Strategy Zoo / S1702
LongTermTrend_V1702
ARCHIVEDhybridstructuralremoved entry condition: (((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.1344 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774); changed macd_hist threshold 0.0 -> -2.1012
Fitness
0.6424
Generation
78
Complexity
14
Created
2026-10-16
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1702 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > -2.1012 and close > sma_50) and sma_50 > sma_200))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.8% | 94.5% | 16.2% | 26.6% |
| Total Return | 143.1% | 636.0% | 76.0% | 3143.0% |
| Sharpe | 0.50 | 1.68 | 0.61 | 0.83 |
| Sortino | 0.55 | 1.93 | 0.67 | 0.93 |
| Calmar | 0.21 | 3.90 | 0.37 | 0.48 |
| Volatility | 33.5% | 45.9% | 33.4% | 36.4% |
| Max DD | -55.2% | -24.2% | -44.0% | -55.2% |
| Win Rate | 40.7% | 48.4% | 35.2% | 41.3% |
| Avg Win | 6.8% | 11.2% | 10.8% | 8.8% |
| Avg Loss | -3.2% | -2.9% | -3.6% | -3.2% |
| Payoff | 2.11 | 3.83 | 3.03 | 2.69 |
| Expectancy | 0.9% | 3.9% | 1.5% | 1.7% |
| Profit Factor | 1.45 | 3.60 | 1.65 | 1.90 |
| Trades | 194 | 64 | 54 | 312 |
| Avg Holding Days | 5.6 | 6.2 | 8.3 | 6.2 |
| Turnover | 48.7 | 42.7 | 28.6 | 42.3 |
| Exposure | 44.8% | 43.8% | 41.3% | 43.7% |
Growth of $100
LongTermTrend_V1702 vs TSLA Buy & Hold
LongTermTrend_V1702 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 | 14.5% | 0.86 | -18.9% | 13 |
| 2017 | -4.1% | -0.02 | -30.7% | 40 |
| 2018 | -5.6% | -0.06 | -23.3% | 11 |
| 2019 | 9.5% | 0.43 | -28.9% | 13 |
| 2020 | 425.3% | 2.84 | -24.2% | 43 |
| 2021 | 24.8% | 0.86 | -23.3% | 14 |
| 2022 | -1.8% | 0.07 | -17.6% | 6 |
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 | 14.4% | 0.59 | 27% |
| hidden test | EXPENSIVE | 83 | 59.7% | 1.25 | 57% |
| hidden test | EXTREME | 48 | 149.7% | 3.20 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 45.4% | 1.07 | 44% |
| hidden test | LOW VOLATILITY | 445 | 43.0% | 1.65 | 41% |
| hidden test | MEDIUM VOLATILITY | 251 | -44.4% | -1.29 | 39% |
| hidden test | NORMAL | 819 | 9.0% | 0.29 | 39% |
| hidden test | SIDEWAYS | 300 | -9.8% | -0.31 | 48% |
| hidden test | UPTREND | 371 | 49.7% | 1.25 | 46% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 27.7% | 0.71 | 67% |
| train | EXTREME | 100 | 357.7% | 5.00 | 85% |
| train | HIGH VOLATILITY | 699 | 47.0% | 1.08 | 40% |
| train | LOW VOLATILITY | 745 | 21.0% | 0.85 | 53% |
| train | MEDIUM VOLATILITY | 568 | -26.4% | -0.90 | 39% |
| train | NORMAL | 1,601 | -6.8% | -0.25 | 38% |
| train | SIDEWAYS | 592 | 7.8% | 0.28 | 41% |
| train | UPTREND | 902 | 36.8% | 0.87 | 62% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 65.7% | 1.63 | 51% |
| validation | EXTREME | 144 | 288.3% | 3.59 | 81% |
| validation | HIGH VOLATILITY | 258 | 95.2% | 1.56 | 39% |
| validation | LOW VOLATILITY | 183 | 23.7% | 1.05 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 93.0% | 2.25 | 47% |
| validation | NORMAL | 474 | 16.0% | 0.54 | 31% |
| validation | SIDEWAYS | 206 | -4.9% | -0.18 | 28% |
| validation | UPTREND | 425 | 128.6% | 2.27 | 61% |
Trades (full period)
latest 100 of 312
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | 2026-10-15 | $377.81 | — | -3.75% | 7 | |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.38% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-27 | 2022-01-12 | $364.65 | $368.74 | -0.44% | 13 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -6.52% | 4 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-27 | 2020-10-28 | $141.56 | $135.34 | 0.85% | 2 | |
| 2020-10-23 | 2020-10-26 | $140.21 | $140.09 | -1.41% | 2 | |
| 2020-10-21 | 2020-10-22 | $140.88 | $141.93 | -0.03% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.79% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 4.26% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-24 | 2020-09-25 | $129.26 | $135.78 | 1.75% | 2 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 26.47% | 16 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 4.06% | 2 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.67% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.33% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 |