LongTermTrend_V0371

ARCHIVEDhybrid

llmRemoved redundant ret_20d check and added momentum confirmation (ret_60d + macd_hist) and RSI cap to reduce overbought entries. Added regime gates to avoid trading in strong downtrends, high-volatility-only regimes, and bubble states (trade only UPTREND/SIDEWAYS, LOW/MEDIUM vol, NORMAL bubble). Improved exits: keep the 20d loss stop, add close < sma_50 and extreme RSI >80 as timely exit signals. Lowered base position to 0.6 and added volatility-based sizing (full size in low vol, reduced in high vol) plus a hard stop-to-zero when portfolio drawdown is severe. These changes aim to reduce overfitting and risk while keeping trend capture.

Fitness

0.0763

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0253S0253 · gen 12ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.1208

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0371  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.03 and ret_60d > 0.02 and macd_hist > 0.0 and rsi_14 < 75.0):
    position = 0.6
if long and (ret_20d < -0.03 or close < sma_50 or rsi_14 > 80.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.5%	-6.1%	-2.6%	-1.7%
Total Return	3.8%	-17.2%	-9.3%	-22.1%
Sharpe	0.10	-0.56	-0.15	-0.11
Sortino	0.05	-0.25	-0.08	-0.05
Calmar	0.02	-0.24	-0.14	-0.04
Volatility	9.9%	10.4%	12.5%	10.7%
Max DD	-24.1%	-25.9%	-19.2%	-38.3%
Win Rate	31.6%	16.7%	40.0%	32.5%
Avg Win	8.3%	13.1%	6.0%	7.6%
Avg Loss	-3.3%	-6.0%	-4.8%	-4.3%
Payoff	2.51	2.19	1.26	1.78
Expectancy	0.4%	-2.8%	-0.5%	-0.4%
Profit Factor	1.16	0.44	0.84	0.86
Trades	19	6	15	40
Avg Holding Days	16.3	20.7	10.3	14.7
Turnover	2.9	2.4	4.9	3.3
Exposure	8.7%	9.4%	9.0%	8.9%

Growth of $100

LongTermTrend_V0371 vs TSLA Buy & Hold

LongTermTrend_V0371 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	-5.3%	-0.73	-11.4%	3
2017	8.6%	2.05	-0.5%	1
2018	-10.6%	-1.38	-11.1%	2
2019	-3.2%	-0.15	-14.4%	3
2020	0.0%	0.00	0.0%	0
2021	3.5%	0.35	-7.6%	3
2022	-20.1%	-1.60	-22.3%	3

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	267	0.0%	0.00	0%
hidden test	EXPENSIVE	83	25.7%	2.44	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-9.3%	-0.85	1%
hidden test	LOW VOLATILITY	429	7.0%	0.61	13%
hidden test	MEDIUM VOLATILITY	248	-9.6%	-0.63	10%
hidden test	NORMAL	800	-4.8%	-0.37	10%
hidden test	SIDEWAYS	293	-21.8%	-1.68	12%
hidden test	UPTREND	371	12.6%	0.79	13%
train	DOWNTREND	518	-0.2%	-0.79	0%
train	EXPENSIVE	311	0.7%	0.84	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	2.4%	0.23	0%
train	LOW VOLATILITY	745	9.7%	0.93	19%
train	MEDIUM VOLATILITY	568	-12.2%	-1.42	5%
train	NORMAL	1,601	1.1%	0.10	11%
train	SIDEWAYS	592	-10.1%	-1.10	6%
train	UPTREND	902	8.9%	0.70	15%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-7.1%	-1.00	0%
validation	LOW VOLATILITY	183	1.9%	0.15	28%
validation	MEDIUM VOLATILITY	315	-9.1%	-0.80	6%
validation	NORMAL	474	-9.2%	-0.70	15%
validation	SIDEWAYS	206	-20.5%	-1.57	13%
validation	UPTREND	425	-0.3%	-0.03	11%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-06-08	$433.45	$408.95	-7.42%	19
2025-12-12	2026-01-05	$458.96	$451.67	-1.20%	15
2025-08-28	2025-09-15	$345.98	$410.04	7.78%	12
2025-06-02	2025-06-06	$342.69	$295.14	-10.95%	5
2025-05-22	2025-05-28	$341.04	$356.90	4.92%	4
2024-09-23	2024-10-14	$250.00	$219.16	-5.15%	16
2024-09-16	2024-09-20	$226.78	$238.25	3.45%	5
2024-09-05	2024-09-09	$230.17	$216.27	-2.39%	3
2024-09-03	2024-09-04	$210.60	$219.41	-1.10%	2
2024-06-18	2024-07-03	$184.86	$246.39	13.52%	11
2023-12-19	2024-01-10	$257.22	$233.94	-4.16%	15
2023-09-12	2023-09-22	$267.48	$244.88	-4.05%	9
2023-06-22	2023-08-02	$264.61	$254.11	0.62%	29
2023-06-01	2023-06-08	$207.52	$234.86	5.85%	6
2023-04-03	2023-04-06	$194.77	$185.06	-6.54%	4
2022-09-20	2022-09-26	$308.73	$276.01	-6.76%	5
2022-08-03	2022-08-29	$307.40	$284.82	-2.47%	19
2022-03-29	2022-04-27	$366.52	$293.84	-12.09%	21
2021-11-09	2021-11-10	$341.17	$355.98	-7.31%	2
2021-08-03	2021-10-19	$236.58	$288.09	13.10%	55
2021-06-24	2021-07-26	$226.61	$219.21	-1.24%	22
2019-10-21	2019-10-25	$16.90	$21.88	9.89%	5
2019-09-12	2019-09-25	$16.39	$15.25	-5.95%	10
2019-07-23	2019-07-26	$17.34	$15.20	-6.30%	4
2018-12-11	2018-12-19	$24.45	$22.20	-4.75%	7
2018-01-22	2018-02-09	$23.44	$20.69	-6.05%	15
2017-01-03	2017-01-24	$14.47	$16.97	9.52%	15
2016-08-01	2016-08-23	$15.33	$14.99	-3.16%	17
2016-06-08	2016-06-10	$15.70	$14.59	-0.88%	3
2016-04-04	2016-05-04	$16.47	$14.84	-1.32%	23
2015-04-29	2015-07-28	$15.50	$17.65	5.91%	63
2015-04-14	2015-04-21	$13.83	$13.96	-1.41%	6
2014-09-08	2014-09-16	$18.81	$17.38	-5.18%	7
2014-08-05	2014-09-03	$15.90	$18.75	11.05%	21
2014-06-19	2014-07-17	$15.19	$14.36	-2.67%	20
2013-03-27	2013-04-02	$2.54	$2.96	9.49%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2012-11-06	2013-01-11	$2.08	$2.19	3.88%	46
2012-07-16	2012-07-20	$2.40	$2.12	-3.51%	5
2012-02-17	2012-04-10	$2.33	$2.16	-1.61%	36