Strategy Zoo / S0993
LongTermTrend_V0993
ARCHIVEDhybridllmAdded regime gates to avoid high-volatility/bubble environments; tightened and restructured entries to require trend/momentum confirmation or high-volume 50-day breakouts; relaxed distance-from-50SMA threshold; added RSI momentum filter; improved exit to include larger short-term loss, a 50-day breakdown, and a drawdown cap; scaled base position down to 0.6 with full-size on low volatility (vol_20<0.03) to reduce drawdown and turnover.
Fitness
0.1382
Generation
45
Complexity
22
Created
2026-10-01
Lineage
Parents (1)
entry from LongTermTrend_V0583, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0993 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((((close > sma_200 and sma_200_slope > -0.001 and macd_hist > 0.0) or ret_20d > 0.05) or (breakout_50 == 1 and rel_volume > 1.5 and close > sma_50)) and dist_sma_50 > -0.05 and cumret_252d > -0.25 and rsi_14 > 45.0):
position = 0.6
if long and (ret_20d < -0.02 or sma_50 > close or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.7% | 10.1% | -1.3% | -1.5% |
| Total Return | -37.4% | 33.4% | -4.8% | -20.5% |
| Sharpe | -0.52 | 0.84 | -0.08 | -0.09 |
| Sortino | -0.33 | 0.64 | -0.06 | -0.06 |
| Calmar | -0.13 | 0.67 | -0.07 | -0.03 |
| Volatility | 10.3% | 12.4% | 9.9% | 10.7% |
| Max DD | -44.9% | -15.1% | -17.9% | -45.5% |
| Win Rate | 39.6% | 53.8% | 46.0% | 44.7% |
| Avg Win | 1.2% | 2.0% | 1.4% | 1.5% |
| Avg Loss | -1.3% | -1.3% | -1.3% | -1.3% |
| Payoff | 0.93 | 1.57 | 1.12 | 1.15 |
| Expectancy | -0.3% | 0.5% | -0.0% | -0.1% |
| Profit Factor | 0.61 | 1.83 | 0.95 | 0.93 |
| Trades | 144 | 65 | 100 | 309 |
| Avg Holding Days | 3.3 | 2.6 | 2.3 | 2.8 |
| Turnover | 21.6 | 26.0 | 32.2 | 25.2 |
| Exposure | 9.8% | 8.0% | 8.1% | 9.0% |
Growth of $100
LongTermTrend_V0993 vs TSLA Buy & Hold
LongTermTrend_V0993 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 | -11.2% | -1.61 | -14.6% | 23 |
| 2017 | 5.9% | 1.09 | -2.9% | 18 |
| 2018 | -6.4% | -0.90 | -9.4% | 5 |
| 2019 | -4.4% | -0.50 | -9.0% | 17 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.2% | 0.82 | -15.1% | 43 |
| 2022 | 9.2% | 0.88 | -8.8% | 21 |
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 | -2.5% | -1.61 | 1% |
| hidden test | EXPENSIVE | 83 | 12.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 3.6% | 0.91 | 0% |
| hidden test | LOW VOLATILITY | 434 | -0.4% | -0.03 | 12% |
| hidden test | MEDIUM VOLATILITY | 251 | -6.1% | -0.50 | 9% |
| hidden test | NORMAL | 808 | -2.2% | -0.21 | 9% |
| hidden test | SIDEWAYS | 293 | -10.1% | -0.97 | 12% |
| hidden test | UPTREND | 371 | 7.7% | 0.62 | 11% |
| train | DOWNTREND | 518 | -0.4% | -0.11 | 0% |
| train | EXPENSIVE | 311 | 6.6% | 1.63 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.4% | -0.06 | 0% |
| train | LOW VOLATILITY | 745 | 3.2% | 0.28 | 18% |
| train | MEDIUM VOLATILITY | 568 | -22.6% | -1.85 | 10% |
| train | NORMAL | 1,601 | -8.0% | -0.70 | 12% |
| train | SIDEWAYS | 592 | -12.3% | -1.21 | 11% |
| train | UPTREND | 902 | -3.6% | -0.28 | 15% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 2.9% | 0.27 | 1% |
| validation | LOW VOLATILITY | 183 | 8.8% | 0.94 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 17.4% | 1.18 | 8% |
| validation | NORMAL | 474 | 16.5% | 1.06 | 13% |
| validation | SIDEWAYS | 206 | 17.7% | 1.37 | 10% |
| validation | UPTREND | 425 | 9.9% | 0.71 | 9% |
Trades (full period)
latest 100 of 309
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -1.52% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.09% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.69% | 2 | |
| 2025-12-03 | 2026-01-05 | $446.74 | $451.67 | 1.26% | 22 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.12% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 3.50% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.06% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.74% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.17% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.22% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.30% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.82% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.10% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.85% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.67% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -0.80% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.18% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.04% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -0.94% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.12% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 2.58% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.20% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.31% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.06% | 2 | |
| 2023-11-15 | 2023-11-16 | $242.84 | $233.59 | 1.25% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.55% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.06% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.79% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.66% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.16% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.19% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.33% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -5.96% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.63% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.37% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.01% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.17% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.16% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.67% | 2 |