Strategy Zoo / S0719
LongTermTrend_V0719
ARCHIVEDhybridllmReduce position size and add simple volatility scaling; simplify and de-duplicate entry conditions; add momentum confirmation (macd_hist>0) and a short-term ret_5d momentum path; add regime gates to only trade in uptrends and low volatility; convert exit to a safer multi-condition rule (larger 20d stop, drawdown limit, or break below sma_50). Aimed to improve robustness and reduce overfitting.
Fitness
0.5226
Generation
33
Complexity
15
Created
2026-09-25
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0719 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05 or (ret_5d > 0.02 and macd_hist > 0.0)) and cumret_252d > -0.1997 and macd_hist > 0.0):
position = 0.6
if long and (ret_20d < -0.03 or drawdown < -0.08 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.9% | 65.6% | -8.6% | 9.0% |
| Total Return | 7.6% | 353.9% | -28.4% | 255.7% |
| Sharpe | 0.14 | 2.13 | -0.49 | 0.54 |
| Sortino | 0.15 | 2.55 | -0.47 | 0.58 |
| Calmar | 0.02 | 3.38 | -0.22 | 0.18 |
| Volatility | 18.0% | 25.2% | 15.9% | 19.3% |
| Max DD | -50.1% | -19.4% | -39.4% | -50.1% |
| Win Rate | 46.0% | 56.2% | 44.6% | 47.5% |
| Avg Win | 1.7% | 3.5% | 1.6% | 2.1% |
| Avg Loss | -1.4% | -1.2% | -1.6% | -1.4% |
| Payoff | 1.27 | 2.82 | 1.02 | 1.52 |
| Expectancy | 0.1% | 1.4% | -0.2% | 0.3% |
| Profit Factor | 1.08 | 3.62 | 0.82 | 1.38 |
| Trades | 337 | 121 | 186 | 644 |
| Avg Holding Days | 2.9 | 3.1 | 2.2 | 2.8 |
| Turnover | 50.7 | 48.4 | 60.2 | 52.6 |
| Exposure | 19.7% | 20.6% | 13.9% | 18.5% |
Growth of $100
LongTermTrend_V0719 vs TSLA Buy & Hold
LongTermTrend_V0719 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 | 9.8% | 1.10 | -5.3% | 49 |
| 2017 | -8.1% | -0.50 | -18.3% | 36 |
| 2018 | -19.0% | -1.17 | -20.6% | 47 |
| 2019 | 6.3% | 0.52 | -13.1% | 37 |
| 2020 | 236.9% | 3.63 | -11.7% | 28 |
| 2021 | 14.9% | 0.84 | -11.6% | 52 |
| 2022 | 5.7% | 0.45 | -15.7% | 41 |
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 | 271 | -26.3% | -1.86 | 12% |
| hidden test | EXPENSIVE | 83 | 49.1% | 1.90 | 19% |
| hidden test | EXTREME | 48 | 34.3% | 1.48 | 16% |
| hidden test | HIGH VOLATILITY | 254 | -12.3% | -0.62 | 12% |
| hidden test | LOW VOLATILITY | 431 | -4.8% | -0.37 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -8.3% | -0.51 | 13% |
| hidden test | NORMAL | 804 | -16.1% | -1.17 | 13% |
| hidden test | SIDEWAYS | 293 | -11.2% | -0.95 | 14% |
| hidden test | UPTREND | 371 | 8.5% | 0.44 | 15% |
| train | DOWNTREND | 518 | -13.3% | -1.18 | 9% |
| train | EXPENSIVE | 311 | 10.9% | 0.51 | 34% |
| train | EXTREME | 100 | 178.7% | 4.35 | 43% |
| train | HIGH VOLATILITY | 699 | 9.0% | 0.38 | 20% |
| train | LOW VOLATILITY | 745 | 10.0% | 0.79 | 22% |
| train | MEDIUM VOLATILITY | 568 | -15.2% | -0.96 | 17% |
| train | NORMAL | 1,601 | -10.1% | -0.70 | 16% |
| train | SIDEWAYS | 592 | -6.5% | -0.50 | 17% |
| train | UPTREND | 902 | 17.5% | 0.75 | 28% |
| validation | DOWNTREND | 125 | 30.9% | 2.34 | 7% |
| validation | EXPENSIVE | 138 | 69.9% | 2.59 | 30% |
| validation | EXTREME | 144 | 175.2% | 4.30 | 33% |
| validation | HIGH VOLATILITY | 258 | 62.0% | 1.92 | 17% |
| validation | LOW VOLATILITY | 183 | 9.3% | 0.75 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 72.4% | 3.02 | 25% |
| validation | NORMAL | 474 | 11.9% | 0.72 | 14% |
| validation | SIDEWAYS | 206 | 17.0% | 1.06 | 15% |
| validation | UPTREND | 425 | 78.0% | 2.53 | 27% |
Trades (full period)
latest 100 of 644
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-24 | $380.12 | — | 0.07% | 2 | |
| 2026-09-21 | 2026-09-22 | $375.30 | $378.90 | 1.70% | 2 | |
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.13% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.18% | 2 | |
| 2026-09-10 | 2026-09-11 | $363.56 | $365.44 | -0.81% | 2 | |
| 2026-09-08 | 2026-09-09 | $368.16 | $367.81 | 2.26% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 3.13% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.05% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.14% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -0.88% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.42% | 2 | |
| 2026-08-20 | 2026-08-21 | $345.13 | $362.86 | -1.14% | 2 | |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.55% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.29% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.30% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.03% | 2 | |
| 2026-07-06 | 2026-07-07 | $419.77 | $402.90 | 3.89% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -2.86% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.12% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -2.97% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 1.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 2.21% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 1.84% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -0.60% | 2 | |
| 2026-05-01 | 2026-05-04 | $390.82 | $392.51 | 1.32% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -0.63% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.05% | 2 | |
| 2026-04-17 | 2026-04-20 | $400.62 | $392.50 | 1.69% | 2 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 4.45% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.44% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.70% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.17% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.42% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -1.87% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.06% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.10% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.69% | 2 | |
| 2025-12-10 | 2026-01-02 | $451.45 | $438.07 | 0.60% | 16 | |
| 2025-12-03 | 2025-12-09 | $446.74 | $445.17 | 1.36% | 5 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.12% | 2 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -5.10% | 5 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.67% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.42% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.03% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.02% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.11% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 0.71% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -0.79% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.20% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.25% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -2.40% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.18% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.13% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 2.32% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.07% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -1.57% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.47% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.17% | 2 | |
| 2025-04-25 | 2025-04-28 | $284.95 | $285.88 | 5.76% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -3.08% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.11% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -4.48% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -3.06% | 2 | |
| 2025-04-03 | 2025-04-04 | $267.28 | $239.43 | -3.40% | 2 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.12% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.12% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 1.98% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.20% | 2 | |
| 2024-12-09 | 2024-12-19 | $389.79 | $436.17 | 7.76% | 9 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.18% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 2.16% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -0.81% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 3.25% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -3.58% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -3.81% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 4.79% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 8.73% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -1.91% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -0.80% | 2 |