Strategy Zoo / S0394
LongTermTrend_V0394
ARCHIVEDhybridllmRemoved redundant duplicate ret_20d clause; added volatility and breakout/volume filters to avoid entries during very noisy conditions; required price > sma_50 for short-term confirmation; introduced regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to limit trading to favorable regimes; improved exit with additional fast failure rules (close under sma_50 or sharp 1d drop) to reduce drawdowns; added a volatility-based position scaling rule to reduce exposure when volatility is high.
Fitness
0.4844
Generation
18
Complexity
17
Created
2026-09-18
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from MACDMomentum_V0334
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0394 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997 and vol_pctile < 0.7 and (breakout_20 > 0.0 or rel_volume > 1.5) and dist_sma_50 > 0.0):
position = 1.0
if long and (macd_hist < 0.0 or dist_sma_50 < 0.0 or ret_1d < -0.03):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.8% | 67.6% | 13.1% | 13.5% |
| Total Return | -13.8% | 370.6% | 57.8% | 540.6% |
| Sharpe | -0.02 | 1.75 | 0.75 | 0.69 |
| Sortino | -0.01 | 1.37 | 0.43 | 0.44 |
| Calmar | -0.06 | 3.65 | 0.76 | 0.42 |
| Volatility | 17.5% | 32.5% | 18.8% | 21.7% |
| Max DD | -32.4% | -18.5% | -17.3% | -32.4% |
| Win Rate | 42.6% | 56.0% | 38.1% | 45.0% |
| Avg Win | 5.1% | 15.0% | 13.1% | 9.6% |
| Avg Loss | -4.0% | -2.8% | -3.7% | -3.7% |
| Payoff | 1.29 | 5.37 | 3.55 | 2.63 |
| Expectancy | -0.1% | 7.2% | 2.7% | 2.3% |
| Profit Factor | 0.96 | 6.84 | 2.19 | 2.15 |
| Trades | 54 | 25 | 21 | 100 |
| Avg Holding Days | 7.2 | 6.5 | 6.5 | 6.9 |
| Turnover | 13.5 | 16.7 | 11.4 | 13.6 |
| Exposure | 16.7% | 18.3% | 12.5% | 16.0% |
Growth of $100
LongTermTrend_V0394 vs TSLA Buy & Hold
LongTermTrend_V0394 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 | 14.0% | 1.10 | -7.0% | 4 |
| 2017 | 7.2% | 0.45 | -15.1% | 13 |
| 2018 | -10.6% | -1.12 | -15.0% | 4 |
| 2019 | -2.6% | -0.09 | -14.7% | 3 |
| 2020 | 200.3% | 2.59 | -18.5% | 10 |
| 2021 | 37.2% | 1.37 | -17.9% | 10 |
| 2022 | 10.0% | 0.63 | -9.5% | 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 | -14.1% | -1.94 | 2% |
| hidden test | EXPENSIVE | 83 | 64.7% | 2.40 | 25% |
| hidden test | EXTREME | 48 | 67.6% | 2.17 | 15% |
| hidden test | HIGH VOLATILITY | 254 | -2.9% | -0.19 | 2% |
| hidden test | LOW VOLATILITY | 429 | 32.9% | 1.80 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | -0.9% | -0.04 | 15% |
| hidden test | NORMAL | 800 | 5.7% | 0.34 | 11% |
| hidden test | SIDEWAYS | 293 | 2.8% | 0.18 | 18% |
| hidden test | UPTREND | 371 | 43.4% | 1.70 | 16% |
| train | DOWNTREND | 518 | 1.4% | 0.22 | 3% |
| train | EXPENSIVE | 311 | 4.7% | 0.17 | 29% |
| train | EXTREME | 100 | 25.4% | 1.13 | 24% |
| train | HIGH VOLATILITY | 699 | -15.0% | -0.83 | 5% |
| train | LOW VOLATILITY | 745 | 18.4% | 1.12 | 30% |
| train | MEDIUM VOLATILITY | 568 | -6.8% | -0.38 | 14% |
| train | NORMAL | 1,601 | -2.9% | -0.20 | 14% |
| train | SIDEWAYS | 592 | -6.7% | -0.40 | 15% |
| train | UPTREND | 902 | 2.9% | 0.13 | 26% |
| validation | DOWNTREND | 125 | 5.9% | 0.57 | 4% |
| validation | EXPENSIVE | 138 | 58.6% | 1.85 | 18% |
| validation | EXTREME | 144 | 181.7% | 3.22 | 22% |
| validation | HIGH VOLATILITY | 258 | 63.2% | 1.61 | 7% |
| validation | LOW VOLATILITY | 183 | 15.9% | 0.99 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 75.3% | 2.25 | 22% |
| validation | NORMAL | 474 | 18.3% | 0.91 | 17% |
| validation | SIDEWAYS | 206 | 11.4% | 0.67 | 12% |
| validation | UPTREND | 425 | 93.7% | 2.28 | 25% |
Trades (full period)
100 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 2.34% | 7 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-15 | 2025-12-18 | $475.31 | $483.37 | 1.61% | 4 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.82% | 4 | |
| 2025-09-12 | 2025-09-26 | $395.94 | $440.40 | 14.58% | 11 | |
| 2025-08-26 | 2025-09-02 | $351.67 | $329.36 | -3.86% | 5 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-05-12 | 2025-06-02 | $318.38 | $342.69 | 15.94% | 15 | |
| 2024-12-10 | 2024-12-19 | $400.99 | $436.17 | 12.69% | 8 | |
| 2024-09-24 | 2024-10-03 | $254.27 | $240.66 | -0.59% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 22.50% | 11 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -3.23% | 6 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-05-30 | 2023-06-22 | $201.16 | $264.61 | 34.05% | 17 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-28 | 2022-08-08 | $280.90 | $290.42 | 4.65% | 8 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-03-22 | 2022-04-06 | $331.33 | $348.59 | 18.24% | 12 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-04 | 2021-11-09 | $409.97 | $341.17 | -4.39% | 4 | |
| 2021-10-13 | 2021-11-03 | $270.36 | $404.62 | 45.17% | 16 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -3.51% | 10 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-04 | 2021-01-12 | $243.26 | $283.15 | 14.73% | 7 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-12-04 | 2020-12-10 | $199.68 | $209.02 | 1.67% | 5 | |
| 2020-11-19 | 2020-12-01 | $166.42 | $194.92 | 16.41% | 8 | |
| 2020-08-27 | 2020-09-02 | $149.25 | $149.12 | 10.10% | 5 | |
| 2020-07-01 | 2020-07-14 | $74.64 | $101.12 | 38.37% | 9 | |
| 2020-06-09 | 2020-06-12 | $62.71 | $62.35 | 2.21% | 4 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-01-22 | 2020-02-06 | $37.97 | $49.93 | 34.00% | 12 | |
| 2020-01-06 | 2020-01-16 | $30.10 | $34.23 | 16.81% | 9 | |
| 2019-12-17 | 2019-12-31 | $25.27 | $27.89 | 8.48% | 10 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-07-16 | 2019-07-26 | $16.83 | $15.20 | -9.92% | 9 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | 1.19% | 11 | |
| 2017-06-14 | 2017-06-27 | $25.38 | $24.16 | 0.21% | 10 | |
| 2017-06-06 | 2017-06-12 | $23.52 | $23.93 | 2.68% | 5 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.17% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-03-28 | 2017-04-13 | $18.50 | $20.27 | 9.63% | 13 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-09 | 2017-02-17 | $17.95 | $18.15 | 2.42% | 7 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 19.13% | 29 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-04-01 | 2016-04-08 | $15.84 | $16.67 | 11.72% | 6 | |
| 2016-03-15 | 2016-03-24 | $14.56 | $15.18 | 3.25% | 8 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-06 | 2015-07-08 | $18.65 | $17.00 | -4.53% | 3 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.46% | 2 | |
| 2015-04-13 | 2015-05-22 | $13.99 | $16.52 | 16.23% | 30 | |
| 2014-11-12 | 2014-11-20 | $16.61 | $16.58 | -1.53% | 7 | |
| 2014-09-02 | 2014-09-08 | $18.94 | $18.81 | 2.65% | 5 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.51% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 7.44% | 15 | |
| 2014-06-17 | 2014-07-03 | $15.44 | $15.28 | 1.94% | 13 | |
| 2014-03-05 | 2014-03-11 | $16.84 | $15.63 | -6.47% | 5 | |
| 2014-02-21 | 2014-03-03 | $13.97 | $16.70 | 16.36% | 7 | |
| 2014-02-14 | 2014-02-20 | $13.22 | $14.00 | -3.20% | 4 | |
| 2014-01-24 | 2014-01-27 | $11.64 | $11.31 | -4.00% | 2 | |
| 2013-09-20 | 2013-10-03 | $12.23 | $11.55 | 1.50% | 10 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.83% | 7 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -2.08% | 2 | |
| 2013-01-29 | 2013-02-14 | $2.53 | $2.55 | 0.90% | 13 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 6.11% | 22 | |
| 2012-11-06 | 2012-11-12 | $2.08 | $2.07 | -3.94% | 5 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-06-25 | 2012-06-27 | $2.21 | $2.13 | -6.64% | 3 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.73% | 10 |