Strategy Zoo / S0651
LongTermTrend_V0651
ARCHIVEDhybridllmSimplified and regularized entry: require price or 50/200 trend alignment + positive MACD histogram + milder 20d return threshold + avoid high percentile volatility. Added multi-condition exit: softer 20d stop, momentum flip (macd_hist<0), or drawdown limit. Introduced regime gates to restrict to non-extreme volatility/trend/bubble regimes. Reduced base_position to 0.8 to lower risk/exposure and improve generalization.
Fitness
0.1808
Generation
30
Complexity
14
Created
2026-09-24
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0557
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0651 [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_200 or sma_50 > sma_200) and macd_hist > 0.0 and ret_20d > 0.03 and vol_pctile < 0.7):
position = 0.8
if long and (ret_20d < -0.08 or macd_hist < 0.0 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.9% | 1.6% | 9.3% | 4.2% |
| Total Return | 26.0% | 4.9% | 38.8% | 83.6% |
| Sharpe | 0.29 | 0.18 | 0.65 | 0.37 |
| Sortino | 0.18 | 0.10 | 0.44 | 0.23 |
| Calmar | 0.13 | 0.08 | 0.58 | 0.18 |
| Volatility | 12.7% | 14.9% | 15.4% | 13.9% |
| Max DD | -23.5% | -19.8% | -15.9% | -23.5% |
| Win Rate | 41.2% | 25.0% | 47.6% | 40.3% |
| Avg Win | 6.2% | 12.6% | 5.9% | 6.8% |
| Avg Loss | -2.9% | -3.3% | -2.1% | -2.8% |
| Payoff | 2.12 | 3.84 | 2.77 | 2.44 |
| Expectancy | 0.8% | 0.7% | 1.7% | 1.1% |
| Profit Factor | 1.48 | 1.28 | 2.52 | 1.65 |
| Trades | 34 | 12 | 21 | 67 |
| Avg Holding Days | 8.7 | 10.3 | 7.5 | 8.6 |
| Turnover | 6.8 | 6.4 | 9.1 | 7.3 |
| Exposure | 10.5% | 11.7% | 11.7% | 11.0% |
Growth of $100
LongTermTrend_V0651 vs TSLA Buy & Hold
LongTermTrend_V0651 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 | -1.8% | -0.10 | -8.5% | 7 |
| 2017 | 11.7% | 1.58 | -4.3% | 3 |
| 2018 | -8.9% | -1.20 | -9.7% | 3 |
| 2019 | 7.3% | 0.52 | -7.4% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 8.4% | 0.48 | -13.6% | 8 |
| 2022 | -3.2% | -0.15 | -19.8% | 4 |
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 | 270 | -2.9% | -1.39 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.5% | -0.20 | 1% |
| hidden test | LOW VOLATILITY | 430 | 10.4% | 0.67 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | 22.2% | 1.24 | 12% |
| hidden test | NORMAL | 803 | 8.1% | 0.51 | 13% |
| hidden test | SIDEWAYS | 293 | -5.8% | -0.35 | 22% |
| hidden test | UPTREND | 371 | 31.9% | 1.64 | 12% |
| train | DOWNTREND | 518 | -6.7% | -1.25 | 1% |
| train | EXPENSIVE | 311 | 3.2% | 1.44 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 9.7% | 0.82 | 0% |
| train | LOW VOLATILITY | 745 | 12.3% | 1.01 | 20% |
| train | MEDIUM VOLATILITY | 568 | -15.0% | -1.06 | 11% |
| train | NORMAL | 1,601 | 4.0% | 0.28 | 13% |
| train | SIDEWAYS | 592 | -1.8% | -0.13 | 16% |
| train | UPTREND | 902 | 13.2% | 0.90 | 12% |
| 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 | 0.8% | 0.06 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 13.8% | 0.74 | 11% |
| validation | NORMAL | 474 | 4.3% | 0.23 | 19% |
| validation | SIDEWAYS | 206 | 0.6% | 0.03 | 19% |
| validation | UPTREND | 425 | 4.5% | 0.29 | 11% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.33% | 5 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.82% | 19 | |
| 2023-10-06 | 2023-10-16 | $260.53 | $253.92 | -2.90% | 7 | |
| 2023-09-08 | 2023-09-25 | $248.50 | $246.99 | -2.15% | 12 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -5.54% | 7 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 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 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-11 | 2021-07-12 | $203.30 | $228.57 | 5.99% | 21 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.57% | 11 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.12% | 3 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.91% | 13 | |
| 2016-06-06 | 2016-06-16 | $14.71 | $14.53 | -0.58% | 9 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 5.55% | 9 | |
| 2016-03-29 | 2016-04-01 | $15.34 | $15.84 | -0.33% | 4 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-12-30 | 2016-01-06 | $15.87 | $14.60 | -4.78% | 5 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -4.45% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.69% | 19 | |
| 2014-11-11 | 2014-12-01 | $16.74 | $15.44 | 0.74% | 14 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-05-27 | 2014-07-07 | $14.10 | $14.84 | 8.34% | 29 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.12% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 5.24% | 28 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -4.20% | 4 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -2.29% | 7 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-18 | 2012-06-25 | $2.12 | $2.21 | 10.18% | 6 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |