Strategy Zoo / S0785
LongTermTrend_V0785
ARCHIVEDhybridllmAdded strict trend gate (UPTREND) and limited to NORMAL bubble + LOW_VOLATILITY; simplified and consolidated entry logic (cleaner long-term trend leg and momentum/breakout leg); relaxed sma_200_slope threshold slightly to be less brittle; lowered rel_volume cutoff for breakout leg; enhanced exits to include price crossing below sma_50 or oversold RSI in addition to macd_hist < 0; reduced base_position to 0.9 to lower risk.
Fitness
0.5471
Generation
36
Complexity
18
Created
2026-09-26
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0785 [hybrid]
if flat and ((close > sma_200 and sma_200_slope > -0.001 and ret_20d > 0.05 and cumret_252d > 0.04) or (macd_hist > 0.0 and close > sma_50 and ((breakout_50 == 1 and rel_volume > 1.3) or sma_50 > sma_200))):
position = 0.9
if long and (macd_hist < 0.0 or close < sma_50 or rsi_14 < 40.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.3% | 70.4% | 1.2% | 19.3% |
| Total Return | 152.8% | 394.7% | 4.7% | 1244.1% |
| Sharpe | 0.57 | 1.52 | 0.17 | 0.75 |
| Sortino | 0.54 | 1.70 | 0.15 | 0.72 |
| Calmar | 0.25 | 2.80 | 0.03 | 0.39 |
| Volatility | 26.6% | 40.2% | 24.5% | 29.5% |
| Max DD | -49.7% | -25.2% | -37.7% | -49.7% |
| Win Rate | 43.5% | 55.7% | 36.0% | 45.7% |
| Avg Win | 6.0% | 6.9% | 6.6% | 6.7% |
| Avg Loss | -2.8% | -3.0% | -3.2% | -3.0% |
| Payoff | 2.13 | 2.32 | 2.05 | 2.26 |
| Expectancy | 1.0% | 2.5% | 0.3% | 1.5% |
| Profit Factor | 1.64 | 2.91 | 1.15 | 1.90 |
| Trades | 138 | 79 | 50 | 267 |
| Avg Holding Days | 5.7 | 5.1 | 6.0 | 5.6 |
| Turnover | 31.2 | 47.4 | 24.2 | 32.7 |
| Exposure | 29.8% | 38.3% | 23.9% | 30.1% |
Growth of $100
LongTermTrend_V0785 vs TSLA Buy & Hold
LongTermTrend_V0785 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 | -4.1% | -0.29 | -11.9% | 10 |
| 2017 | 11.9% | 0.65 | -13.4% | 27 |
| 2018 | -16.6% | -0.75 | -24.4% | 9 |
| 2019 | 0.2% | 0.12 | -24.9% | 4 |
| 2020 | 309.3% | 2.68 | -22.0% | 36 |
| 2021 | 23.9% | 0.87 | -22.0% | 31 |
| 2022 | -2.8% | -0.03 | -14.6% | 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 | -6.5% | -1.11 | 3% |
| hidden test | EXPENSIVE | 83 | 38.4% | 0.88 | 52% |
| hidden test | EXTREME | 48 | 136.0% | 3.22 | 43% |
| hidden test | HIGH VOLATILITY | 254 | 16.2% | 0.55 | 21% |
| hidden test | LOW VOLATILITY | 432 | 21.7% | 1.10 | 26% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.2% | -1.48 | 23% |
| hidden test | NORMAL | 805 | -7.2% | -0.36 | 20% |
| hidden test | SIDEWAYS | 293 | -16.3% | -0.85 | 27% |
| hidden test | UPTREND | 371 | 28.3% | 0.82 | 36% |
| train | DOWNTREND | 518 | -9.6% | -1.27 | 2% |
| train | EXPENSIVE | 311 | 40.5% | 1.26 | 53% |
| train | EXTREME | 100 | 313.3% | 4.87 | 75% |
| train | HIGH VOLATILITY | 699 | 31.3% | 0.87 | 28% |
| train | LOW VOLATILITY | 745 | 21.4% | 1.14 | 35% |
| train | MEDIUM VOLATILITY | 568 | -13.1% | -0.60 | 24% |
| train | NORMAL | 1,601 | -8.4% | -0.42 | 22% |
| train | SIDEWAYS | 592 | 1.3% | 0.06 | 26% |
| train | UPTREND | 902 | 38.4% | 1.08 | 48% |
| validation | DOWNTREND | 125 | 16.9% | 1.38 | 4% |
| validation | EXPENSIVE | 138 | 76.2% | 1.87 | 44% |
| validation | EXTREME | 144 | 229.9% | 3.29 | 70% |
| validation | HIGH VOLATILITY | 258 | 68.0% | 1.28 | 35% |
| validation | LOW VOLATILITY | 183 | 26.3% | 1.42 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 76.1% | 2.07 | 42% |
| validation | NORMAL | 474 | 5.7% | 0.24 | 27% |
| validation | SIDEWAYS | 206 | 1.9% | 0.08 | 28% |
| validation | UPTREND | 425 | 103.2% | 2.06 | 54% |
Trades (full period)
latest 100 of 267
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.19% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.84% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.58% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.06% | 10 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.37% | 3 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.46% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.32% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.59% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.24% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.55% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.83% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.18% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 19.95% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.99% | 7 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -2.77% | 10 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.39% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.81% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.37% | 2 | |
| 2025-04-30 | 2025-06-03 | $282.16 | $344.27 | 15.39% | 24 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.65% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.15% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.77% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.69% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.49% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.93% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 24.78% | 25 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 5.62% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.08% | 2 | |
| 2024-08-20 | 2024-08-23 | $221.10 | $220.32 | -5.04% | 4 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 19.38% | 17 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.08% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.88% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.06% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.79% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.32% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.60% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.29% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.06% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.78% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.43% | 4 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -8.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.74% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.95% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.55% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.76% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.23% | 3 | |
| 2023-06-08 | 2023-06-27 | $234.86 | $250.21 | 6.47% | 13 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.06% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 4.82% | 16 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.96% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.47% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.84% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 11.77% | 16 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.12% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.82% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.92% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -10.34% | 4 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -3.24% | 5 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.39% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.39% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.43% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.49% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -2.72% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 30.94% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.10% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.80% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.26% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.16% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.26% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.21% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.14% | 11 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.89% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.06% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.42% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.11% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.24% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.80% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.97% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.29% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -8.19% | 12 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -2.86% | 2 | |
| 2021-04-05 | 2021-04-06 | $230.35 | $230.54 | 3.80% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.04% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.06% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.17% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 14.21% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.23% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.13% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.02% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.27% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 36.26% | 21 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.00% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.49% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.50% | 6 |