Strategy Zoo / S1695

LongTermTrend_V1695

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.05 -> 0.1854

Fitness

0.6804

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

LongTermTrend_V1159S1159 · gen 53ELITEparameter

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1695  [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.1854 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

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.5%	119.7%	8.8%	31.1%
Total Return	263.5%	960.2%	37.3%	5347.7%
Sharpe	0.83	1.94	0.54	1.10
Sortino	0.55	1.69	0.33	0.74
Calmar	0.63	3.55	0.41	0.92
Volatility	22.5%	45.9%	18.8%	28.2%
Max DD	-27.6%	-33.7%	-21.2%	-33.7%
Win Rate	37.5%	100.0%	50.0%	53.3%
Avg Win	101.0%	128.3%	24.0%	92.6%
Avg Loss	-5.3%	0.0%	-4.3%	-5.0%
Payoff	10.00	5.00	5.53	10.00
Expectancy	34.5%	128.3%	9.8%	47.0%
Profit Factor	10.00	5.00	5.53	10.00
Trades	8	3	4	15
Avg Holding Days	34.0	85.0	25.3	42.3
Turnover	2.1	2.0	2.1	2.0
Exposure	13.4%	33.3%	10.2%	16.6%

Growth of $100

LongTermTrend_V1695 vs TSLA Buy & Hold

LongTermTrend_V1695 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	-12.6%	-0.51	-19.5%	4
2018	0.0%	0.00	0.0%	0
2019	-0.3%	-0.05	-3.8%	0
2020	842.7%	3.35	-33.7%	2
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	279	0.0%	0.00	0%
hidden test	EXPENSIVE	83	19.7%	0.46	70%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	26.4%	1.00	16%
hidden test	LOW VOLATILITY	445	16.5%	1.95	3%
hidden test	MEDIUM VOLATILITY	251	-17.6%	-0.79	17%
hidden test	NORMAL	819	-2.6%	-0.98	0%
hidden test	SIDEWAYS	300	-1.0%	-0.31	1%
hidden test	UPTREND	371	26.8%	0.90	25%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-1.4%	-0.04	53%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	43.4%	1.32	20%
train	LOW VOLATILITY	745	2.9%	0.31	8%
train	MEDIUM VOLATILITY	568	8.7%	0.47	12%
train	NORMAL	1,601	-2.3%	-0.80	0%
train	SIDEWAYS	592	-4.3%	-0.90	2%
train	UPTREND	902	44.3%	1.33	29%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	143.0%	2.16	44%
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	152.8%	2.57	56%

Trades (full period)

15 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-16	2025-11-13	$421.62	$401.99	4.81%	43
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
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2020-10-07	2021-02-19	$141.77	$260.43	89.82%	93
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-12-24	2020-03-05	$28.35	$48.30	78.43%	49
2017-04-07	2017-07-07	$20.17	$20.88	3.19%	63
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2017-02-15	2017-02-28	$18.65	$16.67	-12.54%	9
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-22	2014-03-26	$11.90	$14.20	24.52%	45
2013-12-26	2014-01-07	$10.37	$9.96	-3.10%	8
2013-12-18	2013-12-20	$9.87	$9.55	-7.89%	3
2013-04-15	2013-10-24	$2.89	$11.54	275.24%	136