Strategy Zoo / S0967
LongTermTrend_V0967
ARCHIVEDhybridllmReplaced brittle stacked ret_20d checks with a regime-gated, trend/momentum entry (sma_50 + slope OR ret_20d + macd_hist OR breakout). Added regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to reduce overfitting and avoid entries in adverse regimes. Relaxed cumret filter. Improved exits to include larger stop (-3%), sma_50 breakdown, and RSI overbought to reduce drawdowns. Added volatility-based position sizing (reduce size when vol_pctile>0.8, full size when <0.3). Lowered base_position to 0.8 for more conservative sizing.
Fitness
0.4037
Generation
44
Complexity
14
Created
2026-10-01
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0967 [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0) or (ret_20d > 0.05 and macd_hist > 0.0) or breakout_20 > 0.0) and cumret_252d > -0.3):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.9% | 46.1% | -10.3% | 12.4% |
| Total Return | 163.9% | 211.7% | -33.4% | 460.1% |
| Sharpe | 0.58 | 1.16 | -0.22 | 0.53 |
| Sortino | 0.62 | 1.28 | -0.23 | 0.57 |
| Calmar | 0.22 | 1.27 | -0.22 | 0.21 |
| Volatility | 27.0% | 39.6% | 29.8% | 30.7% |
| Max DD | -58.1% | -36.2% | -46.4% | -58.1% |
| Win Rate | 47.1% | 53.2% | 45.9% | 48.4% |
| Avg Win | 5.5% | 6.9% | 3.6% | 5.4% |
| Avg Loss | -3.2% | -3.9% | -3.7% | -3.5% |
| Payoff | 1.69 | 1.80 | 0.98 | 1.54 |
| Expectancy | 0.9% | 1.9% | -0.3% | 0.8% |
| Profit Factor | 1.50 | 2.05 | 0.84 | 1.45 |
| Trades | 155 | 77 | 85 | 318 |
| Avg Holding Days | 7.3 | 6.4 | 6.2 | 6.8 |
| Turnover | 31.2 | 41.1 | 36.5 | 34.6 |
| Exposure | 38.8% | 44.2% | 37.6% | 39.6% |
Growth of $100
LongTermTrend_V0967 vs TSLA Buy & Hold
LongTermTrend_V0967 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 | 9.6% | 0.72 | -14.9% | 9 |
| 2017 | 5.7% | 0.37 | -23.4% | 28 |
| 2018 | -25.3% | -1.09 | -29.0% | 21 |
| 2019 | -3.7% | -0.00 | -27.5% | 19 |
| 2020 | 226.1% | 2.40 | -25.1% | 36 |
| 2021 | 10.2% | 0.48 | -16.8% | 27 |
| 2022 | -16.0% | -0.51 | -26.6% | 13 |
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 | 275 | -16.1% | -0.84 | 19% |
| hidden test | EXPENSIVE | 83 | 97.3% | 2.28 | 63% |
| hidden test | EXTREME | 48 | 45.1% | 1.01 | 62% |
| hidden test | HIGH VOLATILITY | 254 | -19.2% | -0.49 | 41% |
| hidden test | LOW VOLATILITY | 434 | 30.3% | 1.41 | 35% |
| hidden test | MEDIUM VOLATILITY | 251 | -57.1% | -1.84 | 39% |
| hidden test | NORMAL | 808 | -20.2% | -0.75 | 34% |
| hidden test | SIDEWAYS | 293 | -31.4% | -1.21 | 37% |
| hidden test | UPTREND | 371 | 20.3% | 0.54 | 51% |
| train | DOWNTREND | 518 | -14.8% | -1.09 | 13% |
| train | EXPENSIVE | 311 | 31.7% | 0.94 | 56% |
| train | EXTREME | 100 | 331.9% | 6.20 | 70% |
| train | HIGH VOLATILITY | 699 | 31.8% | 0.93 | 34% |
| train | LOW VOLATILITY | 745 | 28.6% | 1.41 | 47% |
| train | MEDIUM VOLATILITY | 568 | -20.8% | -0.86 | 34% |
| train | NORMAL | 1,601 | -7.1% | -0.32 | 34% |
| train | SIDEWAYS | 592 | -5.7% | -0.26 | 32% |
| train | UPTREND | 902 | 47.4% | 1.37 | 58% |
| validation | DOWNTREND | 125 | 31.1% | 1.71 | 8% |
| validation | EXPENSIVE | 138 | 25.9% | 0.58 | 54% |
| validation | EXTREME | 144 | 221.0% | 3.56 | 66% |
| validation | HIGH VOLATILITY | 258 | 45.3% | 0.87 | 38% |
| validation | LOW VOLATILITY | 183 | 12.3% | 0.55 | 55% |
| validation | MEDIUM VOLATILITY | 315 | 65.6% | 1.86 | 43% |
| validation | NORMAL | 474 | -1.7% | -0.06 | 35% |
| validation | SIDEWAYS | 206 | -13.8% | -0.49 | 35% |
| validation | UPTREND | 425 | 78.9% | 1.65 | 59% |
Trades (full period)
latest 100 of 318
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | 2026-09-30 | $367.81 | — | -3.47% | 16 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.76% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.55% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 1.92% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.14% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 3.95% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.71% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -3.69% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -4.79% | 2 | |
| 2026-06-16 | 2026-06-18 | $404.66 | $400.49 | -3.04% | 3 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.30% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -2.56% | 2 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | 0.03% | 25 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -0.84% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.20% | 4 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.47% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.63% | 21 | |
| 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 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -2.46% | 10 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.71% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.44% | 3 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -4.43% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.69% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.25% | 4 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.28% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.78% | 2 | |
| 2025-06-09 | 2025-06-13 | $308.58 | $325.31 | 6.33% | 5 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | 0.16% | 29 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.40% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.97% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -4.08% | 2 | |
| 2025-01-31 | 2025-02-04 | $404.60 | $392.21 | -3.46% | 3 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.03% | 2 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -1.80% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.62% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 3.41% | 3 | |
| 2024-12-18 | 2025-01-14 | $440.13 | $396.36 | -12.90% | 17 | |
| 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 | |
| 2024-10-25 | 2024-11-11 | $269.19 | $350.00 | 18.35% | 12 | |
| 2024-09-10 | 2024-10-14 | $226.17 | $219.16 | 0.62% | 25 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -4.67% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.74% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.58% | 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 | |
| 2024-06-13 | 2024-07-03 | $182.47 | $246.39 | 23.69% | 14 | |
| 2024-06-06 | 2024-06-12 | $177.94 | $177.29 | -2.14% | 5 | |
| 2024-05-30 | 2024-06-05 | $178.79 | $175.00 | -0.80% | 5 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.17% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -4.63% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -5.88% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.22% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 2.93% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.92% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.48% | 2 | |
| 2023-06-21 | 2023-08-02 | $259.46 | $254.11 | -3.82% | 30 | |
| 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 | |
| 2023-05-22 | 2023-06-05 | $188.87 | $217.61 | 14.65% | 10 | |
| 2023-03-16 | 2023-03-17 | $184.13 | $180.13 | 1.47% | 2 | |
| 2023-02-15 | 2023-03-08 | $214.24 | $182.00 | -8.33% | 15 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -7.39% | 8 | |
| 2022-09-07 | 2022-09-14 | $283.70 | $302.61 | 5.00% | 6 | |
| 2022-09-01 | 2022-09-02 | $277.16 | $270.21 | 0.29% | 2 | |
| 2022-08-30 | 2022-08-31 | $277.70 | $275.61 | -2.16% | 2 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 15.63% | 30 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.27% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -5.39% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 3.46% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.48% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.35% | 27 | |
| 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 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.33% | 3 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.45% | 3 |