Strategy Zoo / S0941
LongTermTrend_V0941
ARCHIVEDhybridllmAdded a volatility entry gate (vol_pctile < 0.75) to avoid entries during high-volatility regimes; strengthened exits by adding a larger 20-day loss stop (ret_20d < -3%), a technical exit on close < sma_50, and a volatility-spike + 1d-loss exit (vol_chg > 0.6 AND ret_1d < 0); restricted regime gates to UPTREND / MEDIUM_VOLATILITY / NORMAL to reduce drawdown exposure; reduced base_position from 1.0 to 0.75 to lower position risk.
Fitness
0.4771
Generation
43
Complexity
31
Created
2026-09-30
Lineage
Parents (1)
entry from LongTermTrend_V0583, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0941 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and vol_pctile < 0.75):
position = 0.75
if long and (ret_20d < -0.03 or close < sma_50 or (vol_chg > 0.6 and ret_1d < 0.0)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.4% | 54.4% | -5.1% | 12.3% |
| Total Return | 76.4% | 268.3% | -17.6% | 447.3% |
| Sharpe | 0.43 | 1.55 | -0.09 | 0.59 |
| Sortino | 0.41 | 1.73 | -0.08 | 0.57 |
| Calmar | 0.17 | 2.14 | -0.13 | 0.29 |
| Volatility | 21.7% | 31.2% | 24.7% | 24.7% |
| Max DD | -42.7% | -25.4% | -39.3% | -42.7% |
| Win Rate | 38.9% | 43.6% | 27.3% | 37.0% |
| Avg Win | 7.0% | 12.7% | 6.5% | 8.8% |
| Avg Loss | -3.3% | -2.7% | -2.6% | -3.0% |
| Payoff | 2.13 | 4.65 | 2.48 | 2.95 |
| Expectancy | 0.7% | 4.0% | -0.1% | 1.4% |
| Profit Factor | 1.35 | 3.59 | 0.93 | 1.73 |
| Trades | 90 | 39 | 44 | 173 |
| Avg Holding Days | 8.7 | 9.5 | 9.0 | 9.1 |
| Turnover | 17.0 | 19.5 | 17.9 | 17.7 |
| Exposure | 26.8% | 33.0% | 28.7% | 28.6% |
Growth of $100
LongTermTrend_V0941 vs TSLA Buy & Hold
LongTermTrend_V0941 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 | 16.8% | 1.28 | -10.5% | 3 |
| 2017 | 0.1% | 0.10 | -22.3% | 16 |
| 2018 | -16.1% | -1.29 | -19.6% | 8 |
| 2019 | 24.3% | 1.03 | -17.7% | 7 |
| 2020 | 234.3% | 3.21 | -13.2% | 13 |
| 2021 | 23.6% | 0.93 | -25.4% | 13 |
| 2022 | -13.6% | -0.50 | -22.2% | 12 |
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 | -7.2% | -0.69 | 10% |
| hidden test | EXPENSIVE | 83 | 51.4% | 1.62 | 47% |
| hidden test | EXTREME | 48 | 19.2% | 0.63 | 23% |
| hidden test | HIGH VOLATILITY | 254 | -26.0% | -0.97 | 15% |
| hidden test | LOW VOLATILITY | 434 | 36.5% | 1.80 | 33% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.0% | -1.56 | 36% |
| hidden test | NORMAL | 807 | -8.9% | -0.38 | 27% |
| hidden test | SIDEWAYS | 293 | -18.6% | -0.73 | 34% |
| hidden test | UPTREND | 371 | 14.6% | 0.47 | 39% |
| train | DOWNTREND | 518 | -7.5% | -0.66 | 11% |
| train | EXPENSIVE | 311 | 27.2% | 1.00 | 47% |
| train | EXTREME | 100 | 125.6% | 3.01 | 24% |
| train | HIGH VOLATILITY | 699 | 9.7% | 0.39 | 9% |
| train | LOW VOLATILITY | 745 | 26.5% | 1.46 | 41% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.61 | 29% |
| train | NORMAL | 1,601 | -1.3% | -0.07 | 23% |
| train | SIDEWAYS | 592 | 0.2% | 0.01 | 22% |
| train | UPTREND | 902 | 25.2% | 0.92 | 39% |
| validation | DOWNTREND | 125 | 23.5% | 1.44 | 7% |
| validation | EXPENSIVE | 138 | 48.5% | 1.53 | 41% |
| validation | EXTREME | 144 | 191.5% | 4.11 | 33% |
| validation | HIGH VOLATILITY | 258 | 41.7% | 1.23 | 13% |
| validation | LOW VOLATILITY | 183 | 7.6% | 0.38 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 77.3% | 2.28 | 41% |
| validation | NORMAL | 474 | 4.7% | 0.20 | 31% |
| validation | SIDEWAYS | 206 | -22.2% | -1.05 | 25% |
| validation | UPTREND | 425 | 89.8% | 2.38 | 44% |
Trades (full period)
latest 100 of 174
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-22 | — | $378.90 | — | -4.57% | 6 | OPEN |
| 2026-09-09 | 2026-09-21 | $367.81 | $375.30 | -0.93% | 9 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.70% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.57% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.43% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.10% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.02% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.97% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.06% | 25 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.81% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.73% | 2 | |
| 2025-12-19 | 2026-01-05 | $481.20 | $451.67 | -7.23% | 10 | |
| 2025-12-04 | 2025-12-18 | $454.53 | $483.37 | 3.34% | 11 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 13.85% | 59 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.63% | 11 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.16% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.29% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.41% | 3 | |
| 2025-05-09 | 2025-06-06 | $298.26 | $295.14 | 0.23% | 20 | |
| 2024-12-10 | 2025-01-03 | $400.99 | $410.44 | -1.86% | 17 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -9.83% | 15 | |
| 2024-09-10 | 2024-09-23 | $226.17 | $250.00 | 7.45% | 10 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.48% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.99% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.38% | 2 | |
| 2024-06-17 | 2024-08-02 | $187.44 | $207.67 | 16.54% | 33 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.39% | 2 | |
| 2023-12-05 | 2024-01-10 | $238.72 | $233.94 | -0.25% | 25 | |
| 2023-11-29 | 2023-12-04 | $244.14 | $235.58 | -2.55% | 4 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.32% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.27% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.00% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.39% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.33% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.26% | 3 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.50% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.06% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.49% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.69% | 4 | |
| 2023-05-22 | 2023-08-02 | $188.87 | $254.11 | 32.52% | 50 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -3.31% | 6 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.17% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -0.86% | 2 | |
| 2023-02-06 | 2023-03-08 | $194.76 | $182.00 | -0.78% | 22 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.40% | 5 | |
| 2022-09-15 | 2022-09-19 | $303.75 | $309.07 | 0.03% | 3 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.18% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 14.65% | 30 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.25% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -5.06% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.12% | 27 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.10% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.51% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.41% | 3 | |
| 2022-01-06 | 2022-01-07 | $354.90 | $342.32 | -1.76% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -3.29% | 2 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.18% | 3 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.52% | 2 | |
| 2021-10-28 | 2021-12-01 | $359.01 | $365.00 | 7.91% | 24 | |
| 2021-08-19 | 2021-10-27 | $224.49 | $345.95 | 34.19% | 49 | |
| 2021-08-02 | 2021-08-18 | $236.56 | $229.66 | -2.45% | 13 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.59% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.20% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.67% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.81% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -3.95% | 3 | |
| 2021-04-16 | 2021-04-30 | $246.59 | $236.48 | -6.43% | 11 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -3.11% | 2 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.24% | 8 | |
| 2020-12-02 | 2021-02-01 | $189.61 | $279.94 | 26.25% | 41 | |
| 2020-11-24 | 2020-12-01 | $185.13 | $194.92 | 6.41% | 5 | |
| 2020-11-18 | 2020-11-23 | $162.21 | $173.95 | 7.99% | 4 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.66% | 2 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.09% | 6 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.07% | 6 | |
| 2020-08-24 | 2020-09-02 | $134.28 | $149.12 | 11.74% | 8 | |
| 2020-08-04 | 2020-08-10 | $99.13 | $94.57 | -1.78% | 5 | |
| 2020-07-15 | 2020-07-24 | $103.07 | $94.47 | -0.20% | 8 | |
| 2020-06-15 | 2020-07-14 | $66.06 | $101.12 | 42.75% | 21 | |
| 2020-06-04 | 2020-06-12 | $57.63 | $62.35 | 7.54% | 7 | |
| 2020-05-20 | 2020-06-03 | $54.37 | $58.86 | 6.67% | 10 | |
| 2020-01-13 | 2020-02-06 | $34.99 | $49.93 | 39.27% | 18 | |
| 2019-11-29 | 2020-01-10 | $22.00 | $31.88 | 32.35% | 29 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.75% | 2 | |
| 2019-10-11 | 2019-10-29 | $16.53 | $21.08 | 24.71% | 13 | |
| 2019-10-02 | 2019-10-07 | $16.21 | $15.85 | -4.22% | 4 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.28% | 2 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.01% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 1.92% | 19 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.03% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -5.93% | 7 | |
| 2018-11-21 | 2018-12-10 | $22.55 | $24.34 | 2.17% | 12 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.32% | 3 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -1.95% | 2 | |
| 2018-05-10 | 2018-05-14 | $20.33 | $19.46 | -1.56% | 3 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.25% | 3 | |
| 2018-01-11 | 2018-02-09 | $22.53 | $20.69 | -4.43% | 21 | |
| 2018-01-09 | 2018-01-10 | $22.25 | $22.32 | -0.76% | 2 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.77% | 11 |