.9% |
| Profit Factor | 10.00 | 10.00 | 1.57 | 10.00 |
| Trades | 14 | 4 | 7 | 25 |
| Avg Holding Days | 25.9 | 65.5 | 17.1 | 30.2 |
| Turnover | 3.6 | 2.7 | 3.7 | 3.4 |
| Exposure | 17.8% | 34.1% | 11.9% | 19.7% |
Growth of $100
LongTermTrend_V1654 vs TSLA Buy & Hold
LongTermTrend_V1654 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 | 9.9% | 0.48 | -19.5% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 728.9% | 3.08 | -33.7% | 3 |
| 2021 | 7.7% | 0.48 | -10.9% | 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 | -16.8% | -0.37 | 83% |
| hidden test | EXTREME | 48 | 174.2% | 2.81 | 83% |
| hidden test | HIGH VOLATILITY | 254 | 15.5% | 0.57 | 19% |
| hidden test | LOW VOLATILITY | 445 | 17.3% | 1.83 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.7% | -1.27 | 18% |
| hidden test | NORMAL | 818 | -3.4% | -1.14 | 0% |
| hidden test | SIDEWAYS | 300 | -1.0% | -0.31 | 1% |
| hidden test | UPTREND | 371 | 12.1% | 0.39 | 29% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 51.4% | 1.20 | 80% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 52.4% | 1.49 | 24% |
| train | LOW VOLATILITY | 745 | 8.5% | 0.74 | 12% |
| train | MEDIUM VOLATILITY | 568 | 14.1% | 0.70 | 17% |
| train | NORMAL | 1,601 | -4.1% | -1.14 | 1% |
| train | SIDEWAYS | 592 | 10.5% | 1.01 | 7% |
| train | UPTREND | 902 | 49.7% | 1.40 | 35% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 82.4% | 1.34 | 85% |
| validation | EXTREME | 144 | 373.6% | 4.21 | 97% |
| validation | HIGH VOLATILITY | 258 | 132.6% | 1.91 | 46% |
| validation | LOW VOLATILITY | 183 | 7.7% | 0.38 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 92.6% | 2.63 | 33% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 12.3% | 0.63 | 7% |
| validation | UPTREND | 425 | 146.5% | 2.37 | 57% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 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 | |
| 2025-02-03 | 2025-02-11 | $383.68 | $328.50 | -13.49% | 7 | |
| 2025-01-24 | 2025-01-28 | $406.58 | $398.09 | -3.89% | 3 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-10-25 | 2024-11-05 | $269.19 | $251.44 | -6.96% | 8 | |
| 2020-10-02 | 2021-02-19 | $138.36 | $260.43 | 75.33% | 96 | |
| 2020-04-13 | 2020-09-30 | $43.40 | $143.00 | 264.99% | 120 | |
| 2020-03-06 | 2020-03-10 | $46.90 | $43.02 | -16.25% | 3 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 96.07% | 54 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-08-03 | 2017-09-26 | $23.14 | $23.02 | 5.66% | 38 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | 3.19% | 63 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 8.95% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -2.31% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2014-01-08 | 2014-01-10 | $10.09 | $9.71 | -1.42% | 3 | |
| 2013-12-23 | 2014-01-07 | $9.57 | $9.96 | 2.42% | 10 | |
| 2013-12-09 | 2013-12-20 | $9.44 | $9.55 | 2.24% | 10 | |
| 2013-11-06 | 2013-11-07 | $10.08 | $9.32 | -14.69% | 2 | |
| 2013-04-11 | 2013-10-24 | $2.91 | $11.54 | 292.21% | 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 |