Strategy Zoo / S0740
LongTermTrend_V0740
ARCHIVEDhybridllmSimplified and regularized entries (favor close>sma50 or close>sma200 + milder ret_20d threshold) to avoid overfit; added MACD soft filter instead of a strict cutoff; introduced regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to prevent trading in hostile regimes; stronger multi-condition exit (macd_hist<0 OR price below sma50 OR >15% below sma50) to reduce big drawdowns; added volatility-based position sizing (reduce exposure when vol_pctile high or vol_20 high, increase in low vol); lowered base position to 0.7 to limit risk.
Fitness
0.5892
Generation
34
Complexity
18
Created
2026-09-25
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0740 [hybrid]
if flat and (((close > sma_50 and sma_50 > sma_200) or (close > sma_200 and sma_200_slope > -0.003) or ret_20d > 0.03) and sma_20 < close and (breakout_50 == 1 or rel_volume > 1.1) and macd_hist > -1.0):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50 or dist_sma_50 < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.8% | 57.9% | 8.7% | 19.3% |
| Total Return | 143.4% | 293.6% | 36.4% | 1233.7% |
| Sharpe | 0.64 | 1.72 | 0.51 | 0.89 |
| Sortino | 0.60 | 1.70 | 0.48 | 0.85 |
| Calmar | 0.32 | 3.35 | 0.29 | 0.53 |
| Volatility | 20.6% | 29.1% | 20.5% | 22.6% |
| Max DD | -36.3% | -17.3% | -29.7% | -36.3% |
| Win Rate | 35.5% | 57.1% | 32.5% | 38.5% |
| Avg Win | 8.1% | 11.8% | 9.6% | 9.7% |
| Avg Loss | -2.5% | -2.4% | -3.1% | -2.6% |
| Payoff | 3.27 | 4.94 | 3.04 | 3.66 |
| Expectancy | 1.3% | 5.7% | 1.0% | 2.1% |
| Profit Factor | 1.80 | 6.59 | 1.47 | 2.29 |
| Trades | 93 | 28 | 40 | 161 |
| Avg Holding Days | 7.8 | 10.6 | 7.7 | 8.3 |
| Turnover | 16.4 | 13.1 | 15.3 | 15.4 |
| Exposure | 22.4% | 25.0% | 20.2% | 22.4% |
Growth of $100
LongTermTrend_V0740 vs TSLA Buy & Hold
LongTermTrend_V0740 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 | 8.0% | 0.88 | -6.3% | 5 |
| 2017 | 20.0% | 1.26 | -9.2% | 16 |
| 2018 | -19.2% | -1.06 | -23.4% | 13 |
| 2019 | 19.8% | 0.95 | -16.9% | 7 |
| 2020 | 205.5% | 2.84 | -15.0% | 11 |
| 2021 | 26.7% | 1.21 | -11.9% | 9 |
| 2022 | -1.1% | 0.01 | -11.0% | 7 |
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 | -10.4% | -0.64 | 13% |
| hidden test | EXPENSIVE | 83 | 68.6% | 2.17 | 35% |
| hidden test | EXTREME | 48 | 93.3% | 2.99 | 28% |
| hidden test | HIGH VOLATILITY | 254 | 8.7% | 0.32 | 23% |
| hidden test | LOW VOLATILITY | 431 | 21.1% | 1.30 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -6.2% | -0.32 | 18% |
| hidden test | NORMAL | 804 | -0.5% | -0.03 | 18% |
| hidden test | SIDEWAYS | 293 | -3.2% | -0.18 | 23% |
| hidden test | UPTREND | 371 | 36.4% | 1.46 | 23% |
| train | DOWNTREND | 518 | -8.5% | -0.89 | 7% |
| train | EXPENSIVE | 311 | 34.4% | 1.46 | 35% |
| train | EXTREME | 100 | 201.5% | 4.19 | 49% |
| train | HIGH VOLATILITY | 699 | 22.8% | 0.82 | 20% |
| train | LOW VOLATILITY | 745 | 22.5% | 1.59 | 28% |
| train | MEDIUM VOLATILITY | 568 | -10.7% | -0.64 | 18% |
| train | NORMAL | 1,601 | -2.6% | -0.16 | 18% |
| train | SIDEWAYS | 592 | -5.6% | -0.33 | 20% |
| train | UPTREND | 902 | 38.1% | 1.43 | 33% |
| validation | DOWNTREND | 125 | 12.3% | 1.29 | 4% |
| validation | EXPENSIVE | 138 | 64.5% | 2.43 | 24% |
| validation | EXTREME | 144 | 174.0% | 3.37 | 47% |
| validation | HIGH VOLATILITY | 258 | 51.7% | 1.36 | 21% |
| validation | LOW VOLATILITY | 183 | 16.8% | 1.31 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 67.6% | 2.46 | 28% |
| validation | NORMAL | 474 | 7.9% | 0.45 | 19% |
| validation | SIDEWAYS | 206 | 8.7% | 0.46 | 19% |
| validation | UPTREND | 425 | 80.9% | 2.25 | 34% |
Trades (full period)
latest 100 of 162
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | — | $375.30 | — | 2.97% | 4 | OPEN |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.06% | 7 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.28% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.39% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.82% | 2 | |
| 2026-05-11 | 2026-05-21 | $445.00 | $417.85 | -1.88% | 9 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.63% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.74% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 15.37% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.06% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -4.40% | 3 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 13.90% | 26 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.23% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -4.04% | 2 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 7.41% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 2.12% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 19.23% | 25 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -1.01% | 11 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-06-14 | 2024-07-22 | $178.01 | $251.51 | 21.17% | 25 | |
| 2024-05-22 | 2024-05-30 | $180.11 | $178.79 | -4.04% | 6 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -8.18% | 9 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.24% | 12 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.25% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 22.78% | 25 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.60% | 4 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 17.43% | 19 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -3.37% | 7 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 3.85% | 16 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.42% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 2022-01-11 | 2022-01-12 | $354.80 | $368.74 | 0.28% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -8.10% | 4 | |
| 2021-12-27 | 2022-01-03 | $364.65 | $399.93 | -0.80% | 6 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 22.27% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 0.82% | 13 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 13.72% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.72% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 27.56% | 21 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -4.06% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 9.88% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.14% | 2 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 21.47% | 18 | |
| 2020-06-09 | 2020-06-25 | $62.71 | $65.73 | 0.84% | 13 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 5.15% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.05% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 15.14% | 23 | |
| 2019-12-13 | 2020-02-26 | $23.89 | $51.92 | 77.49% | 50 | |
| 2019-12-11 | 2019-12-12 | $23.51 | $23.98 | 0.63% | 2 | |
| 2019-11-26 | 2019-11-27 | $21.93 | $22.09 | -1.68% | 2 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 25.05% | 28 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.26% | 2 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -6.93% | 10 | |
| 2019-07-05 | 2019-07-26 | $15.54 | $15.20 | -1.68% | 16 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -4.54% | 3 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.12% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.10% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.56% | 2 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 7.10% | 19 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -8.89% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 2.93% | 14 | |
| 2018-05-08 | 2018-05-09 | $20.13 | $20.46 | -0.32% | 2 | |
| 2018-05-03 | 2018-05-04 | $18.96 | $19.61 | -4.02% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -3.21% | 6 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -6.18% | 2 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.42% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.59% | 11 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.53% | 10 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.03% | 12 | |
| 2017-05-30 | 2017-06-27 | $22.34 | $24.16 | 10.95% | 21 | |
| 2017-05-16 | 2017-05-17 | $21.13 | $20.41 | 0.11% | 2 | |
| 2017-05-10 | 2017-05-11 | $21.68 | $21.54 | 0.72% | 2 | |
| 2017-05-08 | 2017-05-09 | $20.48 | $21.42 | -0.40% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.80% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.95% | 2 | |
| 2017-03-27 | 2017-04-21 | $18.01 | $20.37 | 10.23% | 19 | |
| 2017-03-17 | 2017-03-22 | $17.43 | $17.00 | -3.17% | 4 |