Strategy Zoo / S0966

LongTermTrend_V0966

ARCHIVEDhybrid

llmAdded regime gates to restrict entries to UPTREND + LOW_VOLATILITY and NORMAL bubble to reduce drawdowns; replaced single macd exit with combined exit (macd_hist < 0 OR price < sma_50 OR drawdown < -15%) for cleaner stops; introduced position scaling rules: reduce to 40% in high vol (vol_pctile > 0.75) and scale to full size on strong breakout with elevated relative volume; lowered base_position to 0.8 to reduce overall exposure.

Fitness
0.3922
Generation
44
Complexity
27
Created
2026-10-01

Lineage

Parents (1)
LongTermTrend_V0953S0953 · gen 43ARCHIVEDllm

changed cumret_252d threshold 0.2888 -> -0.1176

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V0966  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1176 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)))):
    position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.15):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR10.1%39.0%-2.8%12.0%
Total Return115.2%168.4%-10.1%431.5%
Sharpe0.521.10-0.020.56
Sortino0.541.19-0.020.58
Calmar0.231.07-0.090.27
Volatility23.8%35.7%22.0%26.3%
Max DD-44.6%-36.5%-31.2%-44.6%
Win Rate48.1%53.1%46.4%48.7%
Avg Win2.9%4.0%2.4%3.1%
Avg Loss-1.9%-2.4%-2.1%-2.1%
Payoff1.541.641.141.50
Expectancy0.4%1.0%-0.0%0.5%
Profit Factor1.431.850.991.42
Trades266130181577
Avg Holding Days3.63.22.33.1
Turnover53.469.377.762.8
Exposure27.6%30.8%19.9%26.3%

Growth of $100

LongTermTrend_V0966 vs TSLA Buy & Hold
LongTermTrend_V0966 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
YearCAGRSharpeMax DDTrades
201612.6%1.12-7.7%34
20176.7%0.45-10.6%32
2018-20.4%-0.93-26.0%24
20199.9%0.58-18.3%31
2020152.8%2.01-29.4%46
202114.3%0.65-18.7%50
2022-7.3%-0.33-21.9%32

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2758.3%0.5411%
hidden testEXPENSIVE8327.2%0.7335%
hidden testEXTREME4871.7%2.1135%
hidden testHIGH VOLATILITY254-12.4%-0.4320%
hidden testLOW VOLATILITY43418.8%1.0822%
hidden testMEDIUM VOLATILITY251-21.6%-1.0417%
hidden testNORMAL808-7.6%-0.4017%
hidden testSIDEWAYS293-21.0%-1.1020%
hidden testUPTREND3719.3%0.3326%
trainDOWNTREND518-2.5%-0.238%
trainEXPENSIVE31131.8%1.1446%
trainEXTREME100278.4%4.8766%
trainHIGH VOLATILITY69926.6%0.8427%
trainLOW VOLATILITY74511.0%0.6631%
trainMEDIUM VOLATILITY568-3.3%-0.1624%
trainNORMAL1,601-8.0%-0.4322%
trainSIDEWAYS5920.7%0.0423%
trainUPTREND90228.6%0.9142%
validationDOWNTREND12523.5%1.425%
validationEXPENSIVE13837.7%0.9538%
validationEXTREME144173.6%2.8457%
validationHIGH VOLATILITY25816.9%0.3528%
validationLOW VOLATILITY18318.6%1.1030%
validationMEDIUM VOLATILITY31569.6%2.1934%
validationNORMAL474-1.1%-0.0521%
validationSIDEWAYS206-15.3%-1.0017%
validationUPTREND42570.4%1.5545%

Trades (full period)

latest 100 of 577
EntryExitEntry PxExit PxReturnDays
2026-09-282026-09-29$357.45$352.84-3.31%2
2026-09-242026-09-25$377.94$372.11-0.62%2
2026-09-222026-09-23$378.90$380.120.61%2
2026-09-182026-09-21$364.27$375.30-0.58%2
2026-09-152026-09-16$356.58$358.08-0.69%2
2026-09-112026-09-14$365.44$358.970.25%2
2026-09-092026-09-10$367.81$363.56-0.24%2
2026-09-032026-09-04$376.37$354.084.17%2
2026-09-012026-09-02$356.09$357.01-2.74%2
2026-08-282026-08-31$348.75$367.95-1.53%2
2026-08-262026-08-27$345.82$354.81-1.17%2
2026-08-242026-08-25$348.95$350.25-3.22%2
2026-07-072026-07-08$402.90$394.06-3.37%2
2026-07-012026-07-06$425.30$419.77-5.30%3
2026-06-032026-06-04$423.70$418.45-0.17%2
2026-05-272026-06-02$440.36$423.74-3.41%5
2026-05-222026-05-26$426.01$433.591.40%2
2026-05-202026-05-21$417.26$417.852.44%2
2026-05-082026-05-19$428.35$404.11-0.45%8
2026-05-062026-05-07$398.73$411.791.76%2
2026-05-042026-05-05$392.51$389.370.19%2
2026-04-202026-04-21$392.50$386.42-1.78%2
2026-04-162026-04-17$388.90$400.62-0.78%2
2025-12-312026-01-02$449.72$438.07-0.99%2
2025-12-042025-12-30$454.53$454.432.22%18
2025-11-062025-11-07$445.91$429.52-2.96%2
2025-11-032025-11-05$468.37$462.07-2.29%3
2025-10-242025-10-27$433.72$452.42-2.88%2
2025-10-142025-10-15$429.24$435.15-1.38%2
2025-10-092025-10-10$435.54$413.49-0.73%2
2025-10-072025-10-08$433.09$438.69-3.72%2
2025-09-162025-10-06$421.62$453.253.78%15
2025-09-122025-09-15$395.94$410.045.72%2
2025-09-102025-09-11$347.79$368.810.03%2
2025-09-082025-09-09$346.40$346.97-1.17%2
2025-09-042025-09-05$338.53$350.840.90%2
2025-08-292025-09-02$333.87$329.36-2.96%2
2025-08-272025-08-28$349.60$345.98-0.63%2
2025-08-252025-08-26$346.60$351.671.39%2
2025-08-202025-08-21$323.90$320.11-1.47%2
2025-08-182025-08-19$335.16$329.310.95%2
2025-08-142025-08-15$335.58$330.56-1.05%2
2025-08-122025-08-13$340.84$339.380.27%2
2025-08-082025-08-11$329.65$339.031.67%2
2025-07-292025-07-30$321.20$319.04-1.24%2
2025-07-232025-07-24$332.56$305.30-0.05%2
2025-07-212025-07-22$328.49$332.11-0.44%2
2025-06-252025-06-26$327.55$325.78-3.19%2
2025-06-042025-06-05$332.05$284.70-3.00%2
2025-06-022025-06-03$342.69$344.27-1.03%2
2025-05-292025-05-30$358.43$346.460.18%2
2025-05-272025-05-28$362.89$356.905.39%2
2025-05-222025-05-23$341.04$339.341.37%2
2025-05-202025-05-21$343.82$334.620.24%2
2025-05-162025-05-19$349.98$342.091.51%2
2025-05-142025-05-15$347.68$342.823.10%2
2025-05-122025-05-13$318.38$334.075.23%2
2025-05-082025-05-09$284.82$298.262.33%2
2025-05-062025-05-07$275.35$276.22-1.56%2
2025-05-022025-05-05$287.21$280.261.75%2
2025-04-302025-05-01$282.16$280.52-2.86%2
2025-04-282025-04-29$285.88$292.030.10%2
2025-01-062025-01-07$411.05$394.36-0.04%2
2025-01-022025-01-03$379.28$410.44-5.02%2
2024-12-302024-12-31$417.41$403.84-2.80%2
2024-12-262024-12-27$454.13$431.66-1.57%2
2024-12-062024-12-24$389.22$462.2813.06%13
2024-12-042024-12-05$357.93$369.491.32%2
2024-12-022024-12-03$357.09$351.422.60%2
2024-11-272024-11-29$332.89$345.16-1.42%2
2024-11-222024-11-26$352.56$338.23-0.38%3
2024-11-202024-11-21$342.03$339.64-1.08%2
2024-11-182024-11-19$338.74$346.004.33%2
2024-11-142024-11-15$311.18$320.72-4.77%2
2024-11-122024-11-13$328.49$330.24-5.07%2
2024-11-082024-11-11$321.22$350.006.38%2
2024-11-062024-11-07$288.53$296.9111.63%2
2024-11-042024-11-05$242.84$251.44-2.13%2
2024-10-312024-11-01$249.85$248.98-2.55%2
2024-10-292024-10-30$259.52$257.55-1.07%2
2024-10-252024-10-28$269.19$262.512.51%2
2024-10-092024-10-10$241.05$238.77-1.29%2
2024-10-072024-10-08$240.83$244.50-3.12%2
2024-10-032024-10-04$240.66$250.08-2.84%2
2024-10-012024-10-02$258.02$249.02-1.26%2
2024-09-272024-09-30$260.46$261.631.80%2
2024-09-252024-09-26$257.02$254.220.70%2
2024-09-232024-09-24$250.00$254.273.78%2
2024-09-192024-09-20$243.92$238.255.72%2
2024-09-172024-09-18$227.87$227.200.22%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.53%2
2024-09-052024-09-06$230.17$210.733.76%2
2024-08-262024-08-27$213.21$209.21-2.74%2
2024-08-222024-08-23$210.66$220.32-4.67%2
2024-08-202024-08-21$221.10$223.27-0.74%2
2024-07-302024-07-31$222.62$232.07-3.42%2
2024-07-232024-07-24$246.38$215.99-1.79%2
2024-07-192024-07-22$239.20$251.51-3.38%2
2024-07-172024-07-18$248.50$249.23-2.67%2