Strategy Zoo / S1699

LongTermTrend_V1699

ELITEhybrid

parameterchanged sma_200_slope threshold -0.0012 -> -0.0024

Fitness

0.7414

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

LongTermTrend_V1574S1574 · gen 72ELITEparameter

changed dist_sma_20 threshold -0.0187 -> 0.0494

Children (1)

LongTermTrend_V1705S1705 · gen 79ARCHIVEDcrossover

Strategy Logic (pseudocode)

# LongTermTrend_V1699  [hybrid]
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05 and dist_sma_20 > 0.0494):
    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	25.2%	113.8%	9.8%	35.3%
Total Return	501.7%	877.8%	42.2%	8511.7%
Sharpe	1.07	1.89	0.59	1.20
Sortino	0.80	1.63	0.36	0.84
Calmar	1.16	3.37	0.46	1.05
Volatility	23.5%	45.8%	18.9%	28.6%
Max DD	-21.8%	-33.7%	-21.2%	-33.7%
Win Rate	50.0%	100.0%	50.0%	58.8%
Avg Win	69.5%	123.4%	25.8%	79.1%
Avg Loss	-3.0%	0.0%	-4.3%	-3.4%
Payoff	10.00	5.00	5.96	10.00
Expectancy	33.2%	123.4%	10.8%	45.2%
Profit Factor	10.00	5.00	5.96	10.00
Trades	10	3	4	17
Avg Holding Days	34.3	82.7	25.5	41.4
Turnover	2.6	2.0	2.1	2.3
Exposure	17.0%	32.4%	10.3%	18.5%

Growth of $100

LongTermTrend_V1699 vs TSLA Buy & Hold

LongTermTrend_V1699 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	4.5%	0.30	-21.8%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	769.7%	3.24	-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	30.5%	0.70	71%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	26.4%	1.00	16%
hidden test	LOW VOLATILITY	445	18.6%	2.09	4%
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	29.2%	0.97	25%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	44.2%	1.11	76%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	53.0%	1.57	23%
train	LOW VOLATILITY	745	9.7%	0.87	12%
train	MEDIUM VOLATILITY	568	11.1%	0.57	17%
train	NORMAL	1,601	-3.0%	-0.96	0%
train	SIDEWAYS	592	5.5%	0.64	6%
train	UPTREND	902	52.5%	1.53	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	81.1%	1.35	78%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	138.4%	2.10	43%
validation	LOW VOLATILITY	183	7.7%	0.38	19%
validation	MEDIUM VOLATILITY	315	89.8%	2.57	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	12.3%	0.63	7%
validation	UPTREND	425	147.9%	2.49	54%

Trades (full period)

17 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
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2020-10-16	2021-02-19	$146.56	$260.43	75.06%	86
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-08-04	2017-09-26	$23.79	$23.02	-0.80%	37
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
2017-02-07	2017-02-28	$17.17	$16.67	-4.67%	15
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
2013-12-26	2014-01-07	$10.37	$9.96	-3.10%	8
2013-12-13	2013-12-20	$9.84	$9.55	-4.77%	6
2013-04-11	2013-10-24	$2.91	$11.54	292.21%	138
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14