Strategy Zoo / S1074
LongTermTrend_V1074
ARCHIVEDhybridllmAdded a structural regime gate requiring UPTREND and non-high volatility; simplified/clarified entry into two clear modes (momentum above sma_200 with positive MACD hist, or breakout with volume and sma_50>200). Tightened exits to include macd_hist<0 and close crossing below sma_50 plus a -2% 20d stop. Introduced volatility-based position sizing (full size in low vol, reduced in high vol) and slightly lowered base position to reduce drawdown.
Fitness
0.4447
Generation
49
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.2086
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1074 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (sma_200_slope > 0.0 and ((close > sma_200 and ret_20d > 0.04 and macd_hist > 0.0) or (breakout_50 == 1 and rel_volume > 1.2 and sma_50 > sma_200))):
position = 0.8
if long and (ret_20d < -0.02 or macd_hist < 0.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.5% | 39.9% | 0.5% | 9.4% |
| Total Return | 31.8% | 173.8% | 1.7% | 275.5% |
| Sharpe | 0.32 | 1.55 | 0.10 | 0.65 |
| Sortino | 0.19 | 1.40 | 0.06 | 0.44 |
| Calmar | 0.17 | 2.58 | 0.04 | 0.39 |
| Volatility | 13.6% | 23.4% | 12.3% | 15.8% |
| Max DD | -20.7% | -15.5% | -11.7% | -24.1% |
| Win Rate | 42.9% | 56.5% | 41.2% | 46.3% |
| Avg Win | 5.3% | 11.3% | 4.0% | 7.5% |
| Avg Loss | -2.9% | -3.1% | -2.4% | -2.8% |
| Payoff | 1.84 | 3.68 | 1.65 | 2.64 |
| Expectancy | 0.6% | 5.0% | 0.2% | 1.9% |
| Profit Factor | 1.38 | 4.78 | 1.15 | 2.28 |
| Trades | 42 | 23 | 17 | 82 |
| Avg Holding Days | 7.4 | 8.8 | 7.5 | 8.0 |
| Turnover | 8.5 | 12.3 | 7.3 | 8.9 |
| Exposure | 11.1% | 19.0% | 9.4% | 12.3% |
Growth of $100
LongTermTrend_V1074 vs TSLA Buy & Hold
LongTermTrend_V1074 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 | -2.2% | -1.18 | -2.2% | 0 |
| 2017 | 14.2% | 1.00 | -11.2% | 11 |
| 2018 | -10.3% | -1.39 | -11.0% | 5 |
| 2019 | 7.6% | 1.31 | -3.0% | 0 |
| 2020 | 126.6% | 2.95 | -7.0% | 8 |
| 2021 | 19.2% | 0.84 | -15.5% | 12 |
| 2022 | 1.1% | 0.14 | -15.1% | 3 |
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 | -4.0% | -1.67 | 1% |
| hidden test | EXPENSIVE | 83 | 48.5% | 2.26 | 20% |
| hidden test | EXTREME | 48 | 23.7% | 0.93 | 13% |
| hidden test | HIGH VOLATILITY | 254 | 2.4% | 0.40 | 1% |
| hidden test | LOW VOLATILITY | 436 | 12.5% | 0.89 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.6% | -1.44 | 8% |
| hidden test | NORMAL | 809 | -5.0% | -0.53 | 8% |
| hidden test | SIDEWAYS | 293 | -11.8% | -0.90 | 17% |
| hidden test | UPTREND | 371 | 15.3% | 0.99 | 9% |
| train | DOWNTREND | 518 | -1.8% | -1.03 | 0% |
| train | EXPENSIVE | 311 | 16.0% | 0.75 | 19% |
| train | EXTREME | 100 | 30.0% | 1.59 | 20% |
| train | HIGH VOLATILITY | 699 | 4.1% | 0.30 | 1% |
| train | LOW VOLATILITY | 745 | 12.0% | 0.95 | 21% |
| train | MEDIUM VOLATILITY | 568 | -5.3% | -0.36 | 11% |
| train | NORMAL | 1,601 | 0.5% | 0.05 | 9% |
| train | SIDEWAYS | 592 | -3.4% | -0.29 | 11% |
| train | UPTREND | 902 | 13.0% | 0.73 | 18% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 58.7% | 1.92 | 28% |
| validation | EXTREME | 144 | 117.0% | 4.03 | 17% |
| validation | HIGH VOLATILITY | 258 | 19.2% | 1.08 | 2% |
| validation | LOW VOLATILITY | 183 | 24.2% | 1.54 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 57.3% | 1.90 | 27% |
| validation | NORMAL | 474 | 5.2% | 0.29 | 17% |
| validation | SIDEWAYS | 206 | -2.2% | -0.14 | 16% |
| validation | UPTREND | 425 | 65.6% | 2.26 | 26% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.98% | 9 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.71% | 10 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -5.54% | 7 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 8.97% | 15 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 31.86% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -5.46% | 4 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 9.89% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.97% | 2 | |
| 2020-07-01 | 2020-07-06 | $74.64 | $91.44 | 9.33% | 3 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 7.16% | 17 | |
| 2019-12-17 | 2020-01-31 | $25.27 | $43.37 | 51.65% | 31 | |
| 2018-12-12 | 2018-12-18 | $24.44 | $22.47 | -4.14% | 5 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.57% | 11 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.79% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 8.65% | 17 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.29% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 10.56% | 25 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.13% | 8 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.87% | 4 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 8.69% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2014-01-06 | 2014-01-10 | $9.80 | $9.71 | -1.24% | 5 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.17% | 11 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.16% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.77% | 7 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-04 | 2013-02-14 | $2.52 | $2.55 | 0.17% | 9 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 5.24% | 28 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -1.12% | 6 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.40% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |