Strategy Zoo / S0612
LongTermTrend_V0612
ARCHIVEDhybridllmSimplified and de-overfitted entry rules: replaced many narrow thresholds with two robust branches (trend-follow and momentum breakout). Added multi-condition exit (macd_hist, sma_50 cross, and a drawdown stop) for better risk control. Introduced regime gates to trade only in UPTREND / MEDIUM_VOLATILITY / NORMAL bubble to avoid adverse market regimes. Added volatility- and drawdown-based position sizing rules to reduce exposure in stressed conditions and lower base position from 1.0 to 0.8.
Fitness
0.5972
Generation
28
Complexity
15
Created
2026-09-23
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0612 [hybrid]
if flat and ((close > sma_200 and sma_50 > sma_200 and ret_20d > 0.04 and cumret_252d > 0.03) or (breakout_20 == 1 and rel_volume > 1.2 and macd_hist > 0.0 and close > sma_50)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.1% | 67.8% | 5.5% | 22.4% |
| Total Return | 229.8% | 372.7% | 22.0% | 1846.1% |
| Sharpe | 0.75 | 1.61 | 0.35 | 0.90 |
| Sortino | 0.71 | 1.74 | 0.29 | 0.85 |
| Calmar | 0.47 | 2.57 | 0.16 | 0.65 |
| Volatility | 23.5% | 36.2% | 22.6% | 26.4% |
| Max DD | -34.3% | -26.4% | -34.5% | -34.5% |
| Win Rate | 46.6% | 58.1% | 40.0% | 48.9% |
| Avg Win | 6.2% | 6.5% | 6.9% | 6.6% |
| Avg Loss | -2.8% | -2.9% | -3.4% | -3.0% |
| Payoff | 2.23 | 2.22 | 2.01 | 2.21 |
| Expectancy | 1.4% | 2.5% | 0.7% | 1.7% |
| Profit Factor | 1.94 | 3.08 | 1.34 | 2.12 |
| Trades | 116 | 74 | 45 | 235 |
| Avg Holding Days | 6.4 | 5.2 | 6.1 | 6.0 |
| Turnover | 23.3 | 39.5 | 19.4 | 25.6 |
| Exposure | 25.4% | 32.7% | 19.5% | 25.4% |
Growth of $100
LongTermTrend_V0612 vs TSLA Buy & Hold
LongTermTrend_V0612 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 | 7.3% | 0.95 | -5.3% | 2 |
| 2017 | 12.3% | 0.76 | -12.7% | 22 |
| 2018 | -4.2% | -0.14 | -17.6% | 6 |
| 2019 | 25.2% | 1.10 | -18.9% | 3 |
| 2020 | 294.3% | 2.85 | -19.7% | 35 |
| 2021 | 23.3% | 0.91 | -16.1% | 28 |
| 2022 | -3.2% | -0.09 | -15.5% | 10 |
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 | -1.1% | -0.08 | 6% |
| hidden test | EXPENSIVE | 83 | 42.4% | 1.09 | 45% |
| hidden test | EXTREME | 48 | 120.9% | 3.22 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 14.4% | 0.49 | 22% |
| hidden test | LOW VOLATILITY | 429 | 24.8% | 1.49 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.6% | -1.16 | 19% |
| hidden test | NORMAL | 802 | -2.4% | -0.13 | 16% |
| hidden test | SIDEWAYS | 293 | -11.5% | -0.70 | 21% |
| hidden test | UPTREND | 371 | 29.8% | 0.98 | 28% |
| train | DOWNTREND | 518 | 3.1% | 0.39 | 5% |
| train | EXPENSIVE | 311 | 31.6% | 1.13 | 46% |
| train | EXTREME | 100 | 257.5% | 4.56 | 67% |
| train | HIGH VOLATILITY | 699 | 42.8% | 1.33 | 24% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.14 | 32% |
| train | MEDIUM VOLATILITY | 568 | -15.0% | -0.83 | 18% |
| train | NORMAL | 1,601 | -0.0% | -0.00 | 19% |
| train | SIDEWAYS | 592 | -4.6% | -0.24 | 23% |
| train | UPTREND | 902 | 40.6% | 1.31 | 38% |
| validation | DOWNTREND | 125 | 15.0% | 1.38 | 4% |
| validation | EXPENSIVE | 138 | 63.0% | 1.72 | 39% |
| validation | EXTREME | 144 | 219.9% | 3.49 | 62% |
| validation | HIGH VOLATILITY | 258 | 66.0% | 1.37 | 30% |
| validation | LOW VOLATILITY | 183 | 31.5% | 1.90 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 67.5% | 2.04 | 36% |
| validation | NORMAL | 474 | 7.8% | 0.37 | 22% |
| validation | SIDEWAYS | 206 | 12.1% | 0.55 | 23% |
| validation | UPTREND | 425 | 93.4% | 2.06 | 46% |
Trades (full period)
latest 100 of 235
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -5.13% | 8 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.23% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 13.02% | 17 | |
| 2025-05-14 | 2025-06-03 | $347.68 | $344.27 | 1.98% | 14 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.04% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.02% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -2.80% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.57% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 13.06% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.32% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.60% | 2 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 18.82% | 24 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -1.18% | 11 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-18 | 2024-07-22 | $184.86 | $251.51 | 21.67% | 23 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-17 | $259.67 | $254.85 | -2.18% | 7 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-05-30 | 2023-06-27 | $201.16 | $250.21 | 19.39% | 20 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.66% | 4 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 19.98% | 19 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 4.34% | 16 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 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 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.11% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.31% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.34% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.23% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.38% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.10% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -2.42% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 27.33% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -2.55% | 2 | |
| 2021-04-05 | 2021-04-06 | $230.35 | $230.54 | 3.38% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -4.36% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 31.86% | 21 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.36% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.03% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -8.43% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.15% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -3.48% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 5.58% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.14% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 8.57% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 11.19% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.31% | 2 |