LongTermTrend_V0874

ARCHIVEDhybrid

llmSimplified and strengthened trend+momentum entry: use sma_50>sma_200 with positive slope, require modest 20d momentum (ret_20d>3%) and a recent breakout/20d high. Added volatility filter vol_pctile<0.6 to avoid choppy/high-vol entries. Replaced redundant ret_20d checks. Improved exits: multi-condition exit (20d loss <-8%, low RSI, extreme vol spike, or drawdown<-12%) for earlier risk control. Added regime gates to require UPTREND, LOW_VOLATILITY and NORMAL bubble. Reduced base_position to 0.8 to lower leverage and drawdown.

Fitness

0.4361

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

LongTermTrend_V0605S0605 · gen 28ARCHIVEDllm

entry from LongTermTrend_V0323, exit from PriceMomentum_V0557

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0874  [hybrid]
if flat and ((sma_50 > sma_200 and sma_50_slope > 0.0) and ret_20d > 0.03 and (breakout_20 > 0.0 or roll_high_20 > 0.0) and vol_pctile < 0.6):
    position = 0.8
if long and (ret_20d < -0.08 or rsi_14 < 35.0 or vol_pctile > 0.95 or drawdown < -0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.3%	51.0%	-7.7%	8.6%
Total Return	29.3%	244.1%	-25.7%	238.2%
Sharpe	0.27	1.69	-0.56	0.53
Sortino	0.18	1.53	-0.27	0.37
Calmar	0.14	1.85	-0.28	0.19
Volatility	17.9%	26.4%	12.9%	19.0%
Max DD	-24.1%	-27.5%	-27.8%	-45.9%
Win Rate	31.3%	47.8%	32.0%	36.3%
Avg Win	6.8%	16.8%	1.9%	10.1%
Avg Loss	-2.2%	-2.4%	-2.6%	-2.4%
Payoff	3.07	7.10	0.74	4.26
Expectancy	0.6%	6.8%	-1.1%	2.2%
Profit Factor	1.39	6.51	0.35	2.42
Trades	32	23	25	80
Avg Holding Days	12.6	8.5	4.6	9.1
Turnover	6.5	12.3	10.8	8.7
Exposure	15.2%	18.3%	7.8%	14.0%

Growth of $100

LongTermTrend_V0874 vs TSLA Buy & Hold

LongTermTrend_V0874 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	-2.5%	-1.30	-2.9%	5
2017	8.0%	0.47	-16.9%	5
2018	-6.6%	-1.20	-8.6%	1
2019	7.7%	0.84	-5.1%	4
2020	217.6%	3.34	-14.2%	6
2021	16.7%	0.73	-18.0%	12
2022	-10.2%	-1.56	-11.7%	5

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-4.8%	-0.18	37%
hidden test	EXTREME	48	23.7%	0.93	13%
hidden test	HIGH VOLATILITY	254	-2.9%	-1.05	0%
hidden test	LOW VOLATILITY	433	4.1%	0.36	9%
hidden test	MEDIUM VOLATILITY	250	-31.0%	-1.58	14%
hidden test	NORMAL	806	-9.3%	-1.02	4%
hidden test	SIDEWAYS	293	-3.5%	-1.18	1%
hidden test	UPTREND	371	-15.3%	-0.76	19%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	29.5%	1.02	47%
train	EXTREME	100	98.4%	2.57	23%
train	HIGH VOLATILITY	699	8.1%	0.40	7%
train	LOW VOLATILITY	745	9.3%	0.61	22%
train	MEDIUM VOLATILITY	568	-5.2%	-0.28	17%
train	NORMAL	1,601	-5.8%	-0.48	8%
train	SIDEWAYS	592	3.6%	0.79	2%
train	UPTREND	902	8.4%	0.32	33%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	65.9%	2.00	44%
validation	EXTREME	144	171.6%	4.12	27%
validation	HIGH VOLATILITY	258	35.7%	1.30	6%
validation	LOW VOLATILITY	183	23.5%	1.61	21%
validation	MEDIUM VOLATILITY	315	64.2%	2.11	27%
validation	NORMAL	474	-0.2%	-0.01	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	79.4%	2.26	33%

Trades (full period)

80 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-12	2026-01-16	$458.96	$437.50	-1.55%	24
2025-10-14	2025-11-14	$429.24	$404.35	-6.25%	24
2025-09-22	2025-10-13	$434.21	$435.90	-2.39%	16
2025-09-17	2025-09-19	$425.86	$426.07	-1.06%	3
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2024-12-11	2024-12-23	$424.77	$430.60	3.98%	9
2024-10-11	2024-10-14	$217.80	$219.16	-7.18%	2
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
2024-10-03	2024-10-04	$240.66	$250.08	-2.84%	2
2024-09-05	2024-09-06	$230.17	$210.73	3.76%	2
2024-09-03	2024-09-04	$210.60	$219.41	-1.47%	2
2024-01-03	2024-01-04	$238.45	$237.93	-3.37%	2
2023-07-31	2023-08-01	$267.43	$261.07	0.14%	2
2023-07-27	2023-07-28	$255.71	$266.44	-2.77%	2
2023-07-25	2023-07-26	$265.28	$264.35	-1.28%	2
2023-07-19	2023-07-20	$291.26	$262.90	-0.73%	2
2023-07-17	2023-07-18	$290.38	$293.34	2.40%	2
2023-07-13	2023-07-14	$277.90	$281.38	1.58%	2
2023-07-11	2023-07-12	$269.79	$271.99	-0.11%	2
2023-07-07	2023-07-10	$274.43	$269.61	-0.77%	2
2023-07-05	2023-07-06	$282.48	$276.54	0.60%	2
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
2023-06-26	2023-06-27	$241.05	$250.21	-5.00%	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
2022-04-08	2022-04-11	$341.83	$325.31	-2.56%	2
2022-04-05	2022-04-07	$363.75	$352.42	-7.15%	3
2021-12-09	2021-12-10	$334.60	$339.01	-5.03%	2
2021-10-04	2021-11-10	$260.51	$355.98	25.18%	28
2021-09-28	2021-10-01	$259.19	$258.41	-1.76%	4
2021-09-24	2021-09-27	$258.13	$263.79	2.04%	2
2021-09-22	2021-09-23	$250.65	$251.21	1.20%	2
2021-09-20	2021-09-21	$243.39	$246.46	-3.25%	2
2021-09-16	2021-09-17	$252.33	$253.16	-0.04%	2
2021-09-14	2021-09-15	$248.16	$251.94	0.00%	2
2021-09-09	2021-09-10	$251.62	$245.42	-0.06%	2
2021-09-07	2021-09-08	$250.97	$251.29	1.95%	2
2021-09-01	2021-09-02	$244.70	$244.13	-0.34%	2
2020-11-19	2021-02-23	$166.42	$232.95	36.73%	64
2020-10-26	2020-10-27	$140.09	$141.56	-0.23%	2
2020-10-22	2020-10-23	$141.93	$140.21	0.44%	2
2020-10-16	2020-10-20	$146.56	$140.65	-3.38%	3
2020-06-01	2020-07-27	$59.87	$102.64	53.54%	40
2020-05-28	2020-05-29	$53.72	$55.67	-1.57%	2
2019-12-13	2020-02-04	$23.89	$59.14	86.57%	35
2019-12-04	2019-12-05	$22.20	$22.02	-0.91%	2
2019-12-02	2019-12-03	$22.32	$22.41	1.03%	2
2019-11-27	2019-11-29	$22.09	$22.00	0.42%	2
2019-11-22	2019-11-25	$22.20	$22.42	-5.07%	2
2018-12-13	2018-12-19	$25.12	$22.20	-6.62%	5
2017-08-17	2017-10-17	$23.46	$23.72	-2.75%	43
2017-03-28	2017-07-06	$18.50	$20.59	16.71%	70
2017-02-07	2017-02-28	$17.17	$16.67	-3.66%	15
2017-02-03	2017-02-06	$16.76	$17.18	-0.23%	2
2017-02-01	2017-02-02	$16.62	$16.77	-1.01%	2
2016-08-05	2016-08-08	$15.34	$15.08	-0.36%	2
2016-08-03	2016-08-04	$15.05	$15.37	-0.66%	2
2016-08-01	2016-08-02	$15.33	$15.15	-1.79%	2
2016-07-28	2016-07-29	$15.37	$15.65	0.58%	2
2016-07-26	2016-07-27	$15.30	$15.23	-0.33%	2
2015-06-18	2015-08-07	$17.46	$16.17	-4.35%	36
2015-06-12	2015-06-15	$16.71	$16.69	-0.39%	2
2015-06-10	2015-06-11	$16.71	$16.76	-1.81%	2
2014-08-05	2014-09-23	$15.90	$16.69	3.86%	35
2014-07-15	2014-07-16	$14.64	$14.48	-2.67%	2
2014-07-11	2014-07-14	$14.54	$15.11	-0.64%	2
2014-07-09	2014-07-10	$14.87	$14.63	1.30%	2
2014-06-23	2014-07-08	$15.81	$14.60	-2.54%	11
2014-02-13	2014-03-25	$13.31	$14.70	10.21%	28
2013-10-11	2013-10-24	$11.91	$11.54	-4.02%	10
2013-09-09	2013-10-10	$10.71	$11.53	0.87%	24
2013-06-28	2013-07-17	$7.16	$8.02	-0.01%	13
2013-05-02	2013-05-10	$3.61	$5.12	23.93%	7
2013-03-26	2013-04-11	$2.52	$2.91	9.22%	12
2013-01-24	2013-02-26	$2.47	$2.30	-3.61%	23
2012-12-21	2012-12-31	$2.27	$2.26	-2.97%	6
2012-02-23	2012-04-10	$2.30	$2.16	-2.46%	33