Strategy Zoo / S0528
LongTermTrend_V0528
ARCHIVEDhybridllmReduce position size (base 0.8) and add volatility/drawdown scaling; add momentum and volatility filters to entry (macd_hist>0, rsi<75, vol_pctile<0.8) to avoid weak rallies; keep long-term trend check (price>200sma & slope>0) but allow strong 20d returns as alternate entry; strengthen exits to include 1d stop-loss, overbought rsi, and volatility spikes to limit deep drawdowns; restrict regimes to non-high-volatility and non-extreme bubble states.
Fitness
0.2019
Generation
24
Complexity
18
Created
2026-09-22
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.6
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0528 [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 > 0.05) and macd_hist > 0.0 and rsi_14 < 75.0 and cumret_252d > -0.6 and vol_pctile < 0.8):
position = 0.8
if long and (ret_20d < 0.03 or ret_1d < -0.06 or rsi_14 > 85.0 or vol_chg > 0.5):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.0% | 17.0% | -11.0% | -1.8% |
| Total Return | -27.8% | 60.1% | -35.0% | -23.0% |
| Sharpe | -0.18 | 0.94 | -0.58 | -0.02 |
| Sortino | -0.12 | 0.77 | -0.40 | -0.02 |
| Calmar | -0.08 | 0.91 | -0.28 | -0.04 |
| Volatility | 15.9% | 18.6% | 17.4% | 16.9% |
| Max DD | -48.2% | -18.7% | -39.4% | -48.2% |
| Win Rate | 45.5% | 50.0% | 36.5% | 44.0% |
| Avg Win | 3.0% | 4.4% | 3.1% | 3.4% |
| Avg Loss | -2.9% | -2.2% | -2.7% | -2.7% |
| Payoff | 1.05 | 1.98 | 1.14 | 1.25 |
| Expectancy | -0.2% | 1.1% | -0.6% | -0.0% |
| Profit Factor | 0.88 | 1.98 | 0.66 | 0.98 |
| Trades | 121 | 48 | 63 | 232 |
| Avg Holding Days | 4.0 | 4.4 | 4.1 | 4.1 |
| Turnover | 24.3 | 25.6 | 27.3 | 25.3 |
| Exposure | 14.7% | 17.5% | 16.7% | 15.8% |
Growth of $100
LongTermTrend_V0528 vs TSLA Buy & Hold
LongTermTrend_V0528 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 | -9.3% | -0.96 | -9.3% | 9 |
| 2017 | 13.5% | 1.00 | -9.2% | 24 |
| 2018 | -10.4% | -1.34 | -11.7% | 6 |
| 2019 | -2.5% | -0.02 | -22.6% | 6 |
| 2020 | 54.3% | 2.62 | -5.5% | 10 |
| 2021 | -11.2% | -0.53 | -18.7% | 24 |
| 2022 | 2.8% | 0.25 | -11.3% | 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 | 268 | -2.6% | -1.42 | 1% |
| hidden test | EXPENSIVE | 83 | 13.5% | 0.55 | 24% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.4% | -0.51 | 1% |
| hidden test | LOW VOLATILITY | 429 | 1.9% | 0.12 | 24% |
| hidden test | MEDIUM VOLATILITY | 249 | -34.6% | -1.48 | 20% |
| hidden test | NORMAL | 801 | -13.2% | -0.77 | 17% |
| hidden test | SIDEWAYS | 293 | -28.1% | -1.35 | 28% |
| hidden test | UPTREND | 371 | -1.3% | -0.07 | 19% |
| train | DOWNTREND | 518 | -7.2% | -1.32 | 1% |
| train | EXPENSIVE | 311 | 26.0% | 1.46 | 17% |
| train | EXTREME | 100 | 9.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.8% | 0.56 | 1% |
| train | LOW VOLATILITY | 745 | 9.4% | 0.66 | 25% |
| train | MEDIUM VOLATILITY | 568 | -33.0% | -1.82 | 18% |
| train | NORMAL | 1,601 | -9.2% | -0.58 | 15% |
| train | SIDEWAYS | 592 | -20.0% | -1.17 | 18% |
| train | UPTREND | 902 | 11.0% | 0.58 | 20% |
| validation | DOWNTREND | 125 | -0.8% | -2.67 | 1% |
| validation | EXPENSIVE | 138 | 67.4% | 2.89 | 25% |
| validation | EXTREME | 144 | 19.8% | 1.85 | 1% |
| validation | HIGH VOLATILITY | 258 | 0.9% | 0.06 | 1% |
| validation | LOW VOLATILITY | 183 | 1.4% | 0.10 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 40.2% | 1.75 | 23% |
| validation | NORMAL | 474 | 2.1% | 0.11 | 20% |
| validation | SIDEWAYS | 206 | 2.7% | 0.13 | 28% |
| validation | UPTREND | 425 | 29.9% | 1.48 | 17% |
Trades (full period)
latest 100 of 232
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-05-13 | 2026-06-08 | $445.27 | $408.95 | -7.96% | 18 | |
| 2026-05-08 | 2026-05-12 | $428.35 | $433.45 | 6.26% | 3 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.93% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.56% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2025-12-22 | 2026-01-05 | $488.73 | $451.67 | -7.36% | 9 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 2.60% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.29% | 2 | |
| 2025-12-11 | 2025-12-15 | $446.89 | $475.31 | 1.17% | 3 | |
| 2025-12-09 | 2025-12-10 | $445.17 | $451.45 | 0.86% | 2 | |
| 2025-12-05 | 2025-12-08 | $455.00 | $439.58 | -0.08% | 2 | |
| 2025-12-03 | 2025-12-04 | $446.74 | $454.53 | 3.10% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-19 | 2025-10-15 | $426.07 | $435.15 | 2.38% | 19 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 2.69% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.67% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-08-27 | 2025-09-08 | $349.60 | $346.40 | -0.32% | 8 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-11 | 2025-08-18 | $339.03 | $335.16 | 0.07% | 6 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -15.13% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -11.68% | 14 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-16 | 2024-09-18 | $226.78 | $227.20 | -1.00% | 3 | |
| 2024-09-04 | 2024-09-06 | $219.41 | $210.73 | 7.23% | 3 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-25 | 2024-07-01 | $187.35 | $209.86 | 6.51% | 5 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.67% | 3 | |
| 2023-12-22 | 2024-01-04 | $252.54 | $237.93 | -5.20% | 8 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.39% | 5 | |
| 2023-12-05 | 2023-12-14 | $238.72 | $251.05 | 1.10% | 8 | |
| 2023-11-16 | 2023-12-04 | $233.59 | $235.58 | -1.44% | 12 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.74% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.19% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.55% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.35% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.28% | 3 | |
| 2023-09-12 | 2023-09-27 | $267.48 | $240.50 | -8.82% | 12 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.08% | 2 | |
| 2023-07-06 | 2023-07-21 | $276.54 | $260.02 | -5.64% | 12 | |
| 2023-06-22 | 2023-06-27 | $264.61 | $250.21 | -5.83% | 4 | |
| 2023-05-31 | 2023-06-05 | $203.93 | $217.61 | 4.91% | 4 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.21% | 2 | |
| 2022-08-09 | 2022-08-29 | $283.33 | $284.82 | -0.74% | 15 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-03-24 | 2022-04-08 | $337.97 | $341.83 | 4.58% | 12 | |
| 2022-03-18 | 2022-03-23 | $301.80 | $333.04 | 10.97% | 4 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.08% | 2 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.26% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 1.28% | 2 | |
| 2022-02-18 | 2022-02-22 | $285.66 | $273.84 | -1.93% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.08% | 2 | |
| 2022-02-11 | 2022-02-14 | $286.67 | $291.92 | -4.10% | 2 | |
| 2022-02-09 | 2022-02-10 | $310.67 | $301.52 | 0.71% | 2 | |
| 2022-01-03 | 2022-01-04 | $399.93 | $383.20 | 10.66% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.33% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.56% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.74% | 2 | |
| 2021-10-04 | 2021-10-19 | $260.51 | $288.09 | 9.53% | 12 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.76% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.55% | 2 | |
| 2021-09-14 | 2021-09-20 | $248.16 | $243.39 | 1.61% | 5 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.15% | 5 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.35% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-28 | 2021-07-23 | $229.57 | $214.46 | -2.81% | 19 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-11 | 2021-06-21 | $203.30 | $206.94 | 1.58% | 7 | |
| 2021-06-03 | 2021-06-04 | $190.95 | $199.68 | -4.42% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.33% | 2 | |
| 2021-05-27 | 2021-05-28 | $210.28 | $208.41 | 1.35% | 2 | |
| 2021-04-16 | 2021-04-30 | $246.59 | $236.48 | -6.85% | 11 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.79% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.37% | 2 | |
| 2021-01-12 | 2021-02-01 | $283.15 | $279.94 | -1.83% | 14 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.11% | 2 |