Strategy Zoo / S0681
LongTermTrend_V0681
ARCHIVEDhybridllmSimplified and regularized entry to reduce overfitting: require a basic trend/price position (close>sma_50 or not far below sma_50), plus short-term momentum (ret_20d>3% or macd_hist>0), and either a breakout with elevated volume or price above sma_50. Added a volatility filter (vol_pctile<0.75). Introduced robust exits: exit on negative macd_hist, price crossing below sma_50, or portfolio drawdown >6% to limit losses. Added regime gates to avoid trading in high-volatility or bubbly/extreme regimes and allow only UPTREND/SIDEWAYS and NORMAL bubble. Reduced base position to 0.75 for more conservative sizing.
Fitness
0.0663
Generation
31
Complexity
20
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_V0681 [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 dist_sma_50 > -0.1) and (ret_20d > 0.03 or macd_hist > 0.0) and ((breakout_50 == 1 and rel_volume > 1.2) or close > sma_50) and vol_pctile < 0.75):
position = 0.75
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.6% | -1.8% | -7.9% | -4.4% |
| Total Return | -25.4% | -5.4% | -26.3% | -48.0% |
| Sharpe | -0.19 | -0.05 | -0.40 | -0.22 |
| Sortino | -0.12 | -0.03 | -0.27 | -0.14 |
| Calmar | -0.09 | -0.08 | -0.21 | -0.08 |
| Volatility | 14.1% | 15.1% | 17.1% | 15.1% |
| Max DD | -42.2% | -24.0% | -38.0% | -56.0% |
| Win Rate | 36.1% | 37.5% | 32.1% | 35.2% |
| Avg Win | 3.2% | 3.6% | 4.3% | 3.6% |
| Avg Loss | -2.2% | -2.2% | -2.7% | -2.4% |
| Payoff | 1.47 | 1.59 | 1.59 | 1.52 |
| Expectancy | -0.2% | -0.1% | -0.5% | -0.3% |
| Profit Factor | 0.83 | 0.95 | 0.75 | 0.82 |
| Trades | 97 | 32 | 53 | 182 |
| Avg Holding Days | 4.6 | 5.3 | 4.6 | 4.7 |
| Turnover | 18.2 | 16.0 | 21.4 | 18.6 |
| Exposure | 13.0% | 13.6% | 15.3% | 13.7% |
Growth of $100
LongTermTrend_V0681 vs TSLA Buy & Hold
LongTermTrend_V0681 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 | -5.1% | -0.49 | -10.0% | 11 |
| 2017 | 9.8% | 1.17 | -4.1% | 7 |
| 2018 | -10.7% | -0.96 | -14.3% | 9 |
| 2019 | -7.4% | -0.28 | -18.4% | 9 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -4.9% | -0.12 | -23.6% | 21 |
| 2022 | -0.4% | 0.04 | -16.6% | 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 | 270 | -2.7% | -1.39 | 1% |
| hidden test | EXPENSIVE | 83 | 32.1% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.2% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 430 | 8.2% | 0.48 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -31.2% | -1.53 | 15% |
| hidden test | NORMAL | 803 | -11.2% | -0.62 | 18% |
| hidden test | SIDEWAYS | 293 | -35.0% | -1.83 | 27% |
| hidden test | UPTREND | 371 | 12.6% | 0.60 | 17% |
| train | DOWNTREND | 518 | -6.1% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 9.7% | 1.82 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.6% | -0.04 | 1% |
| train | LOW VOLATILITY | 745 | 7.4% | 0.55 | 24% |
| train | MEDIUM VOLATILITY | 568 | -18.5% | -1.24 | 13% |
| train | NORMAL | 1,601 | -5.3% | -0.34 | 16% |
| train | SIDEWAYS | 592 | -11.4% | -0.73 | 17% |
| train | UPTREND | 902 | 5.0% | 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 | -8.9% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.3% | 0.23 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 3.7% | 0.20 | 14% |
| validation | NORMAL | 474 | -1.1% | -0.06 | 22% |
| validation | SIDEWAYS | 206 | -12.7% | -0.75 | 19% |
| validation | UPTREND | 425 | 4.9% | 0.30 | 15% |
Trades (full period)
latest 100 of 182
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.97% | 3 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.07% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.16% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.20% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.31% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.93% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.67% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.93% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.10% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 9.42% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.85% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.48% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.44% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.16% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.67% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.81% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.97% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.16% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.91% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -6.73% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.21% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.92% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.67% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.30% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.48% | 2 | |
| 2024-06-14 | 2024-07-12 | $178.01 | $248.23 | 23.41% | 19 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.71% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.39% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.16% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.87% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.40% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.32% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.00% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.22% | 9 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.06% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.49% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.69% | 4 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.13% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.60% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.20% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.45% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.61% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.79% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.46% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.47% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.02% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.09% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.66% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 14.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.68% | 10 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.66% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.54% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.84% | 2 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -2.88% | 10 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.17% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.86% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.57% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.77% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.63% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.89% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.70% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.84% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.70% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.72% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.44% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.25% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 21.58% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.92% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.96% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.91% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.12% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.20% | 15 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 1.00% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.14% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.72% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.84% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.22% | 12 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -0.84% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 1.51% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.88% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.69% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.07% | 12 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.74% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.83% | 12 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.40% | 3 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -0.86% | 2 | |
| 2019-12-02 | 2019-12-03 | $22.32 | $22.41 | 0.97% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.39% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.75% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 12.34% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.01% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.60% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.03% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.56% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.20% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.10% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.59% | 2 | |
| 2018-11-26 | 2018-11-27 | $23.07 | $22.93 | 4.49% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.25% | 3 |