LongTermTrend_V0924

ARCHIVEDhybrid

llmSimplified and strengthened entry to confirm intermediate trend (price > sma_50, sma_50_slope > 0) plus momentum (macd_hist>0) and modest 20d return filter; added regime gates to only trade in broad uptrends (price>sma_200 and sma_200_slope>0), avoid high volatility (vol_pctile<0.7) and extreme 52w-high proximity; improved exit with multi-criteria (short 20d drawdown, price back below sma_50, or RSI overbought) to reduce deep drawdowns; added position scaling: full size on 20d breakout, reduce to 40% in higher volatility; lowered base_position to 0.8 to reduce exposure.

Fitness

0.3340

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

LongTermTrend_V0605S0605 · gen 28ARCHIVEDllm

entry from LongTermTrend_V0323, exit from PriceMomentum_V0557

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0924  [hybrid]
if flat and (close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.04 and macd_hist > 0.0 and cumret_252d > -0.2):
    position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or rsi_14 > 75.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.1%	7.5%	-1.7%	11.3%
Total Return	303.5%	24.2%	-6.0%	381.5%
Sharpe	0.86	0.38	0.04	0.54
Sortino	0.83	0.33	0.03	0.46
Calmar	0.36	0.16	-0.06	0.21
Volatility	23.5%	33.9%	23.0%	25.9%
Max DD	-53.6%	-47.0%	-27.4%	-53.6%
Win Rate	59.2%	60.0%	57.7%	59.5%
Avg Win	7.0%	6.2%	5.0%	6.4%
Avg Loss	-4.7%	-7.2%	-6.8%	-5.8%
Payoff	1.48	0.87	0.75	1.09
Expectancy	2.2%	0.9%	0.0%	1.4%
Profit Factor	2.15	1.30	1.02	1.60
Trades	76	45	26	148
Avg Holding Days	10.2	7.4	9.6	9.2
Turnover	15.3	24.0	11.2	16.1
Exposure	28.0%	30.4%	19.1%	26.2%

Growth of $100

LongTermTrend_V0924 vs TSLA Buy & Hold

LongTermTrend_V0924 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	-5.8%	-0.58	-14.0%	4
2017	8.3%	0.50	-18.6%	17
2018	-30.6%	-1.53	-31.2%	8
2019	6.1%	0.38	-19.1%	14
2020	83.8%	1.50	-26.3%	29
2021	10.5%	0.51	-19.8%	11
2022	-40.8%	-2.64	-40.7%	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	274	0.0%	0.00	0%
hidden test	EXPENSIVE	83	65.4%	1.79	54%
hidden test	EXTREME	48	69.3%	1.60	53%
hidden test	HIGH VOLATILITY	254	-10.1%	-0.34	19%
hidden test	LOW VOLATILITY	434	18.8%	1.21	17%
hidden test	MEDIUM VOLATILITY	250	-18.6%	-0.72	24%
hidden test	NORMAL	807	-9.7%	-0.51	13%
hidden test	SIDEWAYS	293	-16.4%	-1.12	10%
hidden test	UPTREND	371	15.4%	0.45	40%
train	DOWNTREND	518	2.2%	0.74	1%
train	EXPENSIVE	311	28.7%	0.96	48%
train	EXTREME	100	338.8%	6.33	70%
train	HIGH VOLATILITY	699	35.2%	1.14	25%
train	LOW VOLATILITY	745	28.0%	1.60	37%
train	MEDIUM VOLATILITY	568	-8.6%	-0.44	20%
train	NORMAL	1,601	-1.4%	-0.08	21%
train	SIDEWAYS	592	-16.9%	-1.14	11%
train	UPTREND	902	54.9%	1.67	54%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	5.0%	0.12	48%
validation	EXTREME	144	131.9%	2.48	44%
validation	HIGH VOLATILITY	258	9.5%	0.21	23%
validation	LOW VOLATILITY	183	-3.8%	-0.20	39%
validation	MEDIUM VOLATILITY	315	25.6%	0.83	31%
validation	NORMAL	474	-20.8%	-0.98	21%
validation	SIDEWAYS	206	-28.0%	-1.78	9%
validation	UPTREND	425	36.7%	0.84	50%

Trades (full period)

latest 100 of 148

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-14	2026-06-08	$443.30	$408.95	-9.93%	17
2025-12-15	2026-01-05	$475.31	$451.67	-3.75%	14
2025-09-26	2025-11-14	$440.40	$404.35	-3.91%	36
2025-09-23	2025-09-25	$425.85	$423.39	1.43%	3
2025-09-19	2025-09-22	$426.07	$434.21	1.61%	2
2025-09-17	2025-09-18	$425.86	$416.85	0.64%	2
2025-08-25	2025-09-16	$346.60	$421.62	16.10%	16
2025-05-16	2025-06-06	$349.98	$295.14	-13.71%	15
2024-12-18	2025-01-17	$440.13	$426.50	-11.04%	20
2024-12-16	2024-12-17	$463.02	$479.86	4.75%	2
2024-12-12	2024-12-13	$418.10	$436.23	-1.42%	2
2024-11-12	2024-12-11	$328.49	$424.77	11.52%	21
2024-11-07	2024-11-11	$296.91	$350.00	8.85%	3
2024-09-11	2024-10-14	$228.13	$219.16	-2.94%	24
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-11	2024-08-02	$241.03	$207.67	-14.21%	17
2024-07-09	2024-07-10	$262.33	$263.26	2.81%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.50%	2
2024-06-27	2024-07-03	$197.42	$246.39	13.91%	5
2023-06-21	2023-08-03	$259.46	$259.32	-5.87%	31
2023-06-16	2023-06-20	$260.54	$274.45	1.29%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.75%	2
2023-06-12	2023-06-13	$249.83	$258.71	1.62%	2
2023-06-08	2023-06-09	$234.86	$244.40	3.50%	2
2023-06-06	2023-06-07	$221.31	$224.57	1.20%	2
2023-05-31	2023-06-05	$203.93	$217.61	4.91%	4
2022-09-20	2022-09-26	$308.73	$276.01	-8.95%	5
2022-08-02	2022-09-01	$300.59	$277.16	-5.92%	23
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2022-01-13	2022-01-14	$343.85	$349.87	-5.55%	2
2022-01-04	2022-01-07	$383.20	$342.32	-9.22%	4
2021-11-08	2021-12-03	$387.65	$338.32	-9.01%	19
2021-11-04	2021-11-05	$409.97	$407.36	0.90%	2
2021-11-02	2021-11-03	$390.67	$404.62	-2.58%	2
2021-10-29	2021-11-01	$371.33	$402.86	2.58%	2
2021-10-27	2021-10-28	$345.95	$359.01	1.37%	2
2021-10-25	2021-10-26	$341.62	$339.48	9.96%	2
2021-10-21	2021-10-22	$298.00	$303.23	2.44%	2
2021-10-19	2021-10-20	$288.09	$288.60	-0.70%	2
2021-08-03	2021-10-18	$236.58	$290.04	14.73%	54
2021-01-11	2021-02-23	$270.40	$232.95	-15.27%	30
2020-12-09	2021-01-08	$201.49	$293.34	20.08%	21
2020-12-01	2020-12-08	$194.92	$216.63	10.22%	6
2020-11-27	2020-11-30	$195.25	$189.20	1.48%	2
2020-11-19	2020-11-25	$166.42	$191.33	11.05%	5
2020-10-15	2020-10-29	$149.63	$136.94	-9.82%	11
2020-09-03	2020-09-25	$135.67	$135.78	-10.11%	16
2020-09-01	2020-09-02	$158.35	$149.12	-3.89%	2
2020-08-28	2020-08-31	$147.56	$166.11	-1.07%	2
2020-08-26	2020-08-27	$143.54	$149.25	4.97%	2
2020-08-24	2020-08-25	$134.28	$134.89	-1.56%	2
2020-08-18	2020-08-21	$125.81	$136.67	7.05%	4
2020-07-22	2020-08-12	$106.16	$103.65	-10.01%	16
2020-07-17	2020-07-21	$100.06	$104.56	7.42%	3
2020-07-15	2020-07-16	$103.07	$100.04	1.38%	2
2020-07-13	2020-07-14	$99.80	$101.12	-2.62%	2
2020-07-09	2020-07-10	$92.95	$102.98	1.50%	2
2020-07-07	2020-07-08	$92.66	$91.06	0.91%	2
2020-06-12	2020-07-06	$62.35	$91.44	18.98%	16
2020-06-03	2020-06-11	$58.86	$64.86	12.76%	7
2020-02-21	2020-03-05	$60.07	$48.30	-13.44%	10
2020-02-05	2020-02-20	$48.98	$59.96	2.96%	11
2020-02-03	2020-02-04	$52.00	$59.14	15.74%	2
2020-01-30	2020-01-31	$42.72	$43.37	8.07%	2
2020-01-27	2020-01-29	$37.20	$38.73	0.14%	3
2020-01-23	2020-01-24	$38.15	$37.65	0.21%	2
2020-01-16	2020-01-22	$34.23	$37.97	4.28%	4
2020-01-14	2020-01-15	$35.86	$34.57	1.83%	2
2020-01-10	2020-01-13	$31.88	$34.99	-0.69%	2
2020-01-08	2020-01-09	$32.81	$32.09	3.77%	2
2020-01-06	2020-01-07	$30.10	$31.27	1.38%	2
2019-12-31	2020-01-03	$27.89	$29.53	2.83%	3
2019-12-27	2019-12-30	$28.69	$27.65	-0.26%	2
2019-12-24	2019-12-26	$28.35	$28.73	0.99%	2
2019-12-20	2019-12-23	$27.04	$27.95	0.15%	2
2019-12-18	2019-12-19	$26.21	$26.94	2.83%	2
2019-11-20	2019-12-17	$23.48	$25.27	4.79%	19
2019-11-18	2019-11-19	$23.33	$23.97	-0.65%	2
2019-11-14	2019-11-15	$23.29	$23.48	0.59%	2
2019-11-12	2019-11-13	$23.33	$23.07	0.96%	2
2019-11-08	2019-11-11	$22.48	$23.01	0.22%	2
2019-10-30	2019-11-07	$21.00	$22.37	2.46%	7
2019-10-28	2019-10-29	$21.85	$21.08	-0.26%	2
2019-10-16	2019-10-25	$17.32	$21.88	12.82%	8
2019-09-12	2019-09-25	$16.39	$15.25	-7.91%	10
2019-07-24	2019-08-13	$17.66	$15.67	-9.65%	15
2018-11-07	2018-12-21	$23.21	$21.32	-6.06%	31
2018-08-03	2018-08-20	$23.21	$20.56	-10.18%	12
2018-06-20	2018-07-06	$24.15	$20.59	-10.03%	12
2018-06-18	2018-06-19	$24.72	$23.50	2.67%	2
2018-06-12	2018-06-15	$22.85	$23.88	5.98%	4
2018-03-14	2018-03-15	$21.78	$21.71	-3.72%	2
2018-02-26	2018-03-02	$23.83	$22.34	-4.96%	5
2018-01-22	2018-02-09	$23.44	$20.69	-8.08%	15
2017-09-18	2017-09-26	$25.67	$23.02	-7.53%	7
2017-08-04	2017-08-21	$23.79	$22.52	-0.04%	12
2017-06-12	2017-07-06	$23.93	$20.59	-6.88%	18
2017-04-12	2017-06-09	$19.79	$23.82	15.58%	41
2017-04-05	2017-04-11	$19.67	$20.58	2.13%	5
2017-03-28	2017-04-04	$18.50	$20.25	8.17%	6