Strategy Zoo / S1030
LongTermTrend_V1030
ARCHIVEDhybridllm1) Added a volatility filter (vol_pctile < 0.90) to the entry to avoid entering during extreme volatility. 2) Broadened regime gates: restrict to UPTREND trend and exclude HIGH_VOLATILITY and EXTREME bubble to improve robustness across regimes. 3) Made exit more robust by exiting on either negative macd_hist OR price dropping below sma_50 to reduce whipsaws. 4) Reduced base_position from 1.0 to 0.7 to lower drawdown risk.
Fitness
0.2470
Generation
47
Complexity
33
Created
2026-10-02
Lineage
Parents (1)
swapped indicator macd_hist -> rsi_14
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1030 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
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 > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close and rsi_14 > 34.4934 and vol_pctile < 0.9):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.0% | 16.2% | -0.8% | 3.6% |
| Total Return | 8.5% | 57.0% | -3.0% | 68.6% |
| Sharpe | 0.15 | 1.02 | 0.00 | 0.34 |
| Sortino | 0.09 | 0.77 | 0.00 | 0.21 |
| Calmar | 0.04 | 0.53 | -0.04 | 0.11 |
| Volatility | 11.3% | 16.0% | 13.3% | 12.9% |
| Max DD | -26.0% | -30.6% | -20.3% | -32.7% |
| Win Rate | 36.7% | 50.0% | 40.6% | 40.7% |
| Avg Win | 3.5% | 5.5% | 4.0% | 4.4% |
| Avg Loss | -2.0% | -2.4% | -2.7% | -2.2% |
| Payoff | 1.78 | 2.29 | 1.46 | 2.01 |
| Expectancy | 0.0% | 1.5% | -0.0% | 0.5% |
| Profit Factor | 1.03 | 2.29 | 1.00 | 1.38 |
| Trades | 79 | 34 | 32 | 145 |
| Avg Holding Days | 4.3 | 5.0 | 4.3 | 4.5 |
| Turnover | 13.9 | 15.9 | 12.0 | 13.8 |
| Exposure | 9.5% | 12.6% | 7.7% | 9.7% |
Growth of $100
LongTermTrend_V1030 vs TSLA Buy & Hold
LongTermTrend_V1030 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 | -1.9% | -0.27 | -6.7% | 8 |
| 2017 | 4.6% | 0.41 | -9.7% | 20 |
| 2018 | -6.4% | -1.34 | -6.4% | 4 |
| 2019 | 5.4% | 0.69 | -5.5% | 2 |
| 2020 | 50.2% | 2.43 | -6.2% | 10 |
| 2021 | 25.3% | 1.25 | -16.7% | 16 |
| 2022 | -16.7% | -2.05 | -18.8% | 6 |
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 | 9.3% | 0.43 | 22% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.2% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 16.0% | 1.40 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.3% | -0.88 | 11% |
| hidden test | NORMAL | 809 | -0.9% | -0.07 | 7% |
| hidden test | SIDEWAYS | 293 | -14.4% | -1.80 | 1% |
| hidden test | UPTREND | 371 | 11.5% | 0.58 | 19% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 27.6% | 1.50 | 21% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.5% | 0.53 | 1% |
| train | LOW VOLATILITY | 745 | 6.2% | 0.50 | 19% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -0.82 | 7% |
| train | NORMAL | 1,601 | -3.8% | -0.39 | 8% |
| train | SIDEWAYS | 592 | -2.8% | -1.05 | 1% |
| train | UPTREND | 902 | 5.6% | 0.33 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.1% | 3.08 | 28% |
| validation | EXTREME | 144 | 33.0% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -5.8% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 4.9% | 0.40 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 41.0% | 1.91 | 17% |
| validation | NORMAL | 474 | -5.0% | -0.36 | 11% |
| validation | SIDEWAYS | 206 | -13.1% | -1.92 | 1% |
| validation | UPTREND | 425 | 35.4% | 1.70 | 22% |
Trades (full period)
latest 100 of 145
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.59% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.99% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.52% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.64% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.25% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 11.37% | 17 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 1.61% | 8 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.13% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.53% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.79% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -6.95% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.74% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.43% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.37% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.02% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.55% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 11.12% | 17 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -3.37% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.96% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.53% | 5 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.52% | 5 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 20.11% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.13% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.08% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.55% | 9 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.52% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.61% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.47% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.93% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 13.99% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.96% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.57% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.72% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.02% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.55% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.48% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.69% | 2 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 34.73% | 25 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.51% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.49% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.23% | 3 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.91% | 3 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -1.14% | 3 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.46% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -2.55% | 2 | |
| 2017-05-12 | 2017-05-16 | $21.65 | $21.13 | -1.70% | 3 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.70% | 3 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.09% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.95% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.42% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 11.66% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -4.62% | 2 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 3.96% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.22% | 2 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.20% | 2 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 6.65% | 20 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.29% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.77% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.67% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.61% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -1.93% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.60% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.04% | 8 |