Strategy Zoo / S0572
LongTermTrend_V0572
ARCHIVEDhybridllmAdded regime gates to avoid downtrends, high volatility, and bubble states; replaced single ret_20d gate with two entry branches (trend-follow using sma_50 + macd_hist and a breakout branch) and kept a cumulative return safety check; improved exits with short-term stop (ret_5d), drawdown limit, sma_50 breach and a tighter ret_20d exit; introduced volatility-based position scaling and reduced base position to 0.8 to lower risk and overfitting.
Fitness
0.1954
Generation
26
Complexity
20
Created
2026-09-23
Lineage
Parents (1)
entry = LongTermTrend_V0323 OR PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0572 [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 and macd_hist > 0.0 and ret_20d > 0.03) or (breakout_20 > 0.0 and ret_20d > 0.02)) and cumret_252d > -0.2 and vol_pctile < 0.8):
position = 0.8
if long and (ret_5d < -0.05 or drawdown < -0.08 or close < sma_50 or ret_20d < 0.02):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 5.8% | -1.4% | 0.6% |
| Total Return | -3.4% | 18.4% | -4.9% | 8.8% |
| Sharpe | 0.01 | 0.56 | -0.07 | 0.11 |
| Sortino | 0.00 | 0.26 | -0.03 | 0.05 |
| Calmar | -0.02 | 0.37 | -0.07 | 0.02 |
| Volatility | 10.1% | 11.3% | 11.3% | 10.6% |
| Max DD | -27.1% | -15.8% | -19.1% | -27.1% |
| Win Rate | 44.2% | 51.4% | 52.1% | 47.8% |
| Avg Win | 1.7% | 2.0% | 2.1% | 1.9% |
| Avg Loss | -1.4% | -1.0% | -2.4% | -1.6% |
| Payoff | 1.25 | 2.02 | 0.87 | 1.21 |
| Expectancy | -0.0% | 0.5% | -0.1% | 0.1% |
| Profit Factor | 0.99 | 2.14 | 0.95 | 1.10 |
| Trades | 95 | 35 | 48 | 178 |
| Avg Holding Days | 2.9 | 2.5 | 2.2 | 2.6 |
| Turnover | 19.0 | 18.7 | 20.7 | 19.4 |
| Exposure | 7.2% | 5.5% | 5.1% | 6.3% |
Growth of $100
LongTermTrend_V0572 vs TSLA Buy & Hold
LongTermTrend_V0572 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 | 3.1% | 0.52 | -4.4% | 15 |
| 2017 | 9.4% | 1.58 | -1.8% | 11 |
| 2018 | -8.6% | -1.25 | -8.8% | 7 |
| 2019 | 10.0% | 1.43 | -2.1% | 11 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.5% | 0.95 | -13.6% | 22 |
| 2022 | 0.8% | 0.18 | -4.0% | 13 |
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 | 269 | -1.7% | -1.01 | 0% |
| hidden test | EXPENSIVE | 83 | 33.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.5% | -0.78 | 1% |
| hidden test | LOW VOLATILITY | 429 | -2.8% | -0.24 | 8% |
| hidden test | MEDIUM VOLATILITY | 250 | 10.7% | 0.94 | 5% |
| hidden test | NORMAL | 802 | -4.3% | -0.39 | 6% |
| hidden test | SIDEWAYS | 293 | -8.6% | -0.90 | 6% |
| hidden test | UPTREND | 371 | 6.1% | 0.39 | 8% |
| train | DOWNTREND | 518 | -0.4% | -0.85 | 0% |
| train | EXPENSIVE | 311 | 6.6% | 1.30 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.1% | 0.39 | 0% |
| train | LOW VOLATILITY | 745 | 2.2% | 0.20 | 15% |
| train | MEDIUM VOLATILITY | 568 | -6.5% | -0.60 | 5% |
| train | NORMAL | 1,601 | -1.2% | -0.11 | 9% |
| train | SIDEWAYS | 592 | -5.8% | -0.61 | 7% |
| train | UPTREND | 902 | 4.2% | 0.32 | 11% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 12.8% | 1.52 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 15.4% | 1.11 | 6% |
| validation | NORMAL | 474 | 10.0% | 0.70 | 9% |
| validation | SIDEWAYS | 206 | 4.5% | 0.72 | 4% |
| validation | UPTREND | 425 | 9.0% | 0.62 | 8% |
Trades (full period)
latest 100 of 178
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2025-12-31 | $458.96 | $449.72 | 1.25% | 13 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 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 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.64% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 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 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 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 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.95% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.47% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.73% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.72% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.94% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.41% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.23% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 19.87% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.37% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.26% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.19% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.23% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 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 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.06% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.95% | 2 | |
| 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 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.40% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.52% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.15% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.08% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-10-23 | 2019-10-24 | $16.98 | $19.98 | -0.44% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.52% | 2 | |
| 2019-10-15 | 2019-10-16 | $17.19 | $17.32 | 0.13% | 2 | |
| 2019-09-23 | 2019-09-24 | $16.08 | $14.88 | 0.04% | 2 | |
| 2019-09-19 | 2019-09-20 | $16.44 | $16.04 | 0.86% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.49% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.38% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 3.76% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.29% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.37% | 10 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.30% | 2 | |
| 2018-01-30 | 2018-01-31 | $23.05 | $23.62 | -1.01% | 2 | |
| 2018-01-26 | 2018-01-29 | $22.86 | $23.30 | 1.07% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -1.72% | 2 |