Strategy Zoo / S0589
LongTermTrend_V0589
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-bubble environments; require stronger multi-horizon trend (sma_200 or sma_50 trend or 20d breakout) plus ret_20d momentum; added RSI and vol_pctile filters to avoid overbought/high-volatility entries; replaced single exit with multi-condition exit (short-term loss, break below sma_50, or drawdown threshold); introduced volatility-based position scaling and lowered base_position to reduce drawdown risk.
Fitness
0.2604
Generation
27
Complexity
22
Created
2026-09-23
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.085
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0589 [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 > -0.001) or (close > sma_50 and sma_50_slope > 0.0) or (breakout_20 > 0.0 and ret_60d > 0.02)) and ret_20d > 0.03 and rsi_14 < 70.0 and vol_pctile < 0.8 and cumret_252d > -0.25):
position = 0.6
if long and (ret_20d < -0.02 or close < sma_50 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.7% | 22.6% | -5.2% | 0.9% |
| Total Return | -25.7% | 84.4% | -17.9% | 14.4% |
| Sharpe | -0.23 | 1.40 | -0.45 | 0.14 |
| Sortino | -0.17 | 1.29 | -0.29 | 0.10 |
| Calmar | -0.08 | 1.18 | -0.29 | 0.02 |
| Volatility | 12.7% | 15.4% | 10.7% | 12.9% |
| Max DD | -48.6% | -19.2% | -18.0% | -48.6% |
| Win Rate | 36.8% | 47.1% | 41.6% | 40.9% |
| Avg Win | 2.0% | 3.4% | 1.4% | 2.4% |
| Avg Loss | -1.6% | -1.2% | -1.4% | -1.5% |
| Payoff | 1.24 | 2.94 | 1.00 | 1.64 |
| Expectancy | -0.3% | 1.0% | -0.2% | 0.1% |
| Profit Factor | 0.72 | 2.62 | 0.71 | 1.13 |
| Trades | 117 | 70 | 77 | 264 |
| Avg Holding Days | 4.3 | 3.4 | 2.7 | 3.6 |
| Turnover | 17.7 | 28.0 | 25.0 | 21.6 |
| Exposure | 11.9% | 13.6% | 8.2% | 11.3% |
Growth of $100
LongTermTrend_V0589 vs TSLA Buy & Hold
LongTermTrend_V0589 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 | -5.8% | -1.16 | -8.5% | 16 |
| 2017 | -6.8% | -0.48 | -15.6% | 17 |
| 2018 | -10.4% | -1.12 | -12.5% | 5 |
| 2019 | 7.3% | 0.57 | -12.1% | 14 |
| 2020 | 61.4% | 2.98 | -4.7% | 6 |
| 2021 | 11.3% | 0.65 | -17.1% | 45 |
| 2022 | 0.3% | 0.08 | -8.8% | 19 |
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 | -1.3% | -1.01 | 0% |
| hidden test | EXPENSIVE | 83 | 26.2% | 1.23 | 26% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 3.8% | 0.95 | 0% |
| hidden test | LOW VOLATILITY | 429 | 1.9% | 0.19 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.9% | -1.62 | 13% |
| hidden test | NORMAL | 802 | -8.3% | -0.89 | 7% |
| hidden test | SIDEWAYS | 293 | -8.0% | -0.82 | 10% |
| hidden test | UPTREND | 371 | -4.7% | -0.33 | 12% |
| train | DOWNTREND | 518 | -2.9% | -0.86 | 0% |
| train | EXPENSIVE | 311 | 18.7% | 1.04 | 24% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.4% | 0.45 | 1% |
| train | LOW VOLATILITY | 745 | 7.0% | 0.58 | 20% |
| train | MEDIUM VOLATILITY | 568 | -26.2% | -1.84 | 14% |
| train | NORMAL | 1,601 | -7.7% | -0.66 | 10% |
| train | SIDEWAYS | 592 | -18.0% | -1.84 | 9% |
| train | UPTREND | 902 | 7.0% | 0.41 | 20% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 85.4% | 3.55 | 31% |
| validation | EXTREME | 144 | 28.4% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 9.2% | 0.81 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 50.5% | 2.39 | 20% |
| validation | NORMAL | 474 | 1.0% | 0.07 | 12% |
| validation | SIDEWAYS | 206 | -7.3% | -0.92 | 9% |
| validation | UPTREND | 425 | 41.9% | 2.12 | 20% |
Trades (full period)
latest 100 of 264
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.05% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -1.52% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-13 | 2026-05-18 | $445.27 | $409.99 | -1.64% | 4 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.20% | 15 | |
| 2025-10-14 | 2025-11-14 | $429.24 | $404.35 | -4.59% | 24 | |
| 2025-09-26 | 2025-10-13 | $440.40 | $435.90 | -1.37% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.06% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.74% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.18% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.82% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.10% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.37% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.23% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.01% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.58% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -0.80% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.18% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.04% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -0.94% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.12% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 2.58% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.20% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.31% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.37% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -0.82% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.66% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.10% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.80% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.18% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.08% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.58% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.67% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 0.83% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -1.74% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.49% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 2.68% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.21% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-01 | 2022-04-07 | $361.53 | $352.42 | -1.82% | 5 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.92% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.02% | 4 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 18.69% | 28 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.32% | 4 |