Strategy Zoo / S0676
LongTermTrend_V0676
ARCHIVEDhybridllmSimplified and regularized entry logic: require price > sma_50 or a volume-backed 50-day breakout, plus modest 20d momentum and gentle 200-day slope to reduce overfitting and increase generalization. Added multi-condition exit (macd_hist < 0 OR cross below sma_50 OR 1-day stop-loss) to improve risk control. Introduced regime gates to avoid expensive/bubbly or very high-volatility environments. Added volatility-based position scaling (higher size in low vol, reduced in medium, minimal in high). Reduced base position from 1.0 to 0.8 to lower tail-risk.
Fitness
0.1080
Generation
31
Complexity
16
Created
2026-09-24
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0676 [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_50 or (breakout_50 == 1 and rel_volume > 1.2)) and sma_200_slope > -0.004 and ret_20d > 0.02 and macd_hist > -1.0):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.03):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.0% | 3.5% | 6.4% | -0.5% |
| Total Return | -33.8% | 10.8% | 25.8% | -7.7% |
| Sharpe | -0.28 | 0.32 | 0.46 | 0.04 |
| Sortino | -0.18 | 0.22 | 0.30 | 0.02 |
| Calmar | -0.11 | 0.19 | 0.21 | -0.01 |
| Volatility | 14.6% | 13.7% | 16.2% | 14.9% |
| Max DD | -43.8% | -18.1% | -30.1% | -49.3% |
| Win Rate | 36.8% | 25.9% | 37.5% | 35.3% |
| Avg Win | 2.9% | 8.3% | 6.4% | 4.4% |
| Avg Loss | -2.2% | -2.0% | -2.6% | -2.3% |
| Payoff | 1.32 | 4.10 | 2.46 | 1.94 |
| Expectancy | -0.3% | 0.7% | 0.8% | 0.1% |
| Profit Factor | 0.77 | 1.43 | 1.47 | 1.06 |
| Trades | 106 | 27 | 40 | 173 |
| Avg Holding Days | 4.0 | 5.0 | 4.8 | 4.3 |
| Turnover | 21.2 | 14.4 | 17.3 | 18.8 |
| Exposure | 12.7% | 11.5% | 12.8% | 12.5% |
Growth of $100
LongTermTrend_V0676 vs TSLA Buy & Hold
LongTermTrend_V0676 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 | -3.6% | -0.31 | -8.9% | 13 |
| 2017 | 13.9% | 1.79 | -4.3% | 4 |
| 2018 | -12.3% | -1.09 | -13.4% | 9 |
| 2019 | -11.3% | -0.44 | -19.6% | 10 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 10.6% | 0.63 | -18.1% | 19 |
| 2022 | 0.2% | 0.09 | -17.0% | 8 |
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 | -2.6% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 430 | 22.5% | 1.35 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.9% | -0.42 | 12% |
| hidden test | NORMAL | 803 | 5.2% | 0.31 | 15% |
| hidden test | SIDEWAYS | 293 | -11.7% | -0.67 | 23% |
| hidden test | UPTREND | 371 | 30.3% | 1.49 | 14% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 10.3% | 1.81 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.9% | -0.06 | 1% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.32 | 25% |
| train | MEDIUM VOLATILITY | 568 | -19.5% | -1.28 | 11% |
| train | NORMAL | 1,601 | -7.2% | -0.44 | 16% |
| train | SIDEWAYS | 592 | -16.2% | -1.01 | 16% |
| train | UPTREND | 902 | 5.2% | 0.30 | 17% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | -6.8% | -0.49 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 14.4% | 0.78 | 11% |
| validation | NORMAL | 474 | 6.9% | 0.40 | 18% |
| validation | SIDEWAYS | 206 | -17.6% | -1.02 | 17% |
| validation | UPTREND | 425 | 16.3% | 1.18 | 12% |
Trades (full period)
latest 100 of 173
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-19 | 2026-05-21 | $404.11 | $417.85 | 1.26% | 3 | |
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 1.92% | 7 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-19 | 2025-12-30 | $481.20 | $454.43 | -4.09% | 7 | |
| 2025-12-11 | 2025-12-18 | $446.89 | $483.37 | 2.67% | 6 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-09-05 | 2025-09-15 | $350.84 | $410.04 | 13.26% | 7 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.99% | 2 | |
| 2025-08-25 | 2025-09-02 | $346.60 | $329.36 | -1.59% | 6 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 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 | |
| 2024-10-04 | 2024-10-07 | $250.08 | $240.83 | 2.97% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 3.48% | 9 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 25.07% | 19 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.82% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.18% | 2 | |
| 2023-12-22 | 2023-12-29 | $252.54 | $248.48 | -0.56% | 5 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.39% | 5 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.37% | 9 | |
| 2023-09-20 | 2023-09-22 | $262.59 | $244.88 | -3.40% | 3 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.57% | 6 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 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 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-05-31 | 2023-06-22 | $203.93 | $264.61 | 22.52% | 16 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.09% | 2 | |
| 2023-03-31 | 2023-04-04 | $207.46 | $192.58 | -0.30% | 3 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-09 | 2022-08-12 | $283.33 | $300.03 | -1.18% | 4 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.57% | 5 | |
| 2022-04-07 | 2022-04-11 | $352.42 | $325.31 | -1.70% | 3 | |
| 2022-03-21 | 2022-04-06 | $307.05 | $348.59 | 16.09% | 13 | |
| 2021-11-04 | 2021-11-09 | $409.97 | $341.17 | -3.50% | 4 | |
| 2021-10-12 | 2021-11-03 | $268.57 | $404.62 | 36.92% | 17 | |
| 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 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 1.07% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.79% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-29 | 2021-04-30 | $225.67 | $236.48 | -2.16% | 2 | |
| 2021-04-26 | 2021-04-28 | $246.07 | $231.47 | -2.85% | 3 | |
| 2021-04-21 | 2021-04-23 | $248.04 | $243.13 | -0.06% | 3 | |
| 2021-04-16 | 2021-04-20 | $246.59 | $239.66 | -2.78% | 3 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-12-05 | 2019-12-06 | $22.02 | $22.39 | -0.80% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.16% | 2 | |
| 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 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-11-28 | 2018-11-29 | $23.19 | $22.74 | 0.76% | 2 | |
| 2018-11-26 | 2018-11-27 | $23.07 | $22.93 | 4.79% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2018-02-06 | 2018-02-07 | $22.26 | $23.00 | 0.04% | 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 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.98% | 2 | |
| 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 | |
| 2016-08-15 | 2016-08-16 | $15.04 | $14.91 | -0.17% | 2 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.91% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.40% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.88% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.77% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.70% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -2.21% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.68% | 2 | |
| 2016-04-11 | 2016-04-14 | $16.66 | $16.79 | 1.27% | 4 |