Strategy Zoo / S0745
LongTermTrend_V0745
ARCHIVEDhybridllmSimplified and regularized entry rules (trend + breakout + momentum) to reduce overfitting; added multi-condition exit (macd, break below SMA50, short-term loss) for better risk control; introduced regime gates to avoid downtrends, high volatility, and extreme bubbles; added volatility-based position scaling (reduce size in higher vol) to limit drawdown and improve validation robustness.
Fitness
0.2129
Generation
34
Complexity
17
Created
2026-09-25
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0745 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((close > sma_200 and sma_200_slope > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.2 and macd_hist > 0.0) or ret_20d > 0.05):
position = 1.0
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.03):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.8% | 32.3% | -15.1% | -2.0% |
| Total Return | -43.0% | 131.4% | -45.6% | -26.1% |
| Sharpe | -0.20 | 1.17 | -0.57 | 0.03 |
| Sortino | -0.17 | 1.22 | -0.43 | 0.03 |
| Calmar | -0.12 | 0.97 | -0.28 | -0.03 |
| Volatility | 22.4% | 26.9% | 23.7% | 23.7% |
| Max DD | -58.8% | -33.4% | -54.2% | -63.7% |
| Win Rate | 37.2% | 52.5% | 32.9% | 39.7% |
| Avg Win | 3.6% | 5.2% | 4.5% | 4.4% |
| Avg Loss | -2.6% | -2.8% | -3.1% | -2.8% |
| Payoff | 1.38 | 1.83 | 1.48 | 1.61 |
| Expectancy | -0.3% | 1.4% | -0.6% | 0.1% |
| Profit Factor | 0.82 | 2.02 | 0.73 | 1.06 |
| Trades | 180 | 80 | 85 | 345 |
| Avg Holding Days | 3.7 | 3.6 | 3.6 | 3.7 |
| Turnover | 45.2 | 53.3 | 45.8 | 47.0 |
| Exposure | 24.9% | 27.9% | 23.5% | 25.2% |
Growth of $100
LongTermTrend_V0745 vs TSLA Buy & Hold
LongTermTrend_V0745 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 | -11.3% | -0.85 | -18.3% | 21 |
| 2017 | 9.4% | 0.49 | -16.6% | 34 |
| 2018 | -15.7% | -1.17 | -20.2% | 10 |
| 2019 | -2.1% | 0.07 | -26.6% | 12 |
| 2020 | 88.8% | 2.47 | -11.8% | 16 |
| 2021 | 40.2% | 1.24 | -29.6% | 45 |
| 2022 | -12.7% | -0.54 | -33.4% | 17 |
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 | -2.5% | -1.21 | 1% |
| hidden test | EXPENSIVE | 83 | 57.1% | 1.78 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.9% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 431 | 7.8% | 0.34 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -53.2% | -1.78 | 27% |
| hidden test | NORMAL | 804 | -21.7% | -0.93 | 23% |
| hidden test | SIDEWAYS | 293 | -61.3% | -2.61 | 34% |
| hidden test | UPTREND | 371 | 16.0% | 0.51 | 32% |
| train | DOWNTREND | 518 | -5.2% | -0.67 | 1% |
| train | EXPENSIVE | 311 | 31.0% | 1.00 | 40% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 8.0% | 0.38 | 2% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.22 | 44% |
| train | MEDIUM VOLATILITY | 568 | -32.2% | -1.29 | 28% |
| train | NORMAL | 1,601 | -12.5% | -0.60 | 23% |
| train | SIDEWAYS | 592 | -14.3% | -0.67 | 25% |
| train | UPTREND | 902 | 2.2% | 0.08 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 99.1% | 2.65 | 47% |
| validation | EXTREME | 144 | 52.9% | 2.85 | 3% |
| validation | HIGH VOLATILITY | 258 | -5.0% | -0.54 | 1% |
| validation | LOW VOLATILITY | 183 | 23.6% | 1.06 | 49% |
| validation | MEDIUM VOLATILITY | 315 | 66.1% | 1.78 | 38% |
| validation | NORMAL | 474 | 5.4% | 0.21 | 30% |
| validation | SIDEWAYS | 206 | -14.2% | -0.58 | 26% |
| validation | UPTREND | 425 | 63.0% | 2.00 | 37% |
Trades (full period)
latest 100 of 345
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.63% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.99% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 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 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 3.54% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 4.11% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 2.08% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -1.28% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 2.26% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 1.18% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 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 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 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 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -5.76% | 5 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-19 | 2025-05-22 | $342.09 | $341.04 | -4.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 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 | 2024-10-03 | $250.00 | $240.66 | 4.32% | 9 | |
| 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 | |
| 2024-06-18 | 2024-07-12 | $184.86 | $248.23 | 28.33% | 17 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.38% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-12-07 | 2023-12-14 | $242.64 | $251.05 | -0.23% | 6 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -3.44% | 6 | |
| 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 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -4.04% | 8 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -3.23% | 6 | |
| 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 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.58% | 2 | |
| 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 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 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 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -3.26% | 5 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -8.52% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.90% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 3.03% | 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 |