Strategy Zoo / S0590
LongTermTrend_V0590
ARCHIVEDhybridllmBroadened and simplified entry to avoid overfitting: use price above sma_50 with positive sma_50_slope OR modest 20d momentum; loosened long-term cumret requirement and added RSI and volatility caps. Added regime gates to only trade in UPTREND, non-extreme volatility, and NORMAL bubble to reduce false signals. Improved exit rules to include short-term deterioration (5d drop), non-positive 20d momentum, or price dropping below sma_50. Added simple position scaling by vol_pctile and reduced base_position to limit drawdown exposure.
Fitness
0.0654
Generation
27
Complexity
16
Created
2026-09-23
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0590 [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) or ret_20d > 0.03) and cumret_252d > -0.5 and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 0.8
if long and (ret_5d < -0.03 or ret_20d < 0.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.7% | -6.0% | -4.3% | -3.8% |
| Total Return | -19.5% | -16.8% | -15.1% | -43.1% |
| Sharpe | -0.17 | -0.34 | -0.19 | -0.21 |
| Sortino | -0.10 | -0.17 | -0.09 | -0.11 |
| Calmar | -0.09 | -0.13 | -0.11 | -0.07 |
| Volatility | 11.7% | 14.8% | 16.2% | 13.6% |
| Max DD | -30.0% | -45.1% | -38.2% | -53.4% |
| Win Rate | 35.2% | 24.0% | 41.0% | 34.8% |
| Avg Win | 2.8% | 9.2% | 3.6% | 3.9% |
| Avg Loss | -1.9% | -3.3% | -3.1% | -2.5% |
| Payoff | 1.48 | 2.79 | 1.19 | 1.56 |
| Expectancy | -0.2% | -0.3% | -0.3% | -0.3% |
| Profit Factor | 0.80 | 0.88 | 0.82 | 0.83 |
| Trades | 71 | 25 | 39 | 135 |
| Avg Holding Days | 4.9 | 5.0 | 3.5 | 4.5 |
| Turnover | 14.2 | 13.3 | 16.9 | 14.7 |
| Exposure | 11.1% | 10.7% | 8.4% | 10.3% |
Growth of $100
LongTermTrend_V0590 vs TSLA Buy & Hold
LongTermTrend_V0590 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 | -7.4% | -0.83 | -12.5% | 9 |
| 2017 | 14.4% | 2.41 | -1.0% | 8 |
| 2018 | -12.3% | -1.26 | -12.7% | 4 |
| 2019 | 1.5% | 0.22 | -9.5% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 30.5% | 1.46 | -14.1% | 11 |
| 2022 | -36.4% | -2.67 | -38.1% | 14 |
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 | 17.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -25.2% | -1.48 | 2% |
| hidden test | LOW VOLATILITY | 429 | 7.2% | 0.56 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.8% | 0.09 | 12% |
| hidden test | NORMAL | 802 | -5.3% | -0.31 | 10% |
| hidden test | SIDEWAYS | 293 | -23.2% | -1.68 | 2% |
| hidden test | UPTREND | 371 | 10.6% | 0.47 | 19% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 10.0% | 1.77 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.7% | -0.07 | 0% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.34 | 23% |
| train | MEDIUM VOLATILITY | 568 | -12.5% | -1.12 | 8% |
| train | NORMAL | 1,601 | -4.5% | -0.35 | 14% |
| train | SIDEWAYS | 592 | -7.3% | -1.28 | 1% |
| train | UPTREND | 902 | 0.3% | 0.02 | 24% |
| 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 | -3.8% | -0.52 | 1% |
| validation | LOW VOLATILITY | 183 | 13.5% | 1.00 | 28% |
| validation | MEDIUM VOLATILITY | 315 | -16.8% | -0.87 | 9% |
| validation | NORMAL | 474 | -8.0% | -0.43 | 17% |
| validation | SIDEWAYS | 206 | -37.4% | -2.44 | 2% |
| validation | UPTREND | 425 | 9.1% | 0.55 | 18% |
Trades (full period)
latest 100 of 135
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.55% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.47% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-11 | 2025-12-30 | $446.89 | $454.43 | 1.35% | 13 | |
| 2025-12-08 | 2025-12-10 | $439.58 | $451.45 | -1.88% | 3 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.23% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -5.47% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 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 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.71% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.44% | 3 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.89% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.66% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.97% | 3 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 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 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.99% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.31% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.92% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.48% | 2 | |
| 2023-07-28 | 2023-08-02 | $266.44 | $254.11 | 1.53% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-24 | 2023-07-25 | $269.06 | $265.28 | 2.62% | 2 | |
| 2023-07-13 | 2023-07-21 | $277.90 | $260.02 | -2.74% | 7 | |
| 2023-06-28 | 2023-07-12 | $256.24 | $271.99 | 6.10% | 10 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-19 | 2022-09-23 | $309.07 | $275.33 | -4.04% | 5 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.14% | 2 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -9.90% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.46% | 2 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -2.29% | 3 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.33% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.45% | 3 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -4.14% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -3.78% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.63% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.92% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.96% | 6 | |
| 2021-08-24 | 2021-11-09 | $236.16 | $341.17 | 49.25% | 55 | |
| 2021-08-18 | 2021-08-20 | $229.66 | $226.75 | 0.79% | 3 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.78% | 2 | |
| 2019-12-03 | 2019-12-17 | $22.41 | $25.27 | 10.87% | 11 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.49% | 2 | |
| 2019-11-26 | 2019-11-27 | $21.93 | $22.09 | -1.92% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-19 | 2018-12-20 | $22.20 | $21.03 | -1.12% | 2 | |
| 2018-11-27 | 2018-12-18 | $22.93 | $22.47 | 0.45% | 15 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.72% | 2 | |
| 2017-10-13 | 2017-10-16 | $23.70 | $23.37 | -0.18% | 2 | |
| 2017-10-11 | 2017-10-12 | $23.64 | $23.71 | -0.38% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.03% | 2 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -0.86% | 2 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.58% | 2 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-08-26 | 2016-08-29 | $14.67 | $14.35 | -0.51% | 2 | |
| 2016-08-24 | 2016-08-25 | $14.84 | $14.73 | -0.95% | 2 | |
| 2016-08-19 | 2016-08-23 | $15.00 | $14.99 | -0.37% | 3 | |
| 2016-08-17 | 2016-08-18 | $14.88 | $14.90 | -0.29% | 2 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -1.68% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-05-03 | 2016-05-04 | $15.49 | $14.84 | -3.29% | 2 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -3.67% | 12 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-08-05 | 2015-08-07 | $18.01 | $16.17 | -6.18% | 3 | |
| 2015-07-31 | 2015-08-03 | $17.74 | $17.33 | -0.35% | 2 | |
| 2015-07-29 | 2015-07-30 | $17.59 | $17.79 | -0.46% | 2 | |
| 2015-07-14 | 2015-07-27 | $17.71 | $16.87 | 0.87% | 10 | |
| 2015-07-10 | 2015-07-13 | $17.28 | $17.48 | 0.22% | 2 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 6.09% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-10-09 | 2014-10-10 | $17.13 | $15.79 | -0.86% | 2 | |
| 2014-10-07 | 2014-10-08 | $17.30 | $17.29 | -0.48% | 2 | |
| 2014-09-19 | 2014-09-22 | $17.29 | $16.67 | -1.52% | 2 |