Strategy Zoo / S0465
LongTermTrend_V0465
ARCHIVEDhybridllmBroadened and simplified entry criteria (allowed sideways trend, added 5-day confirmation and relaxed 20-day return threshold) to fix zero-validation trades; added RSI and cumulative-252d sanity checks to avoid extremes; improved exit with multi-condition rule (early exit on weak 20d returns, break below sma_50, or RSI overbought) to reduce drawdown; added regime gates to avoid high-volatility and extreme-bubble environments; reduced base_position from 1.0 to 0.6 to lower risk.
Fitness
0.2596
Generation
21
Complexity
16
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0465 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
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 ret_5d > 0.0 and rsi_14 < 75.0 and cumret_252d > -0.5):
position = 0.6
if long and (ret_20d < 0.02 or close < sma_50 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.1% | 14.2% | -3.8% | 1.9% |
| Total Return | 0.9% | 49.1% | -13.4% | 32.6% |
| Sharpe | 0.07 | 0.96 | -0.18 | 0.21 |
| Sortino | 0.06 | 0.93 | -0.14 | 0.17 |
| Calmar | 0.00 | 1.02 | -0.17 | 0.05 |
| Volatility | 13.1% | 15.0% | 15.1% | 14.0% |
| Max DD | -38.1% | -13.9% | -22.3% | -38.1% |
| Win Rate | 41.4% | 44.4% | 37.3% | 40.8% |
| Avg Win | 2.9% | 4.7% | 2.6% | 3.3% |
| Avg Loss | -1.9% | -1.9% | -1.8% | -1.9% |
| Payoff | 1.50 | 2.45 | 1.46 | 1.72 |
| Expectancy | 0.1% | 1.0% | -0.2% | 0.2% |
| Profit Factor | 1.06 | 1.96 | 0.87 | 1.18 |
| Trades | 111 | 45 | 67 | 223 |
| Avg Holding Days | 5.4 | 5.8 | 4.7 | 5.3 |
| Turnover | 16.8 | 18.0 | 21.8 | 18.2 |
| Exposure | 14.7% | 17.2% | 15.8% | 15.5% |
Growth of $100
LongTermTrend_V0465 vs TSLA Buy & Hold
LongTermTrend_V0465 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 | -1.5% | -0.15 | -7.3% | 6 |
| 2017 | 4.2% | 0.40 | -9.9% | 22 |
| 2018 | -7.4% | -1.15 | -8.4% | 7 |
| 2019 | -4.0% | -0.17 | -17.3% | 9 |
| 2020 | 38.7% | 2.29 | -6.2% | 8 |
| 2021 | 3.8% | 0.31 | -13.9% | 25 |
| 2022 | 1.3% | 0.17 | -9.6% | 12 |
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 | -2.3% | -1.44 | 0% |
| hidden test | EXPENSIVE | 83 | 24.7% | 1.08 | 30% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.4% | -0.47 | 1% |
| hidden test | LOW VOLATILITY | 429 | 15.5% | 1.13 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.5% | -1.60 | 20% |
| hidden test | NORMAL | 800 | -5.8% | -0.40 | 15% |
| hidden test | SIDEWAYS | 293 | -26.1% | -1.61 | 23% |
| hidden test | UPTREND | 371 | 15.4% | 0.81 | 21% |
| train | DOWNTREND | 518 | -6.4% | -1.41 | 1% |
| train | EXPENSIVE | 311 | 23.5% | 1.48 | 19% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.7% | 0.63 | 1% |
| train | LOW VOLATILITY | 745 | 9.5% | 0.76 | 26% |
| train | MEDIUM VOLATILITY | 568 | -18.5% | -1.26 | 17% |
| train | NORMAL | 1,601 | -3.8% | -0.29 | 15% |
| train | SIDEWAYS | 592 | -12.9% | -1.06 | 14% |
| train | UPTREND | 902 | 14.3% | 0.87 | 23% |
| validation | DOWNTREND | 125 | -0.1% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 70.2% | 3.23 | 26% |
| validation | EXTREME | 144 | 14.7% | 1.84 | 1% |
| validation | HIGH VOLATILITY | 258 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 4.2% | 0.31 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 32.2% | 1.55 | 23% |
| validation | NORMAL | 474 | -1.9% | -0.14 | 20% |
| validation | SIDEWAYS | 206 | -0.4% | -0.02 | 22% |
| validation | UPTREND | 425 | 25.9% | 1.56 | 20% |
Trades (full period)
latest 100 of 223
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -2.97% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.09% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.17% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -1.74% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.07% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.31% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.04% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.16% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.27% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.19% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.41% | 2 | |
| 2025-12-11 | 2026-01-05 | $446.89 | $451.67 | -1.80% | 16 | |
| 2025-12-08 | 2025-12-10 | $439.58 | $451.45 | -1.41% | 3 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 0.93% | 2 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.25% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.38% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -3.46% | 9 | |
| 2025-10-28 | 2025-10-30 | $460.55 | $440.10 | 1.08% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.16% | 2 | |
| 2025-10-20 | 2025-10-23 | $447.43 | $448.98 | -0.16% | 4 | |
| 2025-09-19 | 2025-10-15 | $426.07 | $435.15 | 1.91% | 19 | |
| 2025-08-25 | 2025-09-18 | $346.60 | $416.85 | 14.53% | 18 | |
| 2025-08-11 | 2025-08-18 | $339.03 | $335.16 | 0.06% | 6 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -11.41% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -2.93% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 0.97% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -5.15% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.39% | 3 | |
| 2024-06-25 | 2024-07-03 | $187.35 | $246.39 | 15.32% | 7 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.00% | 3 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -1.59% | 2 | |
| 2023-12-15 | 2024-01-04 | $253.50 | $237.93 | -3.08% | 13 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -1.92% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 3.55% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.14% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.31% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.26% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.46% | 4 | |
| 2023-10-02 | 2023-10-04 | $251.60 | $261.16 | -1.00% | 3 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-05 | 2023-09-07 | $256.49 | $251.49 | 1.59% | 3 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.16% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 4.49% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.11% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 0.82% | 2 | |
| 2023-08-04 | 2023-08-07 | $253.86 | $251.45 | -1.38% | 2 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -1.33% | 3 | |
| 2023-06-22 | 2023-07-21 | $264.61 | $260.02 | 0.98% | 21 | |
| 2023-05-31 | 2023-06-08 | $203.93 | $234.86 | 6.73% | 7 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.00% | 2 | |
| 2023-04-14 | 2023-04-17 | $185.00 | $187.04 | -0.41% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2023-03-01 | 2023-03-08 | $202.77 | $182.00 | -5.39% | 6 | |
| 2022-09-20 | 2022-09-22 | $308.73 | $288.59 | -1.72% | 3 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 0.83% | 2 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -1.82% | 20 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 2.74% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.54% | 2 | |
| 2022-03-18 | 2022-04-21 | $301.80 | $336.26 | 7.37% | 24 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -2.89% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.54% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.06% | 2 | |
| 2022-02-10 | 2022-02-11 | $301.52 | $286.67 | -1.89% | 2 | |
| 2022-02-04 | 2022-02-07 | $307.77 | $302.45 | 2.05% | 2 | |
| 2022-02-02 | 2022-02-03 | $301.89 | $297.05 | -1.77% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -0.99% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.42% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 3.34% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.10% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.02% | 4 | |
| 2021-09-14 | 2021-10-19 | $248.16 | $288.09 | 9.89% | 26 | |
| 2021-08-24 | 2021-09-13 | $236.16 | $247.67 | 2.43% | 14 | |
| 2021-08-03 | 2021-08-18 | $236.58 | $229.66 | -3.83% | 12 | |
| 2021-07-30 | 2021-08-02 | $229.07 | $236.56 | 0.75% | 2 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -1.29% | 2 | |
| 2021-06-23 | 2021-07-23 | $218.86 | $214.46 | 2.44% | 22 | |
| 2021-06-21 | 2021-06-22 | $206.94 | $207.90 | -0.36% | 2 | |
| 2021-06-17 | 2021-06-18 | $205.53 | $207.77 | 1.04% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -1.90% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.14% | 2 | |
| 2021-06-03 | 2021-06-04 | $190.95 | $199.68 | -3.32% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.25% | 2 | |
| 2021-05-27 | 2021-05-28 | $210.28 | $208.41 | 1.02% | 2 | |
| 2021-05-25 | 2021-05-26 | $201.56 | $206.38 | -0.29% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.89% | 13 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.09% | 2 |