Strategy Zoo / S1028
LongTermTrend_V1028
ARCHIVEDhybridllmAdded a volatility gate (require vol_pctile < 0.75) to avoid entries in high-volatility regimes; restricted regime gates to UPTREND and non-HIGH_VOLATILITY, and disallowed bubble EXTREME (bubble set to NORMAL) to reduce tail-risk; broadened exit into an OR stop (macd_hist < 0 OR 1d loss < -3.5% OR drawdown > 8%) to add a short-term stop-loss and a trailing drawdown stop; reduced base_position from 1.0 to 0.6 to lower position size and drawdown exposure.
Fitness
0.1134
Generation
47
Complexity
31
Created
2026-10-02
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1028 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
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 > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and vol_pctile < 0.75):
position = 0.6
if long and (macd_hist < 0.0 or ret_1d < -0.035 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | 1.9% | 0.1% | -0.5% |
| Total Return | -12.2% | 6.0% | 0.3% | -6.7% |
| Sharpe | -0.18 | 0.24 | 0.06 | -0.01 |
| Sortino | -0.08 | 0.15 | 0.02 | -0.00 |
| Calmar | -0.08 | 0.13 | 0.01 | -0.02 |
| Volatility | 7.6% | 9.8% | 10.2% | 8.8% |
| Max DD | -21.2% | -14.8% | -16.3% | -22.2% |
| Win Rate | 37.7% | 36.4% | 46.2% | 39.4% |
| Avg Win | 2.2% | 4.6% | 3.8% | 3.1% |
| Avg Loss | -1.6% | -2.0% | -3.0% | -2.0% |
| Payoff | 1.36 | 2.34 | 1.25 | 1.55 |
| Expectancy | -0.2% | 0.4% | 0.1% | 0.0% |
| Profit Factor | 0.82 | 1.34 | 1.07 | 1.01 |
| Trades | 61 | 22 | 26 | 109 |
| Avg Holding Days | 4.0 | 4.6 | 3.9 | 4.1 |
| Turnover | 9.2 | 8.8 | 8.4 | 8.9 |
| Exposure | 5.5% | 6.3% | 4.9% | 5.5% |
Growth of $100
LongTermTrend_V1028 vs TSLA Buy & Hold
LongTermTrend_V1028 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 | -3.3% | -0.57 | -7.5% | 9 |
| 2017 | 5.6% | 1.03 | -3.3% | 5 |
| 2018 | -5.5% | -1.34 | -5.5% | 4 |
| 2019 | 2.8% | 0.72 | -0.9% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.4% | 0.97 | -9.6% | 11 |
| 2022 | -12.8% | -1.77 | -14.7% | 10 |
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 | 276 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 25.5% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.4% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 6.7% | 0.78 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.1% | 0.09 | 7% |
| hidden test | NORMAL | 809 | -1.9% | -0.18 | 5% |
| hidden test | SIDEWAYS | 293 | -13.5% | -1.90 | 1% |
| hidden test | UPTREND | 371 | 12.2% | 0.82 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.4% | 0.21 | 0% |
| train | LOW VOLATILITY | 745 | 2.3% | 0.26 | 12% |
| train | MEDIUM VOLATILITY | 568 | -9.5% | -1.27 | 3% |
| train | NORMAL | 1,601 | -3.1% | -0.37 | 7% |
| train | SIDEWAYS | 592 | -2.4% | -1.05 | 1% |
| train | UPTREND | 902 | -1.4% | -0.12 | 12% |
| 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 | 10.0% | 1.20 | 0% |
| validation | LOW VOLATILITY | 183 | -2.9% | -0.32 | 17% |
| validation | MEDIUM VOLATILITY | 315 | -0.7% | -0.07 | 5% |
| validation | NORMAL | 474 | 3.8% | 0.31 | 10% |
| validation | SIDEWAYS | 206 | -11.2% | -1.92 | 1% |
| validation | UPTREND | 425 | 9.7% | 0.78 | 11% |
Trades (full period)
latest 100 of 109
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-19 | 2025-12-30 | $481.20 | $454.43 | -3.07% | 7 | |
| 2025-12-04 | 2025-12-18 | $454.53 | $483.37 | 2.70% | 11 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.33% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 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 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 3.88% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 8.84% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 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 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.82% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -5.50% | 3 | |
| 2023-06-02 | 2023-06-22 | $213.97 | $264.61 | 14.39% | 14 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -2.89% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.54% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.37% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-04-07 | 2022-04-11 | $352.42 | $325.31 | -1.27% | 3 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 5.78% | 6 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.95% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 26.26% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.07% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.18% | 9 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.44% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.27% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -1.91% | 3 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -1.72% | 8 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 7.04% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.11% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -1.80% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.66% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.58% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.52% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -1.66% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.51% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.76% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-07-15 | 2015-07-16 | $17.54 | $17.78 | -0.69% | 2 | |
| 2015-06-22 | 2015-07-08 | $17.32 | $17.00 | 1.17% | 12 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-06-05 | 2015-06-08 | $16.61 | $17.09 | 0.67% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.03% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.44% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 0.85% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.19% | 2 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.16% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.27% | 3 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -5.37% | 4 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -5.56% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.30% | 2 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 7.10% | 18 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.00% | 2 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.48% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 0.97% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -1.84% | 2 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.11% | 9 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -2.26% | 6 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.25% | 2 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.05% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.26% | 2 | |
| 2012-12-26 | 2012-12-27 | $2.24 | $2.25 | -1.33% | 2 | |
| 2012-12-21 | 2012-12-24 | $2.27 | $2.29 | -0.87% | 2 |