Strategy Zoo / S0765
LongTermTrend_V0765
ARCHIVEDhybridllmSimplified and regularized entry to core trend+momentum signals (price above SMA50, SMA50>SMA200 or positive SMA200 slope, MACD>0 or breakout with volume). Added regime gates to trade only in UPTREND + LOW_VOLATILITY to reduce overfitting. Reduced base position to 0.8 and added vol-based downscaling when vol_pctile>0.75. Improved exit: multi-condition stop (MACD<0 OR price crossing below SMA50 OR portfolio drawdown < -15%) to cut losses earlier.
Fitness
0.3995
Generation
35
Complexity
14
Created
2026-09-26
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0765 [hybrid]
if flat and (close > sma_50 and (sma_50 > sma_200 or sma_200_slope > 0.0) and (macd_hist > 0.0 or (breakout_50 == 1 and rel_volume > 1.2))):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.4% | 42.6% | -3.5% | 10.3% |
| Total Return | 63.6% | 189.7% | -12.5% | 324.7% |
| Sharpe | 0.40 | 1.29 | -0.12 | 0.55 |
| Sortino | 0.34 | 1.25 | -0.09 | 0.47 |
| Calmar | 0.16 | 1.38 | -0.11 | 0.20 |
| Volatility | 20.9% | 31.1% | 17.2% | 22.6% |
| Max DD | -41.0% | -30.9% | -30.9% | -51.0% |
| Win Rate | 40.9% | 51.7% | 46.7% | 45.4% |
| Avg Win | 5.1% | 6.6% | 2.3% | 4.7% |
| Avg Loss | -2.3% | -2.4% | -2.2% | -2.3% |
| Payoff | 2.20 | 2.73 | 1.04 | 2.03 |
| Expectancy | 0.7% | 2.2% | -0.1% | 0.9% |
| Profit Factor | 1.52 | 2.93 | 0.92 | 1.69 |
| Trades | 110 | 58 | 92 | 260 |
| Avg Holding Days | 5.3 | 4.7 | 2.5 | 4.3 |
| Turnover | 22.1 | 30.9 | 39.6 | 28.3 |
| Exposure | 19.4% | 23.0% | 12.1% | 18.3% |
Growth of $100
LongTermTrend_V0765 vs TSLA Buy & Hold
LongTermTrend_V0765 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 | 3.2% | 0.68 | -2.9% | 13 |
| 2017 | 6.3% | 0.46 | -10.1% | 16 |
| 2018 | -20.1% | -1.37 | -23.2% | 8 |
| 2019 | -1.4% | -0.01 | -18.3% | 5 |
| 2020 | 188.3% | 2.50 | -18.9% | 19 |
| 2021 | 18.4% | 0.84 | -16.0% | 28 |
| 2022 | -15.5% | -1.42 | -17.7% | 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 | 272 | -1.9% | -0.37 | 3% |
| hidden test | EXPENSIVE | 83 | 71.4% | 2.07 | 28% |
| hidden test | EXTREME | 48 | 52.3% | 1.68 | 25% |
| hidden test | HIGH VOLATILITY | 254 | -7.7% | -0.34 | 10% |
| hidden test | LOW VOLATILITY | 432 | 7.7% | 0.54 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -13.5% | -0.90 | 11% |
| hidden test | NORMAL | 805 | -12.9% | -1.02 | 10% |
| hidden test | SIDEWAYS | 293 | -14.6% | -0.99 | 14% |
| hidden test | UPTREND | 371 | 7.5% | 0.32 | 17% |
| train | DOWNTREND | 518 | -9.4% | -1.32 | 3% |
| train | EXPENSIVE | 311 | 30.2% | 1.16 | 37% |
| train | EXTREME | 100 | 230.5% | 4.19 | 56% |
| train | HIGH VOLATILITY | 699 | 17.9% | 0.62 | 19% |
| train | LOW VOLATILITY | 745 | 9.9% | 0.71 | 23% |
| train | MEDIUM VOLATILITY | 568 | -5.6% | -0.33 | 16% |
| train | NORMAL | 1,601 | -9.8% | -0.67 | 14% |
| train | SIDEWAYS | 592 | -3.5% | -0.25 | 15% |
| train | UPTREND | 902 | 26.2% | 0.92 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 60.3% | 1.95 | 29% |
| validation | EXTREME | 144 | 169.5% | 3.02 | 47% |
| validation | HIGH VOLATILITY | 258 | 34.2% | 0.83 | 19% |
| validation | LOW VOLATILITY | 183 | 23.9% | 1.56 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 54.7% | 1.93 | 26% |
| validation | NORMAL | 474 | -4.9% | -0.29 | 14% |
| validation | SIDEWAYS | 206 | -10.5% | -0.77 | 12% |
| validation | UPTREND | 425 | 76.6% | 1.90 | 35% |
Trades (full period)
latest 100 of 260
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.76% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.19% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 3.78% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.47% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 0.95% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.05% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.67% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.24% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.51% | 2 | |
| 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 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.33% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.56% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 1.75% | 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 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 8.42% | 12 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.42% | 2 | |
| 2024-11-22 | 2024-11-26 | $352.56 | $338.23 | -0.38% | 3 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.08% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 4.33% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -4.77% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -5.07% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 6.38% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 11.63% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.13% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -2.55% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.07% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 2.51% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 5.72% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.22% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.53% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.74% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.61% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.93% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.91% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.73% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.41% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.06% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.95% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.47% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -4.98% | 10 | |
| 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 |