Strategy Zoo / S0768
LongTermTrend_V0768
ARCHIVEDhybridllmSimplified and strengthened entry to require clear short/long momentum (macd_hist>0 & price>sma50 or breakout with elevated rel_volume, or sma50>sma200), added modest 20d return filter and 1yr cumulative return floor. Added multi-condition exits (macd_hist<0 OR price below sma50 OR drawdown>12%) to improve risk control. Added regime gates to only trade in UPTREND / MEDIUM_VOLATILITY / NORMAL bubble. Reduced base_position to 0.8 to lower leverage/risk.
Fitness
0.2749
Generation
35
Complexity
17
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_V0768 [hybrid]
if flat and (((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.3) or sma_50 > sma_200) and (close > sma_200 or ret_20d > 0.03) and cumret_252d > -0.2):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.9% | 42.1% | -12.3% | 5.1% |
| Total Return | 15.8% | 187.2% | -38.7% | 108.7% |
| Sharpe | 0.21 | 1.03 | -0.35 | 0.32 |
| Sortino | 0.23 | 1.30 | -0.40 | 0.36 |
| Calmar | 0.03 | 0.90 | -0.21 | 0.08 |
| Volatility | 28.5% | 43.2% | 27.1% | 31.8% |
| Max DD | -60.0% | -47.0% | -58.7% | -63.5% |
| Win Rate | 42.6% | 45.3% | 34.5% | 41.2% |
| Avg Win | 3.5% | 5.6% | 3.9% | 4.2% |
| Avg Loss | -2.2% | -2.9% | -2.4% | -2.4% |
| Payoff | 1.55 | 1.91 | 1.63 | 1.73 |
| Expectancy | 0.2% | 0.9% | -0.2% | 0.3% |
| Profit Factor | 1.15 | 1.58 | 0.86 | 1.22 |
| Trades | 336 | 161 | 165 | 662 |
| Avg Holding Days | 3.8 | 3.6 | 3.5 | 3.7 |
| Turnover | 67.4 | 85.9 | 71.3 | 72.1 |
| Exposure | 38.4% | 44.3% | 35.1% | 38.8% |
Growth of $100
LongTermTrend_V0768 vs TSLA Buy & Hold
LongTermTrend_V0768 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 | 12.5% | 0.92 | -14.9% | 19 |
| 2017 | -0.9% | 0.08 | -22.9% | 63 |
| 2018 | -15.5% | -0.75 | -19.4% | 16 |
| 2019 | -4.6% | -0.04 | -34.1% | 18 |
| 2020 | 280.7% | 2.49 | -40.1% | 62 |
| 2021 | -18.6% | -0.44 | -44.5% | 67 |
| 2022 | -7.7% | -0.20 | -24.3% | 30 |
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 | -34.0% | -2.08 | 16% |
| hidden test | EXPENSIVE | 83 | 58.5% | 1.37 | 59% |
| hidden test | EXTREME | 48 | 146.3% | 3.45 | 53% |
| hidden test | HIGH VOLATILITY | 254 | -18.8% | -0.58 | 32% |
| hidden test | LOW VOLATILITY | 432 | 2.6% | 0.12 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.0% | -0.71 | 35% |
| hidden test | NORMAL | 805 | -25.8% | -1.10 | 32% |
| hidden test | SIDEWAYS | 293 | -31.7% | -1.48 | 34% |
| hidden test | UPTREND | 371 | 25.9% | 0.72 | 50% |
| train | DOWNTREND | 518 | -21.6% | -1.33 | 11% |
| train | EXPENSIVE | 311 | 32.3% | 0.91 | 58% |
| train | EXTREME | 100 | 286.2% | 5.00 | 68% |
| train | HIGH VOLATILITY | 699 | 13.7% | 0.36 | 35% |
| train | LOW VOLATILITY | 745 | 10.5% | 0.54 | 43% |
| train | MEDIUM VOLATILITY | 568 | -9.8% | -0.39 | 36% |
| train | NORMAL | 1,601 | -16.8% | -0.71 | 33% |
| train | SIDEWAYS | 592 | -9.2% | -0.36 | 38% |
| train | UPTREND | 902 | 31.5% | 0.90 | 55% |
| validation | DOWNTREND | 125 | 13.2% | 0.72 | 8% |
| validation | EXPENSIVE | 138 | 51.0% | 1.00 | 54% |
| validation | EXTREME | 144 | 249.2% | 3.87 | 65% |
| validation | HIGH VOLATILITY | 258 | 49.0% | 0.85 | 40% |
| validation | LOW VOLATILITY | 183 | 8.3% | 0.40 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 61.8% | 1.59 | 47% |
| validation | NORMAL | 474 | -19.7% | -0.66 | 35% |
| validation | SIDEWAYS | 206 | -40.7% | -1.18 | 40% |
| validation | UPTREND | 425 | 95.0% | 1.86 | 57% |
Trades (full period)
latest 100 of 663
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 2.48% | 6 | OPEN |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.35% | 7 | |
| 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 | |
| 2026-07-07 | 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 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.05% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 2.59% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 1.75% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.14% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.09% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.42% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.05% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -1.89% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.13% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 2.50% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.06% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -2.63% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 3.16% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -3.49% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.27% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.47% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.53% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.45% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.32% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 5.56% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.21% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 5.30% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -1.89% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -1.66% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.31% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -1.80% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 2.83% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 3.29% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 1.66% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -1.02% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 1.81% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 0.94% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.89% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.24% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 15.93% | 26 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.97% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -4.08% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -4.62% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -3.70% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.97% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -3.33% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -1.88% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.53% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.55% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 4.46% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -5.23% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -2.87% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.02% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -4.29% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.14% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.03% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.28% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -1.85% | 2 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.29% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 6.27% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.58% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.04% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.04% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.02% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -2.80% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.57% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 13.06% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.32% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.60% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 22.00% | 25 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -1.74% | 2 |