Strategy Zoo / S1677
LongTermTrend_V1677
ARCHIVEDhybridstructuralremoved 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); removed entry condition: ret_20d > 0.05
Fitness
0.6938
Generation
77
Complexity
3
Created
2026-10-16
Lineage
Parents (1)
added entry filter: sma_50_slope > -0.005
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1677 [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and sma_50_slope > -0.005:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.7% | 108.7% | -0.7% | 29.7% |
| Total Return | 411.1% | 809.5% | -2.6% | 4562.7% |
| Sharpe | 0.94 | 1.74 | 0.07 | 1.00 |
| Sortino | 0.67 | 1.61 | 0.04 | 0.74 |
| Calmar | 0.58 | 2.93 | -0.02 | 0.71 |
| Volatility | 24.9% | 49.2% | 20.4% | 30.6% |
| Max DD | -39.1% | -37.1% | -41.9% | -41.9% |
| Win Rate | 53.1% | 42.9% | 33.3% | 46.6% |
| Avg Win | 22.0% | 74.3% | 13.9% | 33.3% |
| Avg Loss | -3.7% | -5.6% | -6.1% | -4.8% |
| Payoff | 5.90 | 10.00 | 2.29 | 6.91 |
| Expectancy | 9.9% | 28.7% | 0.6% | 12.9% |
| Profit Factor | 6.68 | 9.99 | 1.15 | 6.02 |
| Trades | 32 | 14 | 12 | 58 |
| Avg Holding Days | 12.4 | 20.2 | 11.3 | 14.3 |
| Turnover | 8.1 | 9.3 | 6.4 | 7.9 |
| Exposure | 18.7% | 35.6% | 13.1% | 20.7% |
Growth of $100
LongTermTrend_V1677 vs TSLA Buy & Hold
LongTermTrend_V1677 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 | 17.9% | 0.71 | -19.5% | 13 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 771.0% | 3.07 | -37.1% | 12 |
| 2021 | 0.0% | 0.10 | -17.3% | 2 |
| 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 | 279 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -20.6% | -0.44 | 88% |
| hidden test | EXTREME | 48 | 165.6% | 2.63 | 96% |
| hidden test | HIGH VOLATILITY | 254 | 12.2% | 0.45 | 20% |
| hidden test | LOW VOLATILITY | 445 | 18.1% | 1.90 | 5% |
| hidden test | MEDIUM VOLATILITY | 251 | -39.2% | -1.53 | 20% |
| hidden test | NORMAL | 819 | -6.0% | -1.08 | 1% |
| hidden test | SIDEWAYS | 300 | -12.3% | -1.30 | 2% |
| hidden test | UPTREND | 371 | 13.5% | 0.43 | 32% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 43.6% | 1.00 | 86% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 47.0% | 1.31 | 25% |
| train | LOW VOLATILITY | 745 | 8.2% | 0.67 | 13% |
| train | MEDIUM VOLATILITY | 568 | 14.6% | 0.72 | 18% |
| train | NORMAL | 1,601 | -5.0% | -0.98 | 1% |
| train | SIDEWAYS | 592 | 2.3% | 0.21 | 6% |
| train | UPTREND | 902 | 50.8% | 1.41 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 78.1% | 1.15 | 91% |
| validation | EXTREME | 144 | 378.0% | 4.26 | 99% |
| validation | HIGH VOLATILITY | 258 | 132.5% | 1.82 | 50% |
| validation | LOW VOLATILITY | 183 | 7.7% | 0.38 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 92.6% | 2.63 | 33% |
| validation | NORMAL | 474 | -0.9% | -0.94 | 0% |
| validation | SIDEWAYS | 206 | 2.9% | 0.12 | 9% |
| validation | UPTREND | 425 | 151.0% | 2.39 | 59% |
Trades (full period)
58 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 | |
| 2025-02-25 | 2025-02-26 | $302.80 | $290.80 | -8.58% | 2 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-01-29 | 2025-02-11 | $389.10 | $328.50 | -12.07% | 10 | |
| 2025-01-21 | 2025-01-28 | $424.07 | $398.09 | -7.07% | 6 | |
| 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 | |
| 2021-03-18 | 2021-03-19 | $217.72 | $218.29 | -7.13% | 2 | |
| 2020-10-01 | 2021-02-19 | $149.39 | $260.43 | 83.18% | 97 | |
| 2020-04-13 | 2020-09-30 | $43.40 | $143.00 | 264.99% | 120 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-04-06 | 2020-04-07 | $34.42 | $36.36 | 7.34% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-24 | 2020-03-25 | $33.67 | $35.95 | 16.07% | 2 | |
| 2020-03-17 | 2020-03-18 | $28.68 | $24.08 | -3.54% | 2 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.92% | 2 | |
| 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 | |
| 2017-08-02 | 2017-09-26 | $21.73 | $23.02 | 7.74% | 39 | |
| 2017-07-26 | 2017-08-01 | $22.92 | $21.30 | -4.94% | 5 | |
| 2017-07-24 | 2017-07-25 | $22.83 | $22.64 | 4.10% | 2 | |
| 2017-07-20 | 2017-07-21 | $21.99 | $21.89 | 1.23% | 2 | |
| 2017-07-18 | 2017-07-19 | $21.88 | $21.68 | 2.51% | 2 | |
| 2017-07-14 | 2017-07-17 | $21.85 | $21.30 | 1.15% | 2 | |
| 2017-07-12 | 2017-07-13 | $21.97 | $21.56 | 0.50% | 2 | |
| 2017-07-10 | 2017-07-11 | $21.07 | $21.81 | 0.70% | 2 | |
| 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 | |
| 2014-04-09 | 2014-04-10 | $14.46 | $13.61 | 0.48% | 2 | |
| 2014-04-07 | 2014-04-08 | $13.83 | $14.36 | -2.42% | 2 | |
| 2014-04-02 | 2014-04-04 | $15.35 | $14.15 | 3.68% | 3 | |
| 2014-03-31 | 2014-04-01 | $13.90 | $14.46 | -2.04% | 2 | |
| 2014-03-27 | 2014-03-28 | $13.82 | $14.16 | -2.85% | 2 | |
| 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 | |
| 2013-11-18 | 2013-11-19 | $8.11 | $8.41 | -10.43% | 2 | |
| 2013-11-14 | 2013-11-15 | $9.17 | $9.03 | -0.99% | 2 | |
| 2013-11-12 | 2013-11-13 | $9.19 | $9.25 | -4.96% | 2 | |
| 2013-11-08 | 2013-11-11 | $9.20 | $9.65 | -1.50% | 2 | |
| 2013-11-05 | 2013-11-07 | $11.79 | $9.32 | -13.89% | 3 | |
| 2013-10-31 | 2013-11-04 | $10.66 | $11.68 | 1.65% | 3 | |
| 2013-10-29 | 2013-10-30 | $10.96 | $10.61 | 0.79% | 2 | |
| 2013-10-25 | 2013-10-28 | $11.31 | $10.86 | -2.21% | 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 |