Strategy Zoo / S0522
LongTermTrend_V0522
ARCHIVEDhybridllmSimplified and strengthened entry: require price above sma_50 with positive sma_50_slope and 20d momentum OR a controlled breakout with moderate vol_pctile and not too close to 52w high. Added multi-condition exit: negative 20d return, cross below sma_50 with weakening MACD histogram, or extreme drawdown. Added regime gates: only trade in UPTREND, avoid HIGH_VOLATILITY and expensive bubble states. Reduced base position to 0.9 to limit sizing risk.
Fitness
0.1091
Generation
24
Complexity
21
Created
2026-09-22
Lineage
Parents (1)
entry = LongTermTrend_V0323 OR PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0522 [hybrid]
require regime.trend in ['UPTREND']
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) and ret_20d > 0.04) and dist_52w_high < 0.5) or (breakout_20 > 0.5 and vol_pctile < 0.8 and dist_52w_high < 0.6)):
position = 0.9
if long and (ret_20d < 0.0 or (close < sma_50 and macd_hist < 0.0) or drawdown > 0.2):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | -3.6% | -2.3% | -1.4% |
| Total Return | -0.9% | -10.5% | -8.2% | -18.6% |
| Sharpe | 0.05 | -0.15 | -0.04 | -0.02 |
| Sortino | 0.03 | -0.07 | -0.02 | -0.01 |
| Calmar | -0.00 | -0.08 | -0.07 | -0.03 |
| Volatility | 12.4% | 16.0% | 17.4% | 14.5% |
| Max DD | -24.6% | -43.4% | -33.2% | -48.0% |
| Win Rate | 48.0% | 11.1% | 43.8% | 40.0% |
| Avg Win | 4.6% | 39.7% | 8.1% | 7.6% |
| Avg Loss | -4.0% | -5.4% | -6.5% | -5.1% |
| Payoff | 1.15 | 7.43 | 1.25 | 1.48 |
| Expectancy | 0.1% | -0.3% | -0.1% | -0.0% |
| Profit Factor | 1.06 | 0.93 | 0.97 | 0.99 |
| Trades | 25 | 9 | 16 | 50 |
| Avg Holding Days | 11.2 | 11.4 | 6.4 | 9.7 |
| Turnover | 5.6 | 5.4 | 7.8 | 6.1 |
| Exposure | 11.4% | 11.2% | 8.4% | 10.6% |
Growth of $100
LongTermTrend_V0522 vs TSLA Buy & Hold
LongTermTrend_V0522 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 | -2.9% | -0.27 | -9.1% | 3 |
| 2017 | 13.4% | 2.26 | -1.0% | 3 |
| 2018 | -5.1% | -0.62 | -6.9% | 2 |
| 2019 | 5.1% | 0.58 | -8.0% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 25.1% | 1.05 | -20.9% | 4 |
| 2022 | -28.6% | -2.42 | -28.5% | 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 | 268 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 38.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -28.5% | -1.48 | 2% |
| hidden test | LOW VOLATILITY | 429 | 11.2% | 0.77 | 12% |
| hidden test | MEDIUM VOLATILITY | 249 | 6.9% | 0.35 | 9% |
| hidden test | NORMAL | 801 | -4.8% | -0.27 | 10% |
| hidden test | SIDEWAYS | 293 | -18.3% | -1.35 | 2% |
| hidden test | UPTREND | 371 | 12.5% | 0.51 | 20% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.7% | 1.60 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.2% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 8.3% | 0.56 | 25% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.99 | 7% |
| train | NORMAL | 1,601 | -1.1% | -0.08 | 14% |
| train | SIDEWAYS | 592 | -4.8% | -1.23 | 1% |
| train | UPTREND | 902 | 4.6% | 0.25 | 25% |
| 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 | -10.6% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 11.5% | 0.75 | 30% |
| validation | MEDIUM VOLATILITY | 315 | -3.8% | -0.20 | 9% |
| validation | NORMAL | 474 | -3.9% | -0.19 | 18% |
| validation | SIDEWAYS | 206 | -17.8% | -1.97 | 2% |
| validation | UPTREND | 425 | 4.3% | 0.21 | 19% |
Trades (full period)
50 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.91% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.24% | 14 | |
| 2025-12-08 | 2025-12-10 | $439.58 | $451.45 | -2.12% | 3 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.43% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -16.25% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.40% | 4 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -11.47% | 8 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.34% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.15% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 13.19% | 8 | |
| 2024-01-03 | 2024-01-05 | $238.45 | $237.49 | -3.98% | 3 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -4.64% | 4 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 22.50% | 35 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.14% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.44% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.86% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.14% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -13.43% | 12 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.66% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.10% | 6 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 39.73% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.04% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 6.59% | 17 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.39% | 2 | |
| 2018-11-27 | 2018-12-18 | $22.93 | $22.47 | 0.48% | 15 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.56% | 4 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.23% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.15% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 10.70% | 14 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -1.90% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.05% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.03% | 21 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -8.17% | 2 | |
| 2015-07-14 | 2015-07-27 | $17.71 | $16.87 | 0.96% | 10 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 6.82% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.90% | 3 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 7.81% | 31 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.07% | 17 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 15.13% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -7.46% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.46% | 5 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -3.26% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.99% | 16 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -10.40% | 10 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.33% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.39% | 2 |