Strategy Zoo / S0388
LongTermTrend_V0388
ARCHIVEDhybridllmAdded regime gates to avoid trading in high-volatility / bubble states; simplified and strengthened entry by removing redundant ret_20d check, adding RSI and vol_chg filters to avoid overbought and volatility surges; improved exits with multi-condition rule (20d loss, extreme RSI, or break below SMA50); added volatility-based position sizing (scale down in high vol, full size in low vol) and reduced base_position to 0.75 to lower drawdown risk.
Fitness
0.0831
Generation
18
Complexity
16
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1208
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0388 [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 rsi_14 < 75.0 and vol_chg < 0.2):
position = 0.75
if long and (ret_20d < -0.03 or rsi_14 > 85.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.3% | -5.7% | 1.9% | -0.9% |
| Total Return | -2.6% | -16.2% | 7.1% | -12.5% |
| Sharpe | 0.05 | -0.29 | 0.20 | 0.02 |
| Sortino | 0.03 | -0.17 | 0.12 | 0.01 |
| Calmar | -0.01 | -0.19 | 0.09 | -0.03 |
| Volatility | 14.3% | 16.1% | 16.1% | 15.1% |
| Max DD | -30.8% | -29.9% | -20.7% | -35.9% |
| Win Rate | 45.5% | 21.4% | 39.1% | 38.6% |
| Avg Win | 4.9% | 11.8% | 7.4% | 6.5% |
| Avg Loss | -3.9% | -4.3% | -3.8% | -4.0% |
| Payoff | 1.24 | 2.74 | 1.97 | 1.63 |
| Expectancy | 0.1% | -0.9% | 0.6% | 0.1% |
| Profit Factor | 1.03 | 0.75 | 1.26 | 1.03 |
| Trades | 33 | 14 | 23 | 70 |
| Avg Holding Days | 12.5 | 11.3 | 8.5 | 10.9 |
| Turnover | 6.2 | 7.0 | 9.3 | 7.2 |
| Exposure | 14.1% | 14.3% | 13.9% | 14.1% |
Growth of $100
LongTermTrend_V0388 vs TSLA Buy & Hold
LongTermTrend_V0388 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 | -0.9% | -0.04 | -10.9% | 3 |
| 2017 | 9.6% | 1.54 | -4.1% | 3 |
| 2018 | -5.3% | -0.41 | -8.4% | 2 |
| 2019 | -5.6% | -0.18 | -21.3% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -1.4% | 0.03 | -17.4% | 9 |
| 2022 | -15.1% | -0.75 | -29.9% | 5 |
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 | -1.2% | -0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 32.1% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.3% | -0.03 | 1% |
| hidden test | LOW VOLATILITY | 429 | 13.7% | 0.88 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -11.5% | -0.60 | 13% |
| hidden test | NORMAL | 800 | 0.4% | 0.02 | 16% |
| hidden test | SIDEWAYS | 293 | -16.9% | -0.92 | 23% |
| hidden test | UPTREND | 371 | 22.1% | 1.13 | 16% |
| train | DOWNTREND | 518 | -6.8% | -1.31 | 1% |
| train | EXPENSIVE | 311 | 6.4% | 1.35 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.9% | 0.23 | 0% |
| train | LOW VOLATILITY | 745 | 13.6% | 0.88 | 29% |
| train | MEDIUM VOLATILITY | 568 | -19.0% | -1.34 | 12% |
| train | NORMAL | 1,601 | -0.4% | -0.02 | 18% |
| train | SIDEWAYS | 592 | -10.9% | -0.78 | 13% |
| train | UPTREND | 902 | 12.6% | 0.71 | 23% |
| 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 | -6.2% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | -3.2% | -0.20 | 37% |
| validation | MEDIUM VOLATILITY | 315 | -4.1% | -0.21 | 12% |
| validation | NORMAL | 474 | -7.3% | -0.36 | 23% |
| validation | SIDEWAYS | 206 | -29.7% | -1.48 | 21% |
| validation | UPTREND | 425 | 6.2% | 0.38 | 15% |
Trades (full period)
70 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -6.61% | 20 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.55% | 15 | |
| 2025-08-27 | 2025-09-15 | $349.60 | $410.04 | 9.26% | 13 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.44% | 9 | |
| 2025-06-03 | 2025-06-06 | $344.27 | $295.14 | -12.90% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.16% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.91% | 2 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -11.68% | 13 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.30% | 5 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.38% | 2 | |
| 2024-06-20 | 2024-07-08 | $181.57 | $252.94 | 26.03% | 12 | |
| 2023-11-30 | 2024-01-10 | $240.08 | $233.94 | -2.88% | 28 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.58% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.58% | 4 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.50% | 2 | |
| 2023-09-13 | 2023-09-22 | $271.30 | $244.88 | -3.44% | 8 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.04% | 2 | |
| 2023-06-23 | 2023-08-02 | $256.60 | $254.11 | -0.88% | 28 | |
| 2023-05-31 | 2023-06-12 | $203.93 | $249.83 | 15.61% | 9 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.24% | 2 | |
| 2023-03-01 | 2023-03-08 | $202.77 | $182.00 | -6.72% | 6 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -8.33% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.02% | 3 | |
| 2022-08-04 | 2022-08-29 | $308.63 | $284.82 | -4.78% | 18 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -3.38% | 26 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.79% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.72% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.89% | 6 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.14% | 2 | |
| 2021-08-04 | 2021-10-26 | $236.97 | $339.48 | 31.92% | 59 | |
| 2021-06-29 | 2021-07-26 | $226.92 | $219.21 | -5.07% | 19 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.67% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.37% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.18% | 2 | |
| 2021-04-16 | 2021-04-30 | $246.59 | $236.48 | -6.43% | 11 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.53% | 17 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.03% | 8 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -7.07% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.60% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.03% | 2 | |
| 2018-11-26 | 2018-12-19 | $23.07 | $22.20 | 2.52% | 17 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.58% | 15 | |
| 2017-12-14 | 2017-12-26 | $22.53 | $21.15 | -3.21% | 8 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.54% | 2 | |
| 2016-12-30 | 2017-01-25 | $14.25 | $16.96 | 13.53% | 17 | |
| 2016-10-05 | 2016-10-06 | $13.90 | $13.40 | -1.20% | 2 | |
| 2016-07-25 | 2016-08-23 | $15.33 | $14.99 | 0.11% | 22 | |
| 2016-03-29 | 2016-05-04 | $15.34 | $14.84 | 0.64% | 27 | |
| 2015-09-24 | 2015-09-29 | $17.54 | $16.44 | -3.78% | 4 | |
| 2015-04-30 | 2015-07-28 | $15.07 | $17.65 | 6.62% | 62 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.76% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.73% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-09-19 | 2014-09-23 | $17.29 | $16.69 | -4.08% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.82% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 3.89% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.50% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.27% | 3 | |
| 2014-05-27 | 2014-06-03 | $14.10 | $13.66 | -1.08% | 6 | |
| 2014-01-10 | 2014-01-14 | $9.71 | $10.75 | -4.32% | 3 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.05% | 2 | |
| 2013-03-28 | 2013-04-02 | $2.53 | $2.96 | 11.19% | 3 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.18% | 5 | |
| 2012-11-12 | 2013-01-11 | $2.07 | $2.19 | 7.81% | 42 | |
| 2012-09-20 | 2012-09-21 | $2.06 | $2.00 | -0.51% | 2 | |
| 2012-07-06 | 2012-07-20 | $2.07 | $2.12 | 2.46% | 11 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.82% | 4 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -3.83% | 35 |