Strategy Zoo / S0461
LongTermTrend_V0461
ARCHIVEDhybridllmAdded regime gates to restrict entries to uptrends/normal-medium volatility; reduced base position to 0.8 and added volatility-based scaling (cut to 0.4 in high vol, full size in low vol); removed duplicate ret_20d check and tightened ret_20d threshold; added RSI and 20-day breakout filters to avoid overbought/weak setups; improved exits with a sharper short-term return stop, a hard drawdown stop, and an RSI-based exit.
Fitness
0.1179
Generation
21
Complexity
16
Created
2026-09-19
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.6
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0461 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.04) and cumret_252d > -0.5 and rsi_14 < 80.0 and breakout_20 > 0.0):
position = 0.8
if long and (ret_20d < 0.02 or drawdown < -0.12 or rsi_14 > 85.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.0% | 0.2% | -0.7% | -1.2% |
| Total Return | -15.1% | 0.6% | -2.4% | -16.6% |
| Sharpe | -0.24 | 0.06 | -0.04 | -0.12 |
| Sortino | -0.08 | 0.02 | -0.01 | -0.04 |
| Calmar | -0.11 | 0.01 | -0.05 | -0.06 |
| Volatility | 7.4% | 8.3% | 8.3% | 7.8% |
| Max DD | -19.2% | -13.3% | -14.2% | -20.5% |
| Win Rate | 42.3% | 23.1% | 53.8% | 40.4% |
| Avg Win | 2.1% | 7.8% | 2.8% | 3.1% |
| Avg Loss | -2.5% | -2.0% | -3.5% | -2.5% |
| Payoff | 0.82 | 3.89 | 0.80 | 1.23 |
| Expectancy | -0.6% | 0.3% | -0.1% | -0.3% |
| Profit Factor | 0.60 | 1.17 | 0.93 | 0.83 |
| Trades | 26 | 13 | 13 | 52 |
| Avg Holding Days | 5.4 | 3.2 | 3.0 | 4.2 |
| Turnover | 5.2 | 6.9 | 5.6 | 5.7 |
| Exposure | 4.5% | 3.0% | 2.2% | 3.6% |
Growth of $100
LongTermTrend_V0461 vs TSLA Buy & Hold
LongTermTrend_V0461 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 | 2.8% | 0.52 | -4.7% | 4 |
| 2017 | 4.4% | 1.37 | -1.0% | 6 |
| 2018 | -7.2% | -1.18 | -7.2% | 2 |
| 2019 | 4.7% | 0.91 | -0.4% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 15.9% | 1.27 | -6.7% | 9 |
| 2022 | -13.2% | -1.87 | -13.2% | 4 |
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 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.0% | -1.43 | 1% |
| hidden test | LOW VOLATILITY | 429 | 2.6% | 0.34 | 4% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.5% | 0.89 | 2% |
| hidden test | NORMAL | 800 | -2.2% | -0.26 | 3% |
| hidden test | SIDEWAYS | 293 | -6.1% | -1.07 | 1% |
| hidden test | UPTREND | 371 | 4.0% | 0.33 | 5% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 5.7% | 1.13 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 0.9% | 0.09 | 10% |
| train | MEDIUM VOLATILITY | 568 | -7.5% | -0.93 | 3% |
| train | NORMAL | 1,601 | -3.3% | -0.42 | 6% |
| train | SIDEWAYS | 592 | -3.8% | -1.11 | 1% |
| train | UPTREND | 902 | -1.5% | -0.14 | 10% |
| 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 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 7.1% | 0.89 | 10% |
| validation | MEDIUM VOLATILITY | 315 | -2.9% | -0.25 | 1% |
| validation | NORMAL | 474 | 0.8% | 0.08 | 5% |
| validation | SIDEWAYS | 206 | -6.7% | -1.12 | 0% |
| validation | UPTREND | 425 | 4.2% | 0.41 | 5% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-12-08 | 2025-12-10 | $439.58 | $451.45 | -1.88% | 3 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.03% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.21% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2021-10-08 | 2021-10-26 | $261.83 | $339.48 | 22.68% | 13 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.04% | 5 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.37% | 10 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.21% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.65% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.89% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 1.29% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.33% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 0.87% | 5 | |
| 2015-07-21 | 2015-07-23 | $17.78 | $17.81 | -4.23% | 3 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -1.77% | 15 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -1.90% | 3 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.37% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.19% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.59% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 7.00% | 31 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -5.07% | 10 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -9.26% | 10 | |
| 2012-03-13 | 2012-03-20 | $2.41 | $2.33 | -2.45% | 6 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |