Strategy Zoo / S0808
LongTermTrend_V0808
ARCHIVEDhybridllmSimplified and strengthened trend/momentum entry (require above 50 & 200 SMA, positive MACD histogram, 20d momentum) and avoid extreme volatility (vol_pctile filter). Added multi-factor exits (momentum fade, price break below SMA50, drawdown cap) to cut losses earlier. Introduced regime gate to only trade in UPTREND and reduced base position with volatility-scaled sizing (larger in low vol, smaller in high vol) to lower drawdown risk.
Fitness
0.4388
Generation
37
Complexity
14
Created
2026-09-26
Lineage
Parents (1)
logic of LongTermTrend_V0605 with risk overlay of PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0808 [hybrid]
if flat and (close > sma_200 and close > sma_50 and ret_20d > 0.04 and macd_hist > 0.0 and vol_pctile < 0.85):
position = 0.6
if long and (ret_20d < -0.1003 or close < sma_50 or macd_hist < 0.0 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.75
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.9% | 23.9% | 5.2% | 9.9% |
| Total Return | 70.7% | 90.4% | 20.7% | 299.2% |
| Sharpe | 0.65 | 1.44 | 0.51 | 0.83 |
| Sortino | 0.55 | 1.52 | 0.36 | 0.71 |
| Calmar | 0.40 | 1.72 | 0.30 | 0.57 |
| Volatility | 11.2% | 15.7% | 11.2% | 12.3% |
| Max DD | -17.4% | -13.9% | -17.2% | -17.4% |
| Win Rate | 39.1% | 39.1% | 42.1% | 39.8% |
| Avg Win | 6.3% | 11.2% | 5.6% | 7.7% |
| Avg Loss | -2.0% | -2.0% | -2.1% | -2.0% |
| Payoff | 3.10 | 5.61 | 2.60 | 3.75 |
| Expectancy | 1.2% | 3.2% | 1.1% | 1.8% |
| Profit Factor | 1.99 | 3.60 | 1.89 | 2.48 |
| Trades | 46 | 23 | 19 | 88 |
| Avg Holding Days | 11.5 | 11.1 | 9.9 | 11.2 |
| Turnover | 6.8 | 7.6 | 6.1 | 6.8 |
| Exposure | 11.4% | 13.6% | 9.5% | 11.4% |
Growth of $100
LongTermTrend_V0808 vs TSLA Buy & Hold
LongTermTrend_V0808 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 | 0.2% | 0.07 | -4.0% | 4 |
| 2017 | 9.7% | 0.99 | -8.2% | 9 |
| 2018 | -3.0% | -0.61 | -5.8% | 3 |
| 2019 | 21.0% | 1.67 | -2.3% | 1 |
| 2020 | 83.2% | 3.04 | -7.0% | 8 |
| 2021 | 12.2% | 0.83 | -12.1% | 9 |
| 2022 | -7.7% | -0.89 | -12.5% | 6 |
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 | -2.5% | -1.68 | 1% |
| hidden test | EXPENSIVE | 83 | 39.7% | 2.51 | 15% |
| hidden test | EXTREME | 48 | 21.0% | 1.20 | 10% |
| hidden test | HIGH VOLATILITY | 254 | -0.4% | -0.06 | 2% |
| hidden test | LOW VOLATILITY | 432 | 13.5% | 1.10 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.6% | -0.13 | 9% |
| hidden test | NORMAL | 805 | 1.3% | 0.13 | 9% |
| hidden test | SIDEWAYS | 293 | -8.7% | -0.90 | 14% |
| hidden test | UPTREND | 371 | 23.1% | 1.49 | 12% |
| train | DOWNTREND | 518 | -7.2% | -1.58 | 1% |
| train | EXPENSIVE | 311 | 14.4% | 1.02 | 19% |
| train | EXTREME | 100 | 73.2% | 3.87 | 21% |
| train | HIGH VOLATILITY | 699 | 13.6% | 1.07 | 5% |
| train | LOW VOLATILITY | 745 | 10.4% | 0.99 | 19% |
| train | MEDIUM VOLATILITY | 568 | -4.5% | -0.44 | 10% |
| train | NORMAL | 1,601 | 1.8% | 0.19 | 9% |
| train | SIDEWAYS | 592 | -1.3% | -0.16 | 11% |
| train | UPTREND | 902 | 21.4% | 1.44 | 18% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 38.6% | 2.10 | 16% |
| validation | EXTREME | 144 | 85.6% | 3.84 | 19% |
| validation | HIGH VOLATILITY | 258 | 17.9% | 1.20 | 6% |
| validation | LOW VOLATILITY | 183 | 9.1% | 0.75 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 34.5% | 1.91 | 15% |
| validation | NORMAL | 474 | -1.0% | -0.09 | 11% |
| validation | SIDEWAYS | 206 | -5.8% | -0.55 | 11% |
| validation | UPTREND | 425 | 43.2% | 2.21 | 19% |
Trades (full period)
88 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.78% | 10 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -1.69% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 12.55% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -1.84% | 10 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 4.87% | 16 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 3.78% | 12 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 2.97% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.89% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 8.01% | 14 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.25% | 10 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -1.92% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-10-09 | 2023-10-17 | $259.67 | $254.85 | -1.63% | 7 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.05% | 9 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.04% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.03% | 4 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -3.10% | 7 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 5.12% | 15 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -1.67% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -2.83% | 4 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 17.21% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.77% | 8 | |
| 2021-09-07 | 2021-09-21 | $250.97 | $246.46 | -0.36% | 11 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.08% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -2.96% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -4.11% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 7.11% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.06% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 17.20% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -3.10% | 4 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 7.49% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 7.98% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 6.50% | 17 | |
| 2020-05-01 | 2020-05-14 | $46.75 | $53.56 | 0.43% | 10 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 41.59% | 48 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 14.47% | 28 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -1.95% | 5 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.09% | 2 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.04% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.59% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -3.93% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.18% | 12 | |
| 2017-06-01 | 2017-06-27 | $22.69 | $24.16 | 4.67% | 19 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.33% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.14% | 3 | |
| 2017-03-28 | 2017-04-21 | $18.50 | $20.37 | 5.07% | 18 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 1.74% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 7.85% | 25 | |
| 2016-07-19 | 2016-08-09 | $15.02 | $15.27 | 0.84% | 16 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 3.71% | 9 | |
| 2016-03-21 | 2016-04-01 | $15.89 | $15.84 | -1.65% | 9 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -4.10% | 9 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.72% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.56% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 3.52% | 19 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.73% | 4 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -1.55% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 4.46% | 15 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 6.53% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.40% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -1.82% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -1.56% | 5 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 10.09% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 1.96% | 16 | |
| 2013-12-26 | 2014-01-10 | $10.37 | $9.71 | -1.27% | 11 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -0.75% | 2 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -3.37% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | -0.91% | 12 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -2.37% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 34.85% | 48 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 3.96% | 16 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 3.97% | 28 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -6.98% | 7 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -1.21% | 7 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.68% | 11 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -3.55% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -1.94% | 3 | |
| 2012-02-14 | 2012-02-29 | $2.21 | $2.23 | 2.35% | 11 |