Strategy Zoo / S0742
LongTermTrend_V0742
ARCHIVEDhybridllmSimplified & strengthened trend entry: require price > SMA50 and SMA50 > SMA200 with MACD positive and 20d returns >3% OR a 20-day breakout with elevated relative volume. Improved exits: keep MACD negative exit but add drawdown and 5d loss safeguards to limit large/drawn-out losses. Added regime gates to require UPTREND and MEDIUM_VOLATILITY and NORMAL bubble to reduce regime mismatch. Added position scaling rules: reduce size in high volatility (vol_pctile>0.8) and when price is strongly extended above SMA50 to control risk.
Fitness
0.4561
Generation
34
Complexity
14
Created
2026-09-25
Lineage
Parents (1)
entry = LongTermTrend_V0235 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0742 [hybrid]
if flat and ((close > sma_50 and sma_50 > sma_200 and macd_hist > 0.0 and ret_20d > 0.03) or (breakout_20 == 1 and rel_volume > 1.2 and macd_hist > -0.005)):
position = 1.0
if long and (macd_hist < 0.0 or drawdown < -0.12 or ret_5d < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 65.7% | -4.6% | 13.9% |
| Total Return | 72.2% | 354.9% | -16.1% | 576.5% |
| Sharpe | 0.39 | 1.51 | -0.16 | 0.61 |
| Sortino | 0.31 | 1.41 | -0.10 | 0.49 |
| Calmar | 0.15 | 1.81 | -0.14 | 0.29 |
| Volatility | 25.4% | 38.3% | 18.5% | 27.1% |
| Max DD | -45.8% | -36.3% | -32.0% | -48.2% |
| Win Rate | 38.8% | 51.9% | 51.5% | 45.9% |
| Avg Win | 6.7% | 9.0% | 2.7% | 6.2% |
| Avg Loss | -2.6% | -2.5% | -3.2% | -2.8% |
| Payoff | 2.55 | 3.59 | 0.82 | 2.24 |
| Expectancy | 1.0% | 3.4% | -0.2% | 1.3% |
| Profit Factor | 1.61 | 3.87 | 0.88 | 1.90 |
| Trades | 98 | 54 | 66 | 218 |
| Avg Holding Days | 5.1 | 4.6 | 2.5 | 4.2 |
| Turnover | 24.7 | 36.0 | 35.6 | 29.7 |
| Exposure | 20.4% | 25.4% | 10.4% | 18.9% |
Growth of $100
LongTermTrend_V0742 vs TSLA Buy & Hold
LongTermTrend_V0742 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 | -1.7% | -0.20 | -8.5% | 11 |
| 2017 | 9.2% | 0.57 | -14.3% | 13 |
| 2018 | -10.5% | -0.49 | -16.2% | 9 |
| 2019 | -7.9% | -0.24 | -26.9% | 10 |
| 2020 | 327.3% | 2.81 | -24.0% | 20 |
| 2021 | 36.9% | 1.25 | -16.9% | 24 |
| 2022 | -22.8% | -1.83 | -23.4% | 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 | 271 | -10.0% | -0.70 | 2% |
| hidden test | EXPENSIVE | 83 | 1.7% | 0.06 | 28% |
| hidden test | EXTREME | 48 | 100.6% | 2.63 | 25% |
| hidden test | HIGH VOLATILITY | 254 | -4.6% | -0.22 | 7% |
| hidden test | LOW VOLATILITY | 431 | 17.1% | 1.04 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.2% | -1.86 | 11% |
| hidden test | NORMAL | 804 | -9.7% | -0.64 | 8% |
| hidden test | SIDEWAYS | 293 | -12.6% | -1.06 | 10% |
| hidden test | UPTREND | 371 | 9.6% | 0.39 | 17% |
| train | DOWNTREND | 518 | -3.4% | -1.36 | 1% |
| train | EXPENSIVE | 311 | 14.4% | 0.47 | 43% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 27.5% | 0.76 | 21% |
| train | LOW VOLATILITY | 745 | 6.5% | 0.42 | 25% |
| train | MEDIUM VOLATILITY | 568 | -7.2% | -0.39 | 14% |
| train | NORMAL | 1,601 | -8.3% | -0.47 | 13% |
| train | SIDEWAYS | 592 | -13.2% | -0.81 | 12% |
| train | UPTREND | 902 | 32.8% | 0.93 | 37% |
| validation | DOWNTREND | 125 | -0.0% | -0.03 | 1% |
| validation | EXPENSIVE | 138 | 73.4% | 1.92 | 35% |
| validation | EXTREME | 144 | 241.5% | 3.49 | 57% |
| validation | HIGH VOLATILITY | 258 | 62.9% | 1.23 | 23% |
| validation | LOW VOLATILITY | 183 | 42.8% | 2.50 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 62.0% | 1.78 | 30% |
| validation | NORMAL | 474 | -2.7% | -0.13 | 13% |
| validation | SIDEWAYS | 206 | 9.7% | 0.64 | 13% |
| validation | UPTREND | 425 | 97.9% | 1.97 | 39% |
Trades (full period)
latest 100 of 218
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -5.31% | 5 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.65% | 12 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.68% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2024-12-09 | 2024-12-23 | $389.79 | $430.60 | 7.96% | 11 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -2.05% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -3.77% | 4 | |
| 2022-03-29 | 2022-04-01 | $366.52 | $361.53 | -1.50% | 4 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 26.78% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-04 | 2021-10-07 | $260.51 | $264.54 | 0.77% | 4 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -2.20% | 4 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 2.44% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.42% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -2.46% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.06% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.36% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 2.31% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.67% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 1.01% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -3.48% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.41% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.07% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 |