Strategy Zoo / S1668

LongTermTrend_V1668

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.05 -> 0.0923

Fitness

0.7215

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

LongTermTrend_V1249S1249 · gen 57ELITEparameter

removed entry condition: ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1668  [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.0923 and cumret_252d > 0.0541):
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.6%	126.9%	1.2%	32.6%
Total Return	409.8%	1067.7%	4.4%	6299.5%
Sharpe	0.84	1.90	0.18	0.99
Sortino	0.82	2.01	0.15	0.93
Calmar	0.46	3.76	0.03	0.66
Volatility	29.2%	49.8%	28.2%	34.2%
Max DD	-49.3%	-33.7%	-35.5%	-49.3%
Win Rate	40.7%	53.3%	35.7%	42.9%
Avg Win	30.1%	47.8%	15.8%	35.3%
Avg Loss	-6.0%	-5.4%	-6.8%	-6.1%
Payoff	4.99	8.93	2.32	5.78
Expectancy	8.7%	23.0%	1.3%	11.6%
Profit Factor	3.43	10.00	1.29	4.33
Trades	27	15	14	56
Avg Holding Days	25.0	27.4	20.2	25.3
Turnover	6.9	10.0	7.4	7.6
Exposure	34.4%	52.4%	28.3%	36.6%

Growth of $100

LongTermTrend_V1668 vs TSLA Buy & Hold

LongTermTrend_V1668 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	17.5%	1.22	-9.3%	1
2017	-6.3%	-0.13	-30.9%	6
2018	-23.2%	-1.09	-27.9%	4
2019	27.4%	1.74	-8.5%	0
2020	580.5%	3.02	-33.7%	5
2021	78.5%	1.78	-17.6%	5
2022	-7.9%	-0.16	-24.0%	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	279	-28.5%	-1.37	20%
hidden test	EXPENSIVE	83	83.9%	2.01	58%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	6.0%	0.17	28%
hidden test	LOW VOLATILITY	445	29.7%	1.30	31%
hidden test	MEDIUM VOLATILITY	251	-39.3%	-1.38	24%
hidden test	NORMAL	819	-13.3%	-0.56	23%
hidden test	SIDEWAYS	300	4.3%	0.18	25%
hidden test	UPTREND	371	31.1%	0.88	37%
train	DOWNTREND	518	-4.5%	-0.61	5%
train	EXPENSIVE	311	49.4%	1.27	69%
train	EXTREME	100	403.3%	5.47	97%
train	HIGH VOLATILITY	699	53.3%	1.41	32%
train	LOW VOLATILITY	745	23.1%	1.10	41%
train	MEDIUM VOLATILITY	568	-8.9%	-0.34	30%
train	NORMAL	1,601	-3.9%	-0.20	24%
train	SIDEWAYS	592	-4.4%	-0.22	20%
train	UPTREND	902	60.2%	1.50	61%
validation	DOWNTREND	125	45.2%	2.08	12%
validation	EXPENSIVE	138	81.4%	1.52	57%
validation	EXTREME	144	344.2%	4.13	92%
validation	HIGH VOLATILITY	258	94.1%	1.39	49%
validation	LOW VOLATILITY	183	55.9%	2.30	56%
validation	MEDIUM VOLATILITY	315	116.9%	2.70	53%
validation	NORMAL	474	22.2%	0.73	39%
validation	SIDEWAYS	206	-4.5%	-0.15	36%
validation	UPTREND	425	156.7%	2.53	72%

Trades (full period)

56 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	2026-09-30	$348.95	$354.81	-2.96%	27
2026-05-05	2026-06-08	$389.37	$408.95	-0.58%	24
2025-12-15	2026-01-05	$475.31	$451.67	-4.74%	14
2025-08-27	2025-10-23	$349.60	$448.98	24.57%	41
2025-08-13	2025-08-20	$339.38	$323.90	-3.58%	6
2025-05-06	2025-06-12	$275.35	$319.11	16.24%	27
2025-04-30	2025-05-02	$282.16	$287.21	-4.14%	3
2025-04-10	2025-04-22	$252.40	$237.97	-16.60%	8
2024-11-07	2025-01-13	$296.91	$403.31	36.54%	44
2024-09-30	2024-10-14	$261.63	$219.16	-16.55%	11
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2024-04-30	2024-05-10	$183.28	$168.47	-11.56%	9
2023-11-20	2024-01-05	$235.60	$237.49	1.35%	32
2023-06-14	2023-07-24	$256.79	$269.06	0.30%	27
2022-07-14	2022-08-29	$238.31	$284.82	21.29%	33
2022-06-24	2022-06-29	$245.71	$228.49	-1.22%	4
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2022-01-12	2022-01-24	$368.74	$310.00	-11.49%	8
2022-01-04	2022-01-07	$383.20	$342.32	-11.44%	4
2021-08-05	2021-12-01	$238.21	$365.00	60.70%	83
2021-06-18	2021-07-23	$207.77	$214.46	5.09%	25
2021-04-19	2021-05-04	$238.21	$224.53	-7.61%	12
2021-04-06	2021-04-08	$230.54	$227.93	-3.10%	3
2020-11-19	2021-02-09	$166.42	$283.15	77.07%	55
2020-10-22	2020-10-27	$141.93	$141.56	-0.76%	4
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-17	2020-09-24	$122.38	$129.26	14.99%	28
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-10-28	2020-03-04	$21.85	$49.97	126.75%	88
2018-11-02	2018-12-19	$23.09	$22.20	-2.30%	32
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-03-13	2018-03-19	$22.79	$20.90	-7.18%	5
2018-01-29	2018-02-07	$23.30	$23.00	-2.78%	8
2017-12-14	2017-12-28	$22.53	$21.02	-8.26%	10
2017-09-19	2017-09-25	$25.01	$23.00	-8.99%	5
2017-08-04	2017-08-22	$23.79	$22.76	-2.85%	13
2017-06-02	2017-07-06	$22.66	$20.59	-4.09%	24
2017-03-28	2017-05-24	$18.50	$20.68	12.23%	41
2017-01-09	2017-02-28	$15.42	$16.67	7.31%	35
2016-03-08	2016-05-03	$13.51	$15.49	17.55%	40
2015-12-17	2015-12-29	$15.56	$15.81	-2.57%	8
2015-04-28	2015-07-09	$15.37	$17.19	9.89%	51
2014-11-12	2014-12-02	$16.61	$15.43	-7.93%	14
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-09	2014-07-16	$13.69	$14.48	5.27%	27
2014-01-16	2014-03-26	$11.40	$14.20	34.05%	48
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-01	2013-10-22	$7.81	$11.44	60.46%	80
2013-03-27	2013-06-26	$2.54	$7.05	169.93%	64
2013-01-28	2013-02-22	$2.54	$2.41	-5.11%	19
2012-12-03	2012-12-31	$2.31	$2.26	-1.97%	20
2012-08-24	2012-09-05	$1.97	$1.86	-8.62%	8
2012-07-02	2012-07-20	$2.03	$2.12	2.92%	14
2012-06-19	2012-06-27	$2.14	$2.13	-0.92%	7
2012-03-27	2012-04-10	$2.53	$2.16	-11.54%	10
2012-02-06	2012-03-23	$2.12	$2.27	10.21%	34