Strategy Zoo / S0723
LongTermTrend_V0723
ARCHIVEDhybridllmAdded a volatility gate on entry (vol_pctile < 0.92) to avoid extreme-VOL entries; tightened exits to include a short-term stop (ret_5d < -6%) and a moving-average break (close < sma_50) in addition to macd_hist<0; introduced regime gates (only trade in UPTREND and non-HIGH_VOL regimes and avoid EXTREME bubble) to reduce overfitting and improve robustness; added volatility-based position scaling (reduce to 50% when vol_pctile>0.8, to 25% when >0.95) to limit drawdowns in turbulent periods.
Fitness
0.4108
Generation
33
Complexity
31
Created
2026-09-25
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 2.0784
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0723 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and vol_pctile < 0.92):
position = 1.0
if long and (macd_hist < 0.0 or ret_5d < -0.06 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.8% | 40.5% | -3.2% | 8.7% |
| Total Return | 35.2% | 177.3% | -11.3% | 242.4% |
| Sharpe | 0.28 | 1.35 | -0.01 | 0.46 |
| Sortino | 0.22 | 1.32 | -0.01 | 0.39 |
| Calmar | 0.11 | 1.57 | -0.08 | 0.21 |
| Volatility | 22.9% | 27.9% | 24.2% | 24.4% |
| Max DD | -35.1% | -25.8% | -42.0% | -42.0% |
| Win Rate | 39.2% | 58.5% | 32.8% | 41.9% |
| Avg Win | 5.6% | 6.1% | 6.4% | 6.2% |
| Avg Loss | -3.1% | -3.1% | -3.1% | -3.1% |
| Payoff | 1.82 | 2.01 | 2.05 | 2.00 |
| Expectancy | 0.3% | 2.3% | 0.0% | 0.8% |
| Profit Factor | 1.17 | 2.83 | 1.00 | 1.44 |
| Trades | 120 | 53 | 61 | 234 |
| Avg Holding Days | 5.2 | 4.9 | 4.9 | 5.1 |
| Turnover | 30.2 | 35.3 | 33.2 | 31.9 |
| Exposure | 25.6% | 27.6% | 25.9% | 26.1% |
Growth of $100
LongTermTrend_V0723 vs TSLA Buy & Hold
LongTermTrend_V0723 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 | 10.9% | 0.78 | -12.8% | 10 |
| 2017 | 11.2% | 0.61 | -14.6% | 25 |
| 2018 | -0.8% | 0.01 | -8.9% | 6 |
| 2019 | 11.9% | 0.52 | -22.7% | 9 |
| 2020 | 96.4% | 2.66 | -8.3% | 11 |
| 2021 | 17.3% | 0.66 | -25.7% | 28 |
| 2022 | 20.4% | 0.86 | -17.3% | 12 |
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 | -7.5% | -0.58 | 11% |
| hidden test | EXPENSIVE | 83 | 8.0% | 0.25 | 34% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.9% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 431 | 39.0% | 1.57 | 38% |
| hidden test | MEDIUM VOLATILITY | 250 | -57.2% | -2.02 | 30% |
| hidden test | NORMAL | 804 | -1.2% | -0.05 | 27% |
| hidden test | SIDEWAYS | 293 | -20.5% | -0.83 | 36% |
| hidden test | UPTREND | 371 | 20.9% | 0.71 | 29% |
| train | DOWNTREND | 518 | -6.8% | -0.43 | 13% |
| train | EXPENSIVE | 311 | 38.0% | 1.41 | 35% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.3% | 0.42 | 2% |
| train | LOW VOLATILITY | 745 | 25.3% | 1.12 | 45% |
| train | MEDIUM VOLATILITY | 568 | -22.0% | -0.91 | 29% |
| train | NORMAL | 1,601 | -0.1% | -0.00 | 25% |
| train | SIDEWAYS | 592 | 6.1% | 0.28 | 26% |
| train | UPTREND | 902 | 14.1% | 0.53 | 32% |
| validation | DOWNTREND | 125 | 31.3% | 1.44 | 9% |
| validation | EXPENSIVE | 138 | 119.0% | 3.27 | 41% |
| validation | EXTREME | 144 | 47.1% | 2.61 | 3% |
| validation | HIGH VOLATILITY | 258 | -14.9% | -1.06 | 1% |
| validation | LOW VOLATILITY | 183 | 15.2% | 0.72 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 94.2% | 2.49 | 39% |
| validation | NORMAL | 474 | 11.4% | 0.42 | 31% |
| validation | SIDEWAYS | 206 | -12.9% | -0.58 | 26% |
| validation | UPTREND | 425 | 64.4% | 2.03 | 34% |
Trades (full period)
latest 100 of 235
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 3.70% | 5 | OPEN |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.93% | 7 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-04 | 2026-05-19 | $392.51 | $404.11 | 4.70% | 12 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -2.28% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 35.14% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-19 | 2022-08-12 | $245.53 | $300.03 | 18.92% | 19 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -3.59% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 28.98% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.18% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.99% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 |