LongTermTrend_V0576

ARCHIVEDhybrid

llmReplaced duplicate ret_20d gates with a concise momentum + trend filter (sma_50>sma_200, positive sma_50_slope, ret_20d>3%); added longer-term drawdown sanity check. Introduced regime gates to trade only in UPTREND and non-high volatility, and only in NORMAL bubble. Improved exits: combine weak short-term momentum, break of sma_50, negative slope, and large drawdown. Added volatility-based position scaling (lower size in high vol) and reduced base position to 0.8 to lower risk and drawdown.

Fitness

0.0936

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

LongTermTrend_V0454S0454 · gen 21ARCHIVEDllm

entry = LongTermTrend_V0323 OR PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0576  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (sma_50 > sma_200 and sma_50_slope > 0.0 and ret_20d > 0.03 and cumret_252d > -0.2):
    position = 0.8
if long and (ret_20d < 0.02 or close < sma_50 or sma_50_slope < 0.0 or drawdown > 0.15):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.2%	1.8%	-5.8%	-2.3%
Total Return	-16.3%	5.5%	-19.9%	-29.4%
Sharpe	-0.18	0.20	-0.51	-0.17
Sortino	-0.07	0.08	-0.17	-0.06
Calmar	-0.09	0.06	-0.21	-0.05
Volatility	9.8%	12.8%	10.6%	10.7%
Max DD	-25.4%	-29.7%	-28.1%	-43.6%
Win Rate	31.6%	33.3%	27.3%	30.6%
Avg Win	4.6%	16.3%	2.5%	6.1%
Avg Loss	-3.3%	-5.6%	-3.6%	-3.8%
Payoff	1.39	2.90	0.69	1.63
Expectancy	-0.8%	1.7%	-1.9%	-0.7%
Profit Factor	0.64	1.45	0.26	0.72
Trades	19	6	11	36
Avg Holding Days	8.6	11.7	5.9	8.3
Turnover	3.8	3.2	4.8	3.9
Exposure	5.7%	6.8%	4.6%	5.7%

Growth of $100

LongTermTrend_V0576 vs TSLA Buy & Hold

LongTermTrend_V0576 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%	-0.42	-3.1%	1
2017	-0.3%	-0.23	-0.9%	1
2018	-2.4%	-0.42	-6.1%	1
2019	-0.4%	-0.02	-5.2%	3
2020	0.0%	0.00	0.0%	0
2021	16.3%	0.86	-22.3%	4
2022	-9.4%	-0.95	-12.1%	2

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-0.9%	-0.11	1%
hidden test	LOW VOLATILITY	429	-2.0%	-0.21	7%
hidden test	MEDIUM VOLATILITY	250	-16.0%	-1.18	5%
hidden test	NORMAL	802	-6.3%	-0.55	5%
hidden test	SIDEWAYS	293	-1.6%	-0.59	1%
hidden test	UPTREND	371	-12.4%	-0.75	11%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	5.6%	1.17	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.9%	0.22	0%
train	LOW VOLATILITY	745	0.3%	0.03	13%
train	MEDIUM VOLATILITY	568	-9.1%	-1.06	2%
train	NORMAL	1,601	-3.3%	-0.30	7%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	-3.9%	-0.27	13%
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	-6.5%	-0.66	1%
validation	LOW VOLATILITY	183	22.6%	2.51	16%
validation	MEDIUM VOLATILITY	315	-1.6%	-0.10	7%
validation	NORMAL	474	4.1%	0.26	11%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	4.6%	0.27	12%

Trades (full period)

36 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-12	2026-01-05	$458.96	$451.67	-1.67%	15
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-07-08	2025-07-09	$297.81	$295.88	0.89%	2
2024-10-03	2024-10-14	$240.66	$219.16	-10.21%	8
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-09-03	2024-09-04	$210.60	$219.41	-1.47%	2
2024-01-03	2024-01-04	$238.45	$237.93	-3.37%	2
2023-07-31	2023-08-02	$267.43	$254.11	-1.77%	3
2023-07-25	2023-07-28	$265.28	$266.44	-4.13%	4
2023-06-26	2023-07-21	$241.05	$260.02	1.99%	19
2022-04-05	2022-04-21	$363.75	$336.26	-11.98%	12
2022-01-12	2022-01-13	$368.74	$343.85	2.98%	2
2021-12-09	2021-12-10	$334.60	$339.01	-5.03%	2
2021-11-23	2021-11-29	$369.68	$379.00	-5.35%	4
2021-09-14	2021-11-10	$248.16	$355.98	29.55%	42
2021-09-01	2021-09-13	$244.70	$247.67	-0.09%	8
2019-12-13	2019-12-17	$23.89	$25.27	4.69%	3
2019-11-27	2019-12-06	$22.09	$22.39	0.20%	7
2019-11-22	2019-11-25	$22.20	$22.42	-5.07%	2
2018-12-04	2018-12-18	$23.98	$22.47	-2.37%	10
2017-02-01	2017-02-03	$16.62	$16.76	-0.28%	3
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-07-13	2015-07-23	$17.48	$17.81	2.56%	9
2015-06-18	2015-07-09	$17.46	$17.19	-1.77%	15
2015-06-10	2015-06-16	$16.71	$16.87	-1.92%	5
2014-09-19	2014-09-22	$17.29	$16.67	-1.52%	2
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-23	2014-07-16	$15.81	$14.48	-3.59%	17
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-15	2013-02-22	$2.47	$2.41	-6.61%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-21	2012-12-28	$2.27	$2.21	-1.88%	5
2012-03-27	2012-04-10	$2.53	$2.16	-9.26%	10
2012-02-23	2012-03-20	$2.30	$2.33	1.66%	19