Strategy Zoo / S0457
LongTermTrend_V0457
ARCHIVEDhybridllmAdded regime gates to require uptrend and avoid high-volatility/extreme-bubble regimes; tightened entry to combine 200-day trend OR moderate 20d momentum with RSI and volatility filters (reduce false breakouts); replaced single threshold exit with multi-condition exit (short-term stop, slowing 20d momentum, volatility spike); added position scaling to reduce size in high volatility. Aims to improve walk-forward robustness and reduce drawdowns/overfitting.
Fitness
0.1285
Generation
21
Complexity
15
Created
2026-09-19
Lineage
Parents (1)
removed entry condition: cumret_252d > -0.1997
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0457 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.03) and rsi_14 < 75.0 and vol_pctile < 0.8):
position = 1.0
if long and (ret_5d < -0.03 or ret_20d < 0.02 or vol_chg > 0.5):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.7% | 5.4% | -6.6% | -1.9% |
| Total Return | -19.7% | 17.2% | -22.3% | -24.8% |
| Sharpe | -0.06 | 0.33 | -0.22 | 0.01 |
| Sortino | -0.04 | 0.26 | -0.15 | 0.01 |
| Calmar | -0.07 | 0.14 | -0.16 | -0.03 |
| Volatility | 18.5% | 26.6% | 20.8% | 21.0% |
| Max DD | -39.9% | -37.6% | -42.2% | -56.7% |
| Win Rate | 45.5% | 52.1% | 42.9% | 46.2% |
| Avg Win | 3.0% | 4.4% | 3.3% | 3.4% |
| Avg Loss | -2.6% | -4.0% | -2.8% | -2.9% |
| Payoff | 1.16 | 1.10 | 1.15 | 1.17 |
| Expectancy | -0.0% | 0.4% | -0.2% | 0.0% |
| Profit Factor | 0.97 | 1.20 | 0.86 | 1.01 |
| Trades | 187 | 73 | 84 | 344 |
| Avg Holding Days | 3.0 | 3.0 | 2.6 | 2.9 |
| Turnover | 47.0 | 48.7 | 45.5 | 46.9 |
| Exposure | 18.4% | 19.6% | 14.6% | 17.7% |
Growth of $100
LongTermTrend_V0457 vs TSLA Buy & Hold
LongTermTrend_V0457 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 | -5.8% | -0.62 | -8.8% | 12 |
| 2017 | 17.3% | 0.82 | -18.2% | 38 |
| 2018 | -16.7% | -1.45 | -16.6% | 6 |
| 2019 | -1.0% | -0.04 | -11.9% | 9 |
| 2020 | 47.9% | 1.88 | -20.6% | 22 |
| 2021 | -2.0% | 0.10 | -27.1% | 36 |
| 2022 | -31.1% | -1.92 | -33.6% | 13 |
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 | -4.8% | -0.14 | 46% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.2% | -0.45 | 1% |
| hidden test | LOW VOLATILITY | 429 | 8.3% | 0.47 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | -24.5% | -0.85 | 25% |
| hidden test | NORMAL | 800 | -4.9% | -0.25 | 12% |
| hidden test | SIDEWAYS | 293 | -24.7% | -1.66 | 3% |
| hidden test | UPTREND | 371 | 7.8% | 0.26 | 34% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 31.5% | 1.13 | 33% |
| train | EXTREME | 100 | 11.4% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.2% | 0.37 | 2% |
| train | LOW VOLATILITY | 745 | 9.8% | 0.54 | 31% |
| train | MEDIUM VOLATILITY | 568 | -24.1% | -1.16 | 23% |
| train | NORMAL | 1,601 | -8.1% | -0.49 | 17% |
| train | SIDEWAYS | 592 | -8.4% | -1.03 | 2% |
| train | UPTREND | 902 | 3.2% | 0.12 | 40% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 43.3% | 1.38 | 42% |
| validation | EXTREME | 144 | 30.4% | 2.15 | 2% |
| validation | HIGH VOLATILITY | 258 | 23.6% | 0.89 | 2% |
| validation | LOW VOLATILITY | 183 | 15.7% | 0.80 | 33% |
| validation | MEDIUM VOLATILITY | 315 | -7.3% | -0.24 | 26% |
| validation | NORMAL | 474 | -7.8% | -0.28 | 18% |
| validation | SIDEWAYS | 206 | -27.2% | -1.73 | 2% |
| validation | UPTREND | 425 | 28.8% | 0.85 | 34% |
Trades (full period)
latest 100 of 344
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-22 | 2025-12-30 | $488.73 | $454.43 | -4.67% | 6 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-11 | 2025-12-15 | $446.89 | $475.31 | 1.46% | 3 | |
| 2025-12-09 | 2025-12-10 | $445.17 | $451.45 | 1.07% | 2 | |
| 2025-12-05 | 2025-12-08 | $455.00 | $439.58 | -0.10% | 2 | |
| 2025-12-03 | 2025-12-04 | $446.74 | $454.53 | 3.87% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.51% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 6.62% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -2.37% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -2.07% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-10-31 | 2025-11-05 | $456.56 | $462.07 | 0.75% | 4 | |
| 2025-10-28 | 2025-10-30 | $460.55 | $440.10 | 1.81% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-16 | 2025-10-23 | $428.75 | $448.98 | 0.67% | 6 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -5.26% | 2 | |
| 2025-09-19 | 2025-10-09 | $426.07 | $435.54 | 5.03% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-05-28 | 2025-06-04 | $356.90 | $332.05 | -5.32% | 6 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 1.21% | 3 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-25 | 2024-09-27 | $257.02 | $260.46 | -0.22% | 3 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-03 | 2024-09-06 | $210.60 | $210.73 | 7.28% | 4 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 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 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.26% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 7.48% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -2.21% | 3 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -3.53% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 7.61% | 10 | |
| 2023-06-22 | 2023-06-27 | $264.61 | $250.21 | -7.28% | 4 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2022-09-20 | 2022-09-22 | $308.73 | $288.59 | -2.87% | 3 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.38% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 4.57% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.89% | 3 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -8.89% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2022-01-03 | 2022-01-04 | $399.93 | $383.20 | 13.32% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 |