LongTermTrend_V0895

ARCHIVEDhybrid

llmRemoved duplicate ret_20d clause and tightened long-term drawdown gate; added RSI < 70 filter and requirement of recent breakout or not-too-far-from-52w-high to avoid weak momentum entries; added exit condition: close < sma_50 to cut losses earlier; introduced regime gates (only UPTREND, LOW/MED volatility, exclude EXTREME bubbles); added volatility- and RSI-based position sizing to reduce size in high-vol or overbought conditions.

Fitness

0.2715

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

LongTermTrend_V0822S0822 · gen 37ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.4102

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0895  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.3) and rsi_14 < 70.0 and (breakout_20 > 0.0 or dist_52w_high < 0.5)):
    position = 1.0
if long and (ret_20d < -0.1003 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.4%	28.2%	-7.9%	3.4%
Total Return	2.9%	110.7%	-26.5%	64.1%
Sharpe	0.11	1.07	-0.33	0.27
Sortino	0.07	0.77	-0.15	0.16
Calmar	0.01	0.74	-0.21	0.06
Volatility	18.5%	26.4%	19.4%	20.6%
Max DD	-46.5%	-38.1%	-37.6%	-55.9%
Win Rate	38.5%	50.0%	33.3%	40.4%
Avg Win	8.8%	26.2%	5.5%	15.8%
Avg Loss	-6.2%	-9.3%	-7.3%	-7.1%
Payoff	1.43	2.83	0.75	2.23
Expectancy	-0.4%	8.5%	-3.1%	2.2%
Profit Factor	0.89	2.83	0.37	1.51
Trades	26	12	9	47
Avg Holding Days	14.4	16.0	13.1	15.1
Turnover	6.6	8.0	4.8	6.4
Exposure	18.4%	23.8%	11.6%	17.8%

Growth of $100

LongTermTrend_V0895 vs TSLA Buy & Hold

LongTermTrend_V0895 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	-14.2%	-1.51	-15.6%	3
2017	-9.4%	-0.39	-18.8%	10
2018	-15.2%	-1.46	-16.4%	2
2019	26.1%	2.25	-3.8%	0
2020	86.7%	2.50	-12.1%	4
2021	36.7%	1.11	-24.4%	5
2022	-20.5%	-1.25	-23.4%	3

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	274	0.0%	0.00	0%
hidden test	EXPENSIVE	83	77.5%	1.95	55%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-22.8%	-1.38	1%
hidden test	LOW VOLATILITY	434	11.5%	0.81	12%
hidden test	MEDIUM VOLATILITY	250	-20.6%	-0.74	22%
hidden test	NORMAL	807	-15.4%	-0.93	8%
hidden test	SIDEWAYS	293	-13.8%	-1.03	1%
hidden test	UPTREND	371	-5.2%	-0.18	28%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	27.2%	0.91	35%
train	EXTREME	100	11.6%	1.55	1%
train	HIGH VOLATILITY	699	5.7%	0.35	2%
train	LOW VOLATILITY	745	18.8%	0.95	35%
train	MEDIUM VOLATILITY	568	-24.4%	-1.25	17%
train	NORMAL	1,601	-3.4%	-0.22	16%
train	SIDEWAYS	592	-2.9%	-0.78	1%
train	UPTREND	902	6.5%	0.24	41%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	111.3%	2.87	58%
validation	EXTREME	144	47.3%	2.61	3%
validation	HIGH VOLATILITY	258	-8.2%	-0.66	1%
validation	LOW VOLATILITY	183	20.8%	1.04	41%
validation	MEDIUM VOLATILITY	315	62.6%	1.73	33%
validation	NORMAL	474	-1.6%	-0.07	20%
validation	SIDEWAYS	206	-16.4%	-1.20	1%
validation	UPTREND	425	58.4%	1.73	42%

Trades (full period)

47 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2025-12-15	2026-01-05	$475.31	$451.67	-4.74%	14
2025-09-12	2025-11-14	$395.94	$404.35	8.79%	46
2025-09-04	2025-09-05	$338.53	$350.84	1.13%	2
2025-05-22	2025-06-06	$341.04	$295.14	-15.09%	11
2024-10-03	2024-10-14	$240.66	$219.16	-12.71%	8
2024-09-23	2024-09-27	$250.00	$260.46	6.49%	5
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2023-06-26	2023-08-03	$241.05	$259.32	-1.17%	28
2022-08-16	2022-08-22	$306.56	$289.91	-4.28%	5
2022-04-06	2022-04-27	$348.59	$293.84	-19.85%	15
2022-01-12	2022-01-13	$368.74	$343.85	3.73%	2
2021-11-23	2021-12-03	$369.68	$338.32	-6.44%	8
2021-08-24	2021-11-10	$236.16	$355.98	44.62%	56
2021-08-05	2021-08-23	$238.21	$235.43	-4.50%	13
2021-01-12	2021-02-23	$283.15	$232.95	-12.09%	29
2020-12-10	2021-01-11	$209.02	$270.40	45.30%	21
2020-11-19	2020-12-08	$166.42	$216.63	31.62%	13
2020-10-13	2020-10-29	$148.88	$136.94	-8.39%	13
2020-06-25	2020-06-30	$65.73	$71.99	4.84%	4
2019-11-29	2020-01-22	$22.00	$37.97	64.84%	36
2018-11-29	2018-12-21	$22.74	$21.32	-9.52%	16
2018-02-01	2018-02-06	$23.28	$22.26	-6.17%	4
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-15	2017-08-18	$24.16	$23.16	-3.46%	4
2017-08-04	2017-08-07	$23.79	$23.68	2.63%	2
2017-06-30	2017-07-06	$24.11	$20.59	-9.51%	4
2017-06-05	2017-06-14	$23.15	$25.38	10.40%	8
2017-05-12	2017-05-19	$21.65	$20.72	-3.30%	6
2017-04-24	2017-05-10	$20.54	$21.68	4.92%	13
2017-04-20	2017-04-21	$20.17	$20.37	-1.18%	2
2017-03-28	2017-04-04	$18.50	$20.25	10.26%	6
2017-02-17	2017-02-28	$18.15	$16.67	-8.63%	7
2016-07-26	2016-08-29	$15.30	$14.35	-4.55%	25
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-11	2016-05-05	$16.66	$14.10	-11.18%	19
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-05-21	2015-07-28	$16.37	$17.65	3.34%	47
2014-06-23	2014-09-23	$15.81	$16.69	8.69%	65
2014-03-20	2014-03-26	$15.66	$14.20	-6.72%	5
2014-02-13	2014-02-26	$13.31	$16.87	26.72%	9
2013-09-09	2013-10-24	$10.71	$11.54	-1.68%	34
2013-03-26	2013-04-02	$2.52	$2.96	16.82%	5
2013-01-31	2013-02-22	$2.50	$2.41	-6.48%	16
2012-12-18	2013-01-14	$2.31	$2.22	-4.52%	18
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-04-10	$2.30	$2.16	-3.32%	33