Strategy Zoo / S0507
LongTermTrend_V0507
ARCHIVEDhybridllmSimplified and regularized entries (require modest 20d momentum + either 50-day trend or 20-day breakout). Added conservative exits (20d stop loss -10% or close back below 50 SMA). Introduced regime gates to avoid trading in high-volatility and bubble regimes. Reduced base size and added volatility-based scaling to limit drawdown and overfitting.
Fitness
0.1159
Generation
23
Complexity
13
Created
2026-09-22
Lineage
Parents (1)
removed entry condition: cumret_252d > -0.1997; changed ret_20d threshold -0.03 -> -0.1474
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0507 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and sma_50_slope > 0.0) or breakout_20 > 0.5) and ret_20d > 0.02):
position = 0.6
if long and (ret_20d < -0.1 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.9% | -0.3% | -2.7% | -1.8% |
| Total Return | -14.0% | -0.8% | -9.7% | -22.9% |
| Sharpe | -0.10 | 0.05 | -0.11 | -0.07 |
| Sortino | -0.06 | 0.03 | -0.07 | -0.05 |
| Calmar | -0.06 | -0.01 | -0.11 | -0.05 |
| Volatility | 11.9% | 14.1% | 14.7% | 13.1% |
| Max DD | -33.8% | -27.3% | -24.2% | -37.3% |
| Win Rate | 36.4% | 14.3% | 31.6% | 32.2% |
| Avg Win | 4.6% | 31.5% | 9.3% | 7.5% |
| Avg Loss | -3.2% | -4.6% | -4.7% | -3.9% |
| Payoff | 1.45 | 6.89 | 2.00 | 1.94 |
| Expectancy | -0.4% | 0.6% | -0.3% | -0.2% |
| Profit Factor | 0.83 | 1.15 | 0.92 | 0.92 |
| Trades | 33 | 7 | 19 | 59 |
| Avg Holding Days | 13.8 | 26.3 | 11.7 | 14.6 |
| Turnover | 5.0 | 2.8 | 6.2 | 4.8 |
| Exposure | 12.6% | 14.0% | 13.1% | 13.0% |
Growth of $100
LongTermTrend_V0507 vs TSLA Buy & Hold
LongTermTrend_V0507 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 | -9.7% | -1.10 | -15.3% | 5 |
| 2017 | 11.0% | 1.88 | -3.3% | 4 |
| 2018 | -11.0% | -1.10 | -11.6% | 3 |
| 2019 | 3.5% | 0.29 | -11.9% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 10.8% | 0.64 | -18.8% | 4 |
| 2022 | -10.5% | -0.63 | -22.4% | 3 |
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 | 268 | -2.2% | -1.40 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.5% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 429 | 16.4% | 1.17 | 20% |
| hidden test | MEDIUM VOLATILITY | 249 | -23.8% | -1.37 | 13% |
| hidden test | NORMAL | 801 | -4.6% | -0.30 | 15% |
| hidden test | SIDEWAYS | 293 | -23.6% | -1.40 | 20% |
| hidden test | UPTREND | 371 | 16.0% | 0.91 | 17% |
| train | DOWNTREND | 518 | -2.5% | -1.10 | 0% |
| train | EXPENSIVE | 311 | 7.5% | 1.78 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.6% | -0.14 | 1% |
| train | LOW VOLATILITY | 745 | 12.7% | 1.04 | 26% |
| train | MEDIUM VOLATILITY | 568 | -18.8% | -1.57 | 10% |
| train | NORMAL | 1,601 | -2.9% | -0.22 | 16% |
| train | SIDEWAYS | 592 | -13.6% | -1.17 | 11% |
| train | UPTREND | 902 | 7.7% | 0.51 | 20% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 13.2% | 0.93 | 34% |
| validation | MEDIUM VOLATILITY | 315 | -0.1% | -0.01 | 14% |
| validation | NORMAL | 474 | 1.2% | 0.07 | 22% |
| validation | SIDEWAYS | 206 | -12.7% | -0.74 | 21% |
| validation | UPTREND | 425 | 7.4% | 0.51 | 15% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.24% | 19 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 9.60% | 15 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -2.80% | 8 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -10.95% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -7.88% | 15 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 18.50% | 19 | |
| 2024-06-10 | 2024-06-12 | $173.79 | $177.29 | -2.43% | 3 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -2.87% | 29 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 15.53% | 45 | |
| 2023-03-31 | 2023-04-06 | $207.46 | $185.06 | -3.04% | 5 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -10.39% | 9 | |
| 2022-09-12 | 2022-09-26 | $304.42 | $276.01 | -4.98% | 11 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -4.39% | 23 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -1.49% | 27 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -5.91% | 4 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.83% | 8 | |
| 2021-06-24 | 2021-11-10 | $226.61 | $355.98 | 31.54% | 98 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -6.89% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 4.45% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.18% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2018-11-26 | 2018-12-21 | $23.07 | $21.32 | -1.88% | 19 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -6.05% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.49% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.10% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.76% | 2 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -2.72% | 25 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-03-28 | 2016-05-05 | $15.35 | $14.10 | -1.32% | 29 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -3.58% | 4 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -3.72% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 5.62% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.07% | 9 | |
| 2014-06-17 | 2014-09-23 | $15.44 | $16.69 | 6.97% | 69 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-03-14 | 2013-03-18 | $2.46 | $2.34 | -5.85% | 3 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -4.92% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.26% | 2 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 2.72% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.16% | 4 | |
| 2012-07-16 | 2012-07-24 | $2.40 | $1.99 | -6.42% | 7 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.18% | 38 |