LongTermTrend_V0831

ARCHIVEDhybrid

llmReduced base position to 0.7 to limit drawdown exposure; simplified and strengthened entry: require either a 20-day breakout OR price > SMA50 with positive MACD histogram, plus positive SMA200 slope, modest 20d return (>3%) and low volatility (vol_pctile < 0.7) to avoid choppy/high-vol periods; added regime gates (UPTREND, LOW_VOLATILITY, NORMAL) to avoid bad market regimes; tightened exits to exit on 20d drawdown < -8% or price crossing below SMA50 for quicker stops.

Fitness

0.4875

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

LongTermTrend_V0822S0822 · gen 37ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.4102

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0831  [hybrid]
if flat and ((breakout_20 > 0.5 or (close > sma_50 and macd_hist > 0.0)) and vol_pctile < 0.7 and ret_20d > 0.03 and sma_200_slope > 0.0):
    position = 0.7
if long and (ret_20d < -0.08 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.7%	42.2%	-2.5%	14.7%
Total Return	179.4%	187.3%	-8.9%	646.6%
Sharpe	0.74	1.21	-0.07	0.71
Sortino	0.70	1.23	-0.05	0.63
Calmar	0.39	1.56	-0.13	0.36
Volatility	20.2%	33.6%	16.3%	22.8%
Max DD	-35.0%	-27.0%	-18.7%	-40.3%
Win Rate	28.6%	36.4%	23.1%	28.8%
Avg Win	31.9%	44.6%	5.9%	31.4%
Avg Loss	-3.7%	-5.8%	-2.6%	-3.8%
Payoff	8.58	7.72	2.30	8.28
Expectancy	6.5%	12.6%	-0.6%	6.4%
Profit Factor	3.43	4.41	0.69	3.36
Trades	28	11	13	52
Avg Holding Days	24.5	34.5	16.1	24.7
Turnover	5.0	5.1	4.9	5.0
Exposure	23.3%	34.1%	14.6%	23.3%

Growth of $100

LongTermTrend_V0831 vs TSLA Buy & Hold

LongTermTrend_V0831 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	5.4%	1.28	-1.9%	0
2017	14.7%	0.84	-18.3%	5
2018	-15.6%	-1.51	-18.5%	3
2019	4.9%	0.59	-5.9%	1
2020	169.8%	2.31	-24.4%	4
2021	30.3%	1.13	-21.7%	3
2022	-20.6%	-1.15	-23.0%	4

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	273	-7.2%	-1.29	2%
hidden test	EXPENSIVE	83	48.0%	1.62	44%
hidden test	EXTREME	48	52.9%	1.51	35%
hidden test	HIGH VOLATILITY	254	-2.7%	-0.16	6%
hidden test	LOW VOLATILITY	433	13.9%	0.97	19%
hidden test	MEDIUM VOLATILITY	250	-25.8%	-1.40	17%
hidden test	NORMAL	806	-9.4%	-0.78	10%
hidden test	SIDEWAYS	293	-7.2%	-0.42	20%
hidden test	UPTREND	371	8.0%	0.39	19%
train	DOWNTREND	518	-6.8%	-1.08	3%
train	EXPENSIVE	311	31.2%	1.17	46%
train	EXTREME	100	291.2%	5.63	70%
train	HIGH VOLATILITY	699	35.2%	1.41	17%
train	LOW VOLATILITY	745	19.7%	1.25	31%
train	MEDIUM VOLATILITY	568	-16.4%	-0.88	21%
train	NORMAL	1,601	-5.6%	-0.40	16%
train	SIDEWAYS	592	-11.0%	-0.88	12%
train	UPTREND	902	44.3%	1.58	42%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	31.1%	0.78	46%
validation	EXTREME	144	182.5%	3.43	48%
validation	HIGH VOLATILITY	258	32.0%	0.75	23%
validation	LOW VOLATILITY	183	24.5%	1.31	46%
validation	MEDIUM VOLATILITY	315	57.6%	1.81	37%
validation	NORMAL	474	0.6%	0.03	26%
validation	SIDEWAYS	206	-6.6%	-0.35	23%
validation	UPTREND	425	75.8%	1.78	50%

Trades (full period)

52 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-04	2026-06-08	$392.51	$408.95	0.09%	25
2026-04-20	2026-04-22	$392.50	$387.51	-2.63%	3
2025-12-12	2026-01-05	$458.96	$451.67	-1.43%	15
2025-08-25	2025-11-14	$346.60	$404.35	12.98%	59
2025-08-08	2025-08-22	$329.65	$340.01	-0.58%	11
2025-05-12	2025-06-06	$318.38	$295.14	-2.91%	19
2024-12-10	2025-01-17	$400.99	$426.50	4.68%	26
2024-03-04	2024-03-05	$188.14	$180.74	-5.15%	2
2024-02-29	2024-03-01	$201.88	$202.64	-0.20%	2
2023-11-29	2024-01-10	$244.14	$233.94	-3.38%	29
2023-11-22	2023-11-24	$234.21	$235.45	-2.17%	2
2023-10-06	2023-10-16	$260.53	$253.92	-2.54%	7
2023-09-12	2023-09-22	$267.48	$244.88	-4.72%	9
2022-08-04	2022-09-01	$308.63	$277.16	-7.35%	21
2022-03-21	2022-04-27	$307.05	$293.84	-1.90%	27
2022-01-13	2022-01-14	$343.85	$349.87	-4.86%	2
2022-01-04	2022-01-07	$383.20	$342.32	-8.10%	4
2021-06-24	2021-12-03	$226.61	$338.32	43.24%	114
2021-04-14	2021-04-30	$244.08	$236.48	-8.02%	13
2020-11-18	2021-02-23	$162.21	$232.95	41.33%	65
2020-10-15	2020-10-29	$149.63	$136.94	-8.63%	11
2020-08-26	2020-09-25	$143.54	$135.78	-1.61%	22
2020-05-22	2020-08-12	$54.46	$103.65	44.03%	57
2019-12-13	2020-03-05	$23.89	$48.30	70.15%	56
2019-03-01	2019-03-04	$19.65	$19.02	-5.63%	2
2018-12-04	2018-12-21	$23.98	$21.32	-8.62%	13
2018-03-14	2018-03-15	$21.78	$21.71	-3.25%	2
2018-01-09	2018-02-09	$22.25	$20.69	-4.44%	23
2017-12-12	2017-12-27	$22.74	$20.78	-2.59%	11
2017-09-15	2017-09-26	$25.32	$23.02	-6.23%	8
2017-08-04	2017-08-21	$23.79	$22.52	-0.03%	12
2017-03-28	2017-07-06	$18.50	$20.59	14.65%	70
2016-12-14	2017-03-09	$13.25	$16.33	16.73%	58
2015-12-18	2016-01-05	$15.36	$14.90	-3.08%	11
2015-12-10	2015-12-14	$15.14	$14.57	-2.46%	3
2015-09-22	2015-09-29	$17.40	$16.44	-4.33%	6
2015-05-13	2015-07-28	$16.21	$17.65	2.42%	53
2015-02-23	2015-02-24	$13.82	$13.61	-3.29%	2
2014-11-25	2014-12-02	$16.54	$15.43	-4.42%	5
2014-11-12	2014-11-24	$16.61	$16.45	-2.43%	9
2014-06-16	2014-09-23	$14.97	$16.69	14.72%	70
2014-06-12	2014-06-13	$13.57	$13.76	-0.47%	2
2014-06-09	2014-06-11	$13.69	$13.63	-2.12%	3
2014-05-28	2014-06-03	$14.02	$13.66	-2.41%	5
2014-01-24	2014-03-26	$11.64	$14.20	15.03%	43
2014-01-03	2014-01-14	$9.97	$10.75	-5.17%	8
2013-03-27	2013-10-24	$2.54	$11.54	188.34%	148
2013-02-04	2013-02-22	$2.52	$2.41	-5.79%	14
2012-11-06	2013-01-14	$2.08	$2.22	3.13%	47
2012-07-13	2012-07-24	$2.28	$1.99	-4.41%	8
2012-06-19	2012-07-03	$2.14	$2.04	-3.21%	11
2012-02-15	2012-04-10	$2.24	$2.16	0.11%	38