Strategy Zoo / S0918
LongTermTrend_V0918
ARCHIVEDhybridllm1) Simplified and de-overfitted entry: replaced overly-specific stacked ret_20d/cumret thresholds with two robust paths — a trend-following path (price>200sma, positive 200sma slope, moderate 20d momentum and 1y participation) and a volume-confirmed 20-day breakout path (breakout_20 + rel_volume>1.5 + macd_hist>0 + price>50sma). 2) Added exit stop: keep macd_hist<0 exit but add a hard drawdown stop (>12%) to limit large losing streaks. 3) Introduced regime gates: allow only UPTREND and low/medium volatility, and exclude bubble regimes above NORMAL to reduce tail risk. 4) Reduced base_position to 0.8 to lower overall risk and drawdown sensitivity. These structural changes aim to improve out-of-sample robustness and reduce overfitting.
Fitness
0.3363
Generation
42
Complexity
16
Created
2026-09-30
Lineage
Parents (1)
changed sma_200_slope threshold -0.0024 -> -0.0003; changed cumret_252d threshold -0.1997 -> 0.2888
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0918 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.02 and cumret_252d > 0.12 and dist_sma_50 > -0.15) or (breakout_20 == 1 and rel_volume > 1.5 and macd_hist > 0.0 and close > sma_50)):
position = 0.8
if long and (macd_hist < 0.0 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.5% | 44.2% | -0.4% | 4.6% |
| Total Return | -36.1% | 199.8% | -1.4% | 93.4% |
| Sharpe | -0.26 | 1.52 | 0.06 | 0.33 |
| Sortino | -0.17 | 1.64 | 0.04 | 0.25 |
| Calmar | -0.12 | 1.58 | -0.02 | 0.10 |
| Volatility | 16.2% | 26.4% | 16.9% | 18.9% |
| Max DD | -44.7% | -28.0% | -18.9% | -44.7% |
| Win Rate | 38.8% | 55.4% | 39.4% | 43.9% |
| Avg Win | 3.8% | 6.1% | 4.3% | 4.9% |
| Avg Loss | -3.1% | -2.5% | -2.7% | -2.9% |
| Payoff | 1.24 | 2.42 | 1.60 | 1.72 |
| Expectancy | -0.4% | 2.3% | 0.1% | 0.6% |
| Profit Factor | 0.79 | 3.00 | 1.04 | 1.34 |
| Trades | 98 | 56 | 33 | 187 |
| Avg Holding Days | 5.2 | 5.4 | 6.2 | 5.5 |
| Turnover | 19.7 | 29.9 | 14.2 | 20.3 |
| Exposure | 16.6% | 26.2% | 14.6% | 18.1% |
Growth of $100
LongTermTrend_V0918 vs TSLA Buy & Hold
LongTermTrend_V0918 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 | 3.0% | 0.38 | -9.2% | 2 |
| 2017 | 5.5% | 0.41 | -14.7% | 24 |
| 2018 | -17.0% | -1.76 | -17.7% | 6 |
| 2019 | -0.9% | -0.06 | -8.5% | 1 |
| 2020 | 141.2% | 3.04 | -10.8% | 18 |
| 2021 | 18.6% | 0.74 | -22.6% | 29 |
| 2022 | 4.5% | 0.33 | -12.6% | 8 |
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 | -3.3% | -0.36 | 7% |
| hidden test | EXPENSIVE | 83 | 33.0% | 1.23 | 32% |
| hidden test | EXTREME | 48 | 23.7% | 0.93 | 13% |
| hidden test | HIGH VOLATILITY | 254 | -11.4% | -1.01 | 1% |
| hidden test | LOW VOLATILITY | 434 | 22.9% | 1.44 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.2% | -1.08 | 18% |
| hidden test | NORMAL | 807 | -3.6% | -0.24 | 13% |
| hidden test | SIDEWAYS | 293 | -7.8% | -0.49 | 19% |
| hidden test | UPTREND | 371 | 11.2% | 0.52 | 17% |
| train | DOWNTREND | 518 | 0.4% | 0.05 | 4% |
| train | EXPENSIVE | 311 | 12.3% | 0.52 | 27% |
| train | EXTREME | 100 | 30.8% | 1.60 | 22% |
| train | HIGH VOLATILITY | 699 | -9.7% | -0.70 | 1% |
| train | LOW VOLATILITY | 745 | 14.0% | 0.88 | 30% |
| train | MEDIUM VOLATILITY | 568 | -21.5% | -1.13 | 18% |
| train | NORMAL | 1,601 | -9.7% | -0.68 | 14% |
| train | SIDEWAYS | 592 | -13.2% | -0.82 | 16% |
| train | UPTREND | 902 | -1.1% | -0.06 | 24% |
| validation | DOWNTREND | 125 | -1.9% | -0.13 | 7% |
| validation | EXPENSIVE | 138 | 47.6% | 1.45 | 38% |
| validation | EXTREME | 144 | 131.6% | 4.32 | 18% |
| validation | HIGH VOLATILITY | 258 | 22.0% | 1.22 | 2% |
| validation | LOW VOLATILITY | 183 | 25.4% | 1.36 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 63.3% | 1.83 | 39% |
| validation | NORMAL | 474 | 10.1% | 0.45 | 25% |
| validation | SIDEWAYS | 206 | 13.2% | 0.64 | 25% |
| validation | UPTREND | 425 | 65.4% | 2.10 | 33% |
Trades (full period)
latest 100 of 187
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.23% | 12 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 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 | |
| 2026-04-20 | 2026-05-21 | $392.50 | $417.85 | 3.26% | 24 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -1.80% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 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 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.28% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.34% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 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 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -2.46% | 10 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -5.29% | 10 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.98% | 9 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-17 | 2023-12-14 | $234.30 | $251.05 | 1.82% | 19 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 4.34% | 16 | |
| 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 | |
| 2022-03-01 | 2022-03-15 | $288.12 | $267.30 | -9.75% | 11 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.39% | 2 | |
| 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 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 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 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 1.07% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -0.90% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 1.61% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-11 | 2021-07-12 | $203.30 | $228.57 | 5.99% | 21 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-09 | 2021-04-29 | $225.67 | $225.67 | 1.21% | 15 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -4.36% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 31.86% | 21 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -5.24% | 4 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.71% | 2 | |
| 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 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 9.89% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.97% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 6.20% | 2 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 5.42% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.29% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 7.16% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 5.88% | 2 | |
| 2020-05-27 | 2020-05-28 | $54.68 | $53.72 | -0.03% | 2 | |
| 2019-12-17 | 2020-01-31 | $25.27 | $43.37 | 51.65% | 31 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -7.06% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.57% | 11 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-10-09 | 2017-10-10 | $22.86 | $23.71 | -3.28% | 2 | |
| 2017-10-05 | 2017-10-06 | $23.69 | $23.79 | -0.09% | 2 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.79% | 7 |