Strategy Zoo / S1047
LongTermTrend_V1047
ARCHIVEDhybridllm1) Added conservative regime gates: allow trading only in UPTREND or SIDEWAYS, avoid HIGH_VOLATILITY and bubble states to reduce overtrading. 2) Wrapped original entry in additional filters: require RSI>40 and vol_pctile<0.9 to avoid weak momentum and extreme volatility. 3) Improved exit logic: exit on MACD histogram negative OR price crossing below SMA50 OR sharp 5-day loss OR large drawdown (12%) — better stop/exit coverage. 4) Reduced base_position to 0.7 and added position scaling rules: full size (1.0) in low vol with 50/200 bullish crossover; cut exposure to 0.4 when volatility percentile >0.85. These structural changes aim to improve validation robustness and lower drawdown.
Fitness
0.0922
Generation
48
Complexity
33
Created
2026-10-02
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1047 [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 > -0.0024) 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 rsi_14 > 40.0 and vol_pctile < 0.9):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.06 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | 0.4% | 1.2% | -0.5% |
| Total Return | -12.1% | 1.2% | 4.5% | -7.1% |
| Sharpe | -0.06 | 0.10 | 0.15 | 0.03 |
| Sortino | -0.04 | 0.06 | 0.10 | 0.02 |
| Calmar | -0.04 | 0.02 | 0.04 | -0.01 |
| Volatility | 12.7% | 13.9% | 14.9% | 13.5% |
| Max DD | -36.6% | -18.7% | -29.9% | -36.6% |
| Win Rate | 37.8% | 45.2% | 40.5% | 40.0% |
| Avg Win | 3.2% | 2.8% | 4.1% | 3.4% |
| Avg Loss | -2.1% | -2.1% | -2.4% | -2.2% |
| Payoff | 1.52 | 1.35 | 1.70 | 1.54 |
| Expectancy | -0.1% | 0.1% | 0.2% | 0.0% |
| Profit Factor | 0.93 | 1.11 | 1.16 | 1.03 |
| Trades | 82 | 31 | 42 | 155 |
| Avg Holding Days | 5.0 | 5.4 | 5.2 | 5.1 |
| Turnover | 14.4 | 14.5 | 15.8 | 14.7 |
| Exposure | 11.5% | 12.6% | 13.1% | 12.1% |
Growth of $100
LongTermTrend_V1047 vs TSLA Buy & Hold
LongTermTrend_V1047 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 | -4.7% | -0.49 | -9.4% | 11 |
| 2017 | 9.2% | 1.17 | -3.8% | 7 |
| 2018 | -6.5% | -0.91 | -10.1% | 5 |
| 2019 | -2.7% | -0.06 | -17.3% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -1.9% | -0.00 | -18.6% | 20 |
| 2022 | 3.2% | 0.29 | -14.8% | 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 | -2.5% | -1.38 | 1% |
| hidden test | EXPENSIVE | 83 | 30.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.6% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 436 | 15.9% | 1.05 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.5% | -0.68 | 13% |
| hidden test | NORMAL | 809 | -0.4% | -0.03 | 15% |
| hidden test | SIDEWAYS | 293 | -18.9% | -1.13 | 24% |
| hidden test | UPTREND | 371 | 22.5% | 1.23 | 14% |
| train | DOWNTREND | 518 | -5.6% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 9.0% | 1.83 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.7% | 0.13 | 1% |
| train | LOW VOLATILITY | 745 | 8.7% | 0.71 | 22% |
| train | MEDIUM VOLATILITY | 568 | -16.3% | -1.22 | 11% |
| train | NORMAL | 1,601 | -2.8% | -0.20 | 14% |
| train | SIDEWAYS | 592 | -6.3% | -0.45 | 16% |
| train | UPTREND | 902 | 5.6% | 0.38 | 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 | -5.8% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 1.6% | 0.12 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 7.0% | 0.40 | 13% |
| validation | NORMAL | 474 | 2.1% | 0.12 | 20% |
| validation | SIDEWAYS | 206 | -9.1% | -0.58 | 18% |
| validation | UPTREND | 425 | 6.8% | 0.46 | 14% |
Trades (full period)
latest 100 of 155
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.15% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.99% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.23% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.14% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.36% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 8.78% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 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 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 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 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 23.89% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.36% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.24% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.25% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.78% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 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 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.49% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.75% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.73% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.53% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.52% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 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 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.28% | 2 | |
| 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 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.13% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.54% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.69% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.83% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.45% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.18% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.62% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.75% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.56% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.37% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.52% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.73% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -5.63% | 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 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.76% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.91% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -0.93% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.08% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.53% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.68% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.10% | 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 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.87% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.48% | 5 |