Strategy Zoo / S0811
LongTermTrend_V0811
ARCHIVEDhybridllmAdded explicit uptrend & bubble regime gating; simplified & consolidated entry into three clean branches (trend-follow, volume breakout, momentum) with stronger trend filter (sma_50>sma_200 and positive sma_200_slope). Replaced single MACD exit with composite exit (MACD negative OR price below sma_50 OR sharp 5d loss) to reduce drawdowns. Introduced volatility-based position scaling (reduce exposure when vol_pctile high) and lowered base position to 0.8 to control risk.
Fitness
0.4518
Generation
37
Complexity
18
Created
2026-09-26
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 2.0784
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0811 [hybrid]
if flat and ((close > sma_50 and sma_50 > sma_200 and macd_hist > 0.0 and sma_200_slope > 0.0) or (breakout_50 == 1 and rel_volume > 1.5 and vol_pctile < 0.9) or (ret_20d > 0.05 and cumret_252d > -0.2 and dist_sma_50 > -0.1)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.6% | 49.8% | 7.1% | 16.3% |
| Total Return | 107.9% | 236.1% | 28.9% | 822.2% |
| Sharpe | 0.49 | 1.27 | 0.40 | 0.68 |
| Sortino | 0.50 | 1.36 | 0.39 | 0.69 |
| Calmar | 0.18 | 1.69 | 0.16 | 0.31 |
| Volatility | 25.1% | 37.2% | 24.0% | 27.8% |
| Max DD | -52.2% | -29.4% | -44.8% | -52.2% |
| Win Rate | 41.4% | 51.2% | 39.0% | 43.3% |
| Avg Win | 5.0% | 6.1% | 5.4% | 5.6% |
| Avg Loss | -2.5% | -2.8% | -2.7% | -2.6% |
| Payoff | 2.02 | 2.21 | 2.02 | 2.16 |
| Expectancy | 0.6% | 1.8% | 0.5% | 1.0% |
| Profit Factor | 1.42 | 2.32 | 1.29 | 1.65 |
| Trades | 174 | 86 | 77 | 337 |
| Avg Holding Days | 5.4 | 4.8 | 5.0 | 5.2 |
| Turnover | 35.0 | 45.9 | 33.4 | 36.7 |
| Exposure | 30.8% | 34.9% | 26.8% | 30.6% |
Growth of $100
LongTermTrend_V0811 vs TSLA Buy & Hold
LongTermTrend_V0811 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 | 16.0% | 1.18 | -12.7% | 13 |
| 2017 | 10.8% | 0.65 | -11.9% | 27 |
| 2018 | -12.5% | -0.61 | -22.8% | 18 |
| 2019 | -13.3% | -0.38 | -38.2% | 13 |
| 2020 | 205.1% | 2.32 | -29.4% | 37 |
| 2021 | 9.9% | 0.49 | -20.4% | 31 |
| 2022 | -0.1% | 0.10 | -14.1% | 16 |
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 | -14.4% | -0.81 | 18% |
| hidden test | EXPENSIVE | 83 | 44.8% | 1.18 | 40% |
| hidden test | EXTREME | 48 | 120.9% | 3.22 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 24.9% | 0.87 | 23% |
| hidden test | LOW VOLATILITY | 432 | 32.7% | 1.62 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.4% | -1.85 | 25% |
| hidden test | NORMAL | 805 | -0.5% | -0.03 | 25% |
| hidden test | SIDEWAYS | 293 | -12.3% | -0.68 | 27% |
| hidden test | UPTREND | 371 | 44.7% | 1.44 | 33% |
| train | DOWNTREND | 518 | -14.1% | -1.08 | 11% |
| train | EXPENSIVE | 311 | 32.2% | 1.13 | 47% |
| train | EXTREME | 100 | 278.4% | 4.87 | 66% |
| train | HIGH VOLATILITY | 699 | 30.0% | 0.90 | 28% |
| train | LOW VOLATILITY | 745 | 17.3% | 0.97 | 37% |
| train | MEDIUM VOLATILITY | 568 | -16.2% | -0.77 | 26% |
| train | NORMAL | 1,601 | -8.2% | -0.40 | 25% |
| train | SIDEWAYS | 592 | 0.4% | 0.02 | 29% |
| train | UPTREND | 902 | 35.2% | 1.08 | 43% |
| validation | DOWNTREND | 125 | 35.1% | 2.25 | 7% |
| validation | EXPENSIVE | 138 | 37.7% | 0.95 | 38% |
| validation | EXTREME | 144 | 208.3% | 3.29 | 62% |
| validation | HIGH VOLATILITY | 258 | 41.5% | 0.84 | 30% |
| validation | LOW VOLATILITY | 183 | 10.9% | 0.62 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 73.3% | 2.18 | 38% |
| validation | NORMAL | 474 | 1.2% | 0.05 | 26% |
| validation | SIDEWAYS | 206 | -8.7% | -0.39 | 26% |
| validation | UPTREND | 425 | 78.1% | 1.69 | 48% |
Trades (full period)
latest 100 of 338
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | — | $375.30 | — | 2.92% | 5 | OPEN |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.35% | 7 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.76% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.55% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 1.92% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.14% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 3.95% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.71% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -0.84% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 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 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.09% | 12 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-04-29 | 2025-06-03 | $292.03 | $344.27 | 15.63% | 25 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.97% | 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 | |
| 2024-11-06 | 2024-11-29 | $288.53 | $345.16 | 25.46% | 17 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-10 | 2024-10-04 | $226.17 | $250.08 | 8.88% | 19 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 2 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 3.23% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 4.31% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.42% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -1.79% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 17.20% | 17 | |
| 2024-05-14 | 2024-05-30 | $177.55 | $178.79 | 1.91% | 12 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -4.63% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.88% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.22% | 2 | |
| 2024-02-27 | 2024-02-28 | $199.73 | $202.04 | -0.03% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.53% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.44% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-05-24 | 2023-06-27 | $182.90 | $250.21 | 23.20% | 23 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -5.39% | 3 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-07-19 | 2022-08-12 | $245.53 | $300.03 | 15.11% | 19 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.27% | 2 | |
| 2022-06-27 | 2022-06-28 | $244.92 | $232.66 | -0.42% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.11% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.58% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 2.81% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 2.44% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -1.71% | 2 |