LongTermTrend_V0390

ARCHIVEDhybrid

llmReplaced price-cross with SMA50>SMA200 and required positive SMA slopes to ensure trend alignment; relaxed ret_20d threshold to 3% but added breakout/volume OR gate to capture strong moves; added volatility percentile gate to avoid high-volatility environments; improved exit as an OR of negative MACD histogram, short-term loss, or deteriorating long-term slope; reduced base position to 0.6 to limit drawdown risk; set regime gates to trade only in UPTREND, LOW_VOLATILITY, NORMAL bubble.

Fitness

0.3946

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0359S0359 · gen 17ARCHIVEDllm

entry from LongTermTrend_V0323, exit from MACDMomentum_V0334

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0390  [hybrid]
if flat and (sma_50 > sma_200 and sma_200_slope > 0.0 and sma_50_slope > 0.0 and ret_20d > 0.03 and vol_pctile < 0.75 and (breakout_20 > 0.0 or ret_20d > 0.1 or rel_volume > 1.25)):
    position = 0.6
if long and (macd_hist < 0.0 or ret_5d < -0.03 or sma_200_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.4%	34.1%	-1.1%	7.9%
Total Return	30.2%	141.3%	-4.1%	206.8%
Sharpe	0.32	1.48	-0.12	0.61
Sortino	0.21	1.33	-0.04	0.40
Calmar	0.15	1.88	-0.08	0.35
Volatility	12.8%	21.4%	7.2%	14.0%
Max DD	-22.7%	-18.2%	-13.4%	-22.7%
Win Rate	34.5%	58.5%	45.5%	44.9%
Avg Win	4.8%	5.8%	2.1%	5.4%
Avg Loss	-1.8%	-2.2%	-2.4%	-2.0%
Payoff	2.64	2.63	0.88	2.71
Expectancy	0.5%	2.5%	-0.3%	1.3%
Profit Factor	1.40	3.72	0.74	2.20
Trades	55	41	11	107
Avg Holding Days	5.1	5.3	4.6	5.3
Turnover	8.3	16.4	3.6	8.7
Exposure	7.2%	14.1%	2.6%	7.4%

Growth of $100

LongTermTrend_V0390 vs TSLA Buy & Hold

LongTermTrend_V0390 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	0.3%	0.08	-9.1%	14
2018	-3.7%	-0.96	-4.6%	3
2019	5.4%	0.79	-4.1%	1
2020	108.3%	2.44	-15.0%	16
2021	39.3%	2.18	-5.6%	16
2022	-17.1%	-2.13	-18.1%	8

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	-22.3%	-1.64	13%
hidden test	EXTREME	48	33.1%	1.44	14%
hidden test	HIGH VOLATILITY	254	-0.9%	-0.16	1%
hidden test	LOW VOLATILITY	429	7.0%	1.07	3%
hidden test	MEDIUM VOLATILITY	248	-14.3%	-1.54	3%
hidden test	NORMAL	800	-0.7%	-0.22	1%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	-2.2%	-0.19	6%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	6.8%	0.36	23%
train	EXTREME	100	106.5%	2.82	26%
train	HIGH VOLATILITY	699	11.4%	0.63	6%
train	LOW VOLATILITY	745	2.2%	0.27	9%
train	MEDIUM VOLATILITY	568	-2.5%	-0.26	6%
train	NORMAL	1,601	-2.8%	-0.42	3%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	9.2%	0.48	16%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	31.9%	1.42	24%
validation	EXTREME	144	121.3%	3.14	26%
validation	HIGH VOLATILITY	258	28.4%	1.04	11%
validation	LOW VOLATILITY	183	23.4%	2.39	13%
validation	MEDIUM VOLATILITY	315	39.1%	1.86	17%
validation	NORMAL	474	4.3%	0.39	8%
validation	SIDEWAYS	206	-0.1%	-1.11	0%
validation	UPTREND	425	56.3%	1.98	25%

Trades (full period)

latest 100 of 107

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2025-12-30	$475.31	$454.43	0.06%	11
2025-11-04	2025-11-05	$444.26	$462.07	-3.21%	2
2025-10-29	2025-10-30	$461.51	$440.10	0.01%	2
2025-10-24	2025-10-27	$433.72	$452.42	-2.16%	2
2025-10-09	2025-10-10	$435.54	$413.49	-0.55%	2
2025-10-07	2025-10-08	$433.09	$438.69	-2.79%	2
2025-09-17	2025-10-06	$425.86	$453.25	1.18%	14
2024-12-27	2024-12-30	$431.66	$417.41	-3.09%	2
2024-12-24	2024-12-26	$462.28	$454.13	4.29%	2
2024-12-10	2024-12-23	$400.99	$430.60	4.86%	10
2024-10-07	2024-10-08	$240.83	$244.50	-2.34%	2
2022-04-19	2022-04-20	$342.72	$325.73	1.30%	2
2022-04-14	2022-04-18	$328.33	$334.76	-2.31%	2
2022-04-12	2022-04-13	$328.98	$340.79	0.56%	2
2022-04-08	2022-04-11	$341.83	$325.31	-1.92%	2
2022-04-05	2022-04-07	$363.75	$352.42	-5.38%	3
2022-01-18	2022-01-19	$343.50	$331.88	-1.21%	2
2022-01-12	2022-01-14	$368.74	$349.87	-1.90%	3
2022-01-04	2022-01-11	$383.20	$354.80	-7.29%	6
2021-11-22	2021-11-23	$385.62	$369.68	0.92%	2
2021-11-18	2021-11-19	$365.46	$379.02	0.29%	2
2021-11-16	2021-11-17	$351.58	$363.00	2.33%	2
2021-11-12	2021-11-15	$344.47	$337.80	-1.82%	2
2021-11-10	2021-11-11	$355.98	$354.50	2.48%	2
2021-10-13	2021-11-09	$270.36	$341.17	24.96%	20
2021-10-08	2021-10-11	$261.83	$263.98	-0.73%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.54%	9
2021-09-01	2021-09-21	$244.70	$246.46	-0.53%	14
2021-02-05	2021-02-08	$284.08	$287.81	0.04%	2
2021-02-03	2021-02-04	$284.90	$283.33	-1.36%	2
2021-02-01	2021-02-02	$279.94	$290.93	3.38%	2
2021-01-28	2021-01-29	$278.48	$264.51	-2.11%	2
2021-01-26	2021-01-27	$294.36	$288.05	0.04%	2
2021-01-20	2021-01-25	$283.48	$293.60	0.03%	4
2021-01-05	2021-01-19	$245.04	$281.52	7.88%	10
2020-12-31	2021-01-04	$235.22	$243.26	0.82%	2
2020-12-29	2020-12-30	$222.00	$231.59	0.09%	2
2020-12-24	2020-12-28	$220.59	$221.23	1.35%	2
2020-12-18	2020-12-23	$231.67	$215.33	-1.45%	4
2020-11-19	2020-12-17	$166.42	$218.63	16.23%	20
2020-10-22	2020-10-23	$141.93	$140.21	0.33%	2
2020-10-15	2020-10-20	$149.63	$140.65	-4.12%	4
2020-08-24	2020-09-04	$134.28	$139.44	-0.14%	10
2020-07-02	2020-07-27	$80.58	$102.64	15.78%	17
2020-06-30	2020-07-01	$71.99	$74.64	4.07%	2
2020-06-26	2020-06-29	$63.98	$67.29	-1.72%	2
2020-06-19	2020-06-25	$66.73	$65.73	-2.69%	5
2020-06-03	2020-06-18	$58.86	$66.93	7.47%	12
2020-06-01	2020-06-02	$59.87	$58.77	4.41%	2
2020-05-22	2020-05-26	$54.46	$54.59	-0.90%	2
2020-05-20	2020-05-21	$54.37	$55.17	0.44%	2
2019-12-13	2020-02-12	$23.89	$51.15	60.71%	41
2019-11-22	2019-11-25	$22.20	$22.42	-3.80%	2
2018-12-11	2018-12-18	$24.45	$22.47	-2.84%	6
2018-12-07	2018-12-10	$23.86	$24.34	-0.96%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.08%	2
2017-10-05	2017-10-06	$23.69	$23.79	-0.07%	2
2017-09-18	2017-09-25	$25.67	$23.00	-4.69%	6
2017-08-04	2017-08-22	$23.79	$22.76	-1.67%	13
2017-06-05	2017-06-27	$23.15	$24.16	6.46%	17
2017-05-11	2017-05-12	$21.54	$21.65	-0.51%	2
2017-05-08	2017-05-09	$20.48	$21.42	-0.35%	2
2017-05-02	2017-05-04	$21.26	$19.70	-2.32%	3
2017-04-28	2017-05-01	$20.94	$21.52	0.94%	2
2017-04-26	2017-04-27	$20.68	$20.58	-0.81%	2
2017-04-24	2017-04-25	$20.54	$20.92	0.36%	2
2017-04-20	2017-04-21	$20.17	$20.37	-0.71%	2
2017-03-28	2017-04-19	$18.50	$20.37	6.53%	16
2017-02-23	2017-02-24	$17.07	$17.13	-3.96%	2
2017-02-10	2017-02-22	$17.95	$18.23	1.74%	8
2015-08-06	2015-08-07	$16.41	$16.17	-5.45%	2
2015-07-20	2015-07-22	$18.82	$17.86	-1.80%	3
2014-09-02	2014-09-12	$18.94	$18.61	2.28%	9
2014-08-28	2014-08-29	$17.59	$17.98	0.02%	2
2014-08-26	2014-08-27	$17.45	$17.55	-0.30%	2
2014-08-05	2014-08-25	$15.90	$17.50	4.46%	15
2014-07-10	2014-07-11	$14.63	$14.54	-1.09%	2
2014-07-07	2014-07-08	$14.84	$14.60	-1.84%	2
2014-06-23	2014-07-03	$15.81	$15.28	-0.11%	9
2014-03-20	2014-03-21	$15.66	$15.26	-0.36%	2
2014-03-18	2014-03-19	$16.00	$15.72	1.43%	2
2014-03-14	2014-03-17	$15.40	$15.60	-1.84%	2
2014-03-12	2014-03-13	$16.10	$15.85	1.69%	2
2014-02-12	2014-03-11	$13.02	$15.63	12.68%	19
2014-01-24	2014-02-06	$11.64	$11.89	-2.38%	10
2013-10-16	2013-10-17	$12.24	$12.19	-0.24%	2
2013-10-09	2013-10-10	$11.25	$11.53	-2.16%	2
2013-10-07	2013-10-08	$12.20	$11.65	0.57%	2
2013-09-23	2013-10-04	$12.07	$12.07	-3.37%	10
2013-09-19	2013-09-20	$11.86	$12.23	4.10%	2
2013-09-17	2013-09-18	$11.08	$11.08	-0.25%	2
2013-09-13	2013-09-16	$11.04	$11.11	0.10%	2
2013-09-11	2013-09-12	$10.90	$11.00	-1.15%	2
2013-09-06	2013-09-10	$11.13	$11.09	-3.39%	3
2013-07-02	2013-07-17	$7.85	$8.02	-4.00%	11
2013-06-28	2013-07-01	$7.16	$7.81	-1.16%	2
2013-04-30	2013-06-04	$3.60	$6.32	38.79%	25
2013-03-26	2013-04-09	$2.52	$2.70	6.96%	10
2013-02-20	2013-02-21	$2.57	$2.34	-1.25%	2
2013-02-15	2013-02-19	$2.47	$2.62	-2.05%	2