Strategy Zoo / S0738
LongTermTrend_V0738
ARCHIVEDhybridllmAdded regime gating (require UPTREND, medium volatility, normal bubble); replaced fragile ret_20d-only entry with regime-aware trend/breakout gate plus momentum and RSI filters and a looser 252d cumulative return floor; improved exits to include short-term momentum stop, weakening trend (sma_50_slope < 0), and RSI overbought; introduced volatility-based position sizing (reduce size at high vol, full size at low vol) and lowered base position to 0.8 to control drawdowns.
Fitness
0.4295
Generation
34
Complexity
13
Created
2026-09-25
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0738 [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0) or breakout_20 > 0.0) and ret_20d > 0.03 and rsi_14 < 75.0 and cumret_252d > -0.25):
position = 0.8
if long and (ret_20d < -0.02 or sma_50_slope < 0.0 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.2% | 36.6% | 4.7% | 16.1% |
| Total Return | 188.9% | 154.9% | 18.7% | 795.2% |
| Sharpe | 0.67 | 1.11 | 0.31 | 0.69 |
| Sortino | 0.63 | 1.00 | 0.26 | 0.62 |
| Calmar | 0.24 | 0.89 | 0.13 | 0.27 |
| Volatility | 24.4% | 33.0% | 25.5% | 26.6% |
| Max DD | -59.8% | -41.0% | -37.1% | -59.8% |
| Win Rate | 43.5% | 45.9% | 41.9% | 43.6% |
| Avg Win | 7.6% | 12.7% | 7.0% | 8.7% |
| Avg Loss | -3.2% | -4.3% | -3.8% | -3.6% |
| Payoff | 2.41 | 2.96 | 1.83 | 2.43 |
| Expectancy | 1.5% | 3.5% | 0.7% | 1.8% |
| Profit Factor | 1.85 | 2.52 | 1.32 | 1.88 |
| Trades | 92 | 37 | 43 | 172 |
| Avg Holding Days | 9.0 | 9.2 | 7.3 | 8.7 |
| Turnover | 18.5 | 19.7 | 18.5 | 18.7 |
| Exposure | 29.5% | 32.3% | 23.4% | 28.5% |
Growth of $100
LongTermTrend_V0738 vs TSLA Buy & Hold
LongTermTrend_V0738 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 | -0.2% | 0.04 | -13.2% | 14 |
| 2017 | 11.4% | 0.63 | -20.6% | 10 |
| 2018 | -31.0% | -1.55 | -33.4% | 10 |
| 2019 | 12.9% | 0.58 | -27.8% | 10 |
| 2020 | 233.4% | 2.76 | -22.2% | 17 |
| 2021 | 17.7% | 0.85 | -13.4% | 8 |
| 2022 | -37.2% | -2.16 | -37.1% | 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 | -20.7% | -1.98 | 3% |
| hidden test | EXPENSIVE | 83 | 93.9% | 2.18 | 64% |
| hidden test | EXTREME | 48 | 200.3% | 5.07 | 50% |
| hidden test | HIGH VOLATILITY | 254 | 26.0% | 0.78 | 24% |
| hidden test | LOW VOLATILITY | 431 | 18.8% | 1.01 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.4% | -1.10 | 25% |
| hidden test | NORMAL | 804 | -12.5% | -0.58 | 18% |
| hidden test | SIDEWAYS | 293 | -12.9% | -0.66 | 17% |
| hidden test | UPTREND | 371 | 45.2% | 1.28 | 43% |
| train | DOWNTREND | 518 | -1.5% | -0.22 | 3% |
| train | EXPENSIVE | 311 | 36.4% | 1.21 | 51% |
| train | EXTREME | 100 | 304.1% | 5.93 | 69% |
| train | HIGH VOLATILITY | 699 | 27.3% | 0.85 | 26% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.56 | 37% |
| train | MEDIUM VOLATILITY | 568 | -11.6% | -0.55 | 24% |
| train | NORMAL | 1,601 | -5.7% | -0.29 | 23% |
| train | SIDEWAYS | 592 | -20.4% | -1.22 | 17% |
| train | UPTREND | 902 | 50.4% | 1.52 | 53% |
| validation | DOWNTREND | 125 | -7.6% | -0.96 | 2% |
| validation | EXPENSIVE | 138 | 51.1% | 1.21 | 46% |
| validation | EXTREME | 144 | 203.8% | 4.04 | 53% |
| validation | HIGH VOLATILITY | 258 | 37.0% | 0.86 | 29% |
| validation | LOW VOLATILITY | 183 | 6.6% | 0.36 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 53.9% | 1.80 | 33% |
| validation | NORMAL | 474 | -18.3% | -0.92 | 22% |
| validation | SIDEWAYS | 206 | -27.2% | -1.66 | 11% |
| validation | UPTREND | 425 | 80.7% | 1.92 | 51% |
Trades (full period)
latest 100 of 172
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-24 | $380.12 | — | 0.10% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -9.93% | 17 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2026-01-07 | $458.96 | $431.41 | -2.56% | 17 | |
| 2025-09-19 | 2025-11-14 | $426.07 | $404.35 | -2.67% | 41 | |
| 2025-08-25 | 2025-09-18 | $346.60 | $416.85 | 19.68% | 18 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-05-16 | 2025-06-12 | $349.98 | $319.11 | -3.69% | 19 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.10% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -2.86% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.10% | 2 | |
| 2024-12-19 | 2025-01-14 | $436.17 | $396.36 | -6.72% | 16 | |
| 2024-11-13 | 2024-12-17 | $330.24 | $479.86 | 31.68% | 24 | |
| 2024-10-28 | 2024-11-12 | $262.51 | $328.49 | 23.53% | 12 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.03% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.21% | 2 | |
| 2024-09-06 | 2024-09-20 | $210.73 | $238.25 | 4.71% | 11 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-07-12 | 2024-08-02 | $248.23 | $207.67 | -7.98% | 16 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 13.91% | 5 | |
| 2024-06-10 | 2024-06-21 | $173.79 | $183.01 | 1.73% | 9 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -4.60% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.88% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.22% | 2 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -4.50% | 6 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.64% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-06-22 | 2023-08-02 | $264.61 | $254.11 | 0.58% | 29 | |
| 2023-05-30 | 2023-06-08 | $201.16 | $234.86 | 12.66% | 8 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 3.71% | 2 | |
| 2023-02-27 | 2023-03-08 | $207.63 | $182.00 | -3.82% | 8 | |
| 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 | |
| 2022-08-01 | 2022-08-29 | $297.28 | $284.82 | -2.50% | 21 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.61% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -5.39% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.41% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.23% | 2 | |
| 2022-01-04 | 2022-01-19 | $383.20 | $331.88 | -11.50% | 11 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-09 | 2021-12-01 | $341.17 | $365.00 | -1.19% | 16 | |
| 2021-08-03 | 2021-10-19 | $236.58 | $288.09 | 17.68% | 55 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.08% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.32% | 2 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.64% | 22 | |
| 2020-11-18 | 2021-01-08 | $162.21 | $293.34 | 63.97% | 35 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.29% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.11% | 10 | |
| 2020-09-03 | 2020-09-24 | $135.67 | $129.26 | -11.49% | 15 | |
| 2020-08-14 | 2020-08-28 | $110.05 | $147.56 | 29.50% | 11 | |
| 2020-07-22 | 2020-08-10 | $106.16 | $94.57 | -5.95% | 14 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 7.42% | 3 | |
| 2020-05-15 | 2020-07-07 | $53.28 | $92.66 | 53.93% | 36 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -0.95% | 2 | |
| 2020-04-30 | 2020-05-01 | $52.13 | $46.75 | -2.02% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.13% | 2 | |
| 2020-04-20 | 2020-04-21 | $49.76 | $45.78 | -0.96% | 2 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.52% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 7.08% | 2 | |
| 2020-02-06 | 2020-03-04 | $49.93 | $49.97 | 1.44% | 19 | |
| 2020-01-28 | 2020-01-31 | $37.79 | $43.37 | 11.62% | 4 | |
| 2020-01-17 | 2020-01-23 | $34.03 | $38.15 | 8.53% | 4 | |
| 2019-12-31 | 2020-01-07 | $27.89 | $31.27 | 6.89% | 5 | |
| 2019-11-21 | 2019-12-20 | $23.66 | $27.04 | 11.54% | 21 | |
| 2019-10-30 | 2019-11-12 | $21.00 | $23.33 | 7.09% | 10 | |
| 2019-10-15 | 2019-10-28 | $17.19 | $21.85 | 21.74% | 10 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -1.54% | 12 | |
| 2019-07-22 | 2019-08-08 | $17.05 | $15.89 | -7.70% | 14 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.57% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 2.59% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.27% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -6.74% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -10.53% | 2 | |
| 2018-11-07 | 2018-12-19 | $23.21 | $22.20 | -0.96% | 29 | |
| 2018-11-05 | 2018-11-06 | $22.76 | $22.74 | -1.32% | 2 | |
| 2018-11-01 | 2018-11-02 | $22.95 | $23.09 | 1.49% | 2 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.79% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -10.18% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -5.58% | 18 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.01% | 2 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -5.77% | 5 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -4.96% | 5 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 |