LongTermTrend_V1092

ARCHIVEDhybrid

llmReduce overfitting and improve risk control: simplified and de-duplicated entry logic; added momentum filters (sma_50_slope, macd_hist) and volatility percentile cap to avoid entries into extreme volatile regimes. Added multi-condition exit (wider 20d stop, daily crash stop, sma_50 break, drawdown cap) to limit deep drawdowns. Gate entries to UPTREND and NORMAL bubble only. Introduced volatility- and bubble-based position scaling and reduced base position to 0.8 to lower leverage in uncertain regimes.

Fitness

0.4684

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

LongTermTrend_V0519S0519 · gen 24ARCHIVEDllm

entry from LongTermTrend_V0323, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1092  [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and sma_50_slope > 0.0 and macd_hist > 0.0 and cumret_252d > -0.2 and vol_pctile < 0.85):
    position = 0.8
if long and (ret_20d < -0.02 or ret_1d < -0.07 or close < sma_50 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	10.5%	50.5%	-3.4%	13.9%
Total Return	121.9%	241.0%	-12.2%	580.2%
Sharpe	0.56	1.43	-0.04	0.65
Sortino	0.48	1.35	-0.03	0.54
Calmar	0.22	1.31	-0.08	0.28
Volatility	22.4%	32.3%	22.6%	24.8%
Max DD	-48.8%	-38.6%	-44.1%	-48.8%
Win Rate	37.0%	43.8%	33.3%	37.2%
Avg Win	9.7%	29.3%	9.1%	16.3%
Avg Loss	-3.5%	-4.8%	-4.8%	-4.1%
Payoff	2.79	6.06	1.89	3.98
Expectancy	1.4%	10.1%	-0.2%	3.5%
Profit Factor	1.63	4.71	0.94	2.36
Trades	46	16	24	86
Avg Holding Days	13.5	17.1	10.3	13.9
Turnover	9.3	8.5	10.3	9.3
Exposure	25.0%	27.3%	19.0%	24.0%

Growth of $100

LongTermTrend_V1092 vs TSLA Buy & Hold

LongTermTrend_V1092 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	-0.0%	0.04	-11.5%	2
2017	2.0%	0.20	-25.1%	14
2018	-16.6%	-1.56	-17.8%	3
2019	22.8%	0.99	-19.2%	2
2020	223.2%	2.87	-18.9%	5
2021	41.1%	1.49	-15.2%	5
2022	-34.8%	-2.17	-34.7%	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	277	0.0%	0.00	0%
hidden test	EXPENSIVE	83	48.1%	1.44	48%
hidden test	EXTREME	48	51.6%	1.41	35%
hidden test	HIGH VOLATILITY	254	-42.6%	-1.72	10%
hidden test	LOW VOLATILITY	436	36.2%	2.15	19%
hidden test	MEDIUM VOLATILITY	251	-23.1%	-0.82	27%
hidden test	NORMAL	810	-9.0%	-0.45	15%
hidden test	SIDEWAYS	293	-36.2%	-2.09	12%
hidden test	UPTREND	371	26.4%	0.81	39%
train	DOWNTREND	518	2.2%	0.74	1%
train	EXPENSIVE	311	26.7%	0.90	49%
train	EXTREME	100	176.2%	3.37	55%
train	HIGH VOLATILITY	699	22.8%	0.81	15%
train	LOW VOLATILITY	745	30.9%	1.72	38%
train	MEDIUM VOLATILITY	568	-24.5%	-1.29	20%
train	NORMAL	1,601	-0.5%	-0.03	18%
train	SIDEWAYS	592	-13.3%	-1.03	9%
train	UPTREND	902	35.2%	1.11	50%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	59.5%	1.82	41%
validation	EXTREME	144	180.4%	3.40	40%
validation	HIGH VOLATILITY	258	45.6%	1.15	15%
validation	LOW VOLATILITY	183	27.6%	1.49	36%
validation	MEDIUM VOLATILITY	315	57.1%	1.79	33%
validation	NORMAL	474	1.3%	0.06	19%
validation	SIDEWAYS	206	-16.0%	-1.04	7%
validation	UPTREND	425	89.7%	2.16	45%

Trades (full period)

86 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-13	2026-07-14	$394.76	$396.18	-2.71%	2
2026-07-07	2026-07-08	$402.90	$394.06	-3.37%	2
2026-07-01	2026-07-06	$425.30	$419.77	-5.30%	3
2026-05-14	2026-06-08	$443.30	$408.95	-9.93%	17
2026-02-17	2026-02-18	$410.63	$411.32	-1.46%	2
2026-02-12	2026-02-13	$417.07	$417.44	-2.25%	2
2025-12-03	2026-01-05	$446.74	$451.67	1.58%	22
2025-12-01	2025-12-02	$430.14	$429.24	-0.17%	2
2025-08-25	2025-11-14	$346.60	$404.35	14.70%	59
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-07-29	2025-07-30	$321.20	$319.04	-1.24%	2
2025-07-24	2025-07-25	$305.30	$316.06	-6.71%	2
2025-07-21	2025-07-23	$328.49	$332.56	0.44%	3
2025-07-17	2025-07-18	$319.41	$329.65	-0.72%	2
2025-06-25	2025-06-26	$327.55	$325.78	-3.19%	2
2025-05-16	2025-06-06	$349.98	$295.14	-13.71%	15
2024-12-20	2025-01-14	$421.06	$396.36	-6.04%	15
2024-12-09	2024-12-19	$389.79	$436.17	10.32%	9
2024-09-10	2024-10-14	$226.17	$219.16	0.62%	25
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-09-04	2024-09-05	$219.41	$230.17	3.18%	2
2024-07-15	2024-07-25	$252.64	$220.25	-10.50%	9
2024-06-27	2024-07-12	$197.42	$248.23	17.87%	11
2023-05-31	2023-07-21	$203.93	$260.02	24.07%	36
2022-09-21	2022-09-23	$300.80	$275.33	-5.39%	3
2022-08-02	2022-08-29	$300.59	$284.82	-2.53%	20
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2022-01-13	2022-01-14	$343.85	$349.87	-5.55%	2
2022-01-10	2022-01-11	$352.71	$354.80	2.27%	2
2022-01-03	2022-01-07	$399.93	$342.32	0.62%	5
2021-12-30	2021-12-31	$356.78	$352.26	-1.33%	2
2021-12-28	2021-12-29	$362.82	$362.06	-0.56%	2
2021-08-02	2021-11-10	$236.56	$355.98	38.02%	72
2021-01-13	2021-02-11	$284.80	$270.55	-4.26%	21
2020-11-19	2021-01-12	$166.42	$283.15	51.02%	36
2020-11-09	2020-11-10	$140.42	$136.79	-1.78%	2
2020-10-14	2020-10-20	$153.77	$140.65	-2.98%	5
2020-08-18	2020-09-04	$125.81	$139.44	8.77%	14
2020-06-03	2020-08-10	$58.86	$94.57	50.05%	48
2019-10-16	2020-02-06	$17.32	$49.93	133.94%	78
2019-09-12	2019-09-25	$16.39	$15.25	-7.91%	10
2019-07-24	2019-07-26	$17.66	$15.20	-9.74%	3
2018-12-11	2018-12-19	$24.45	$22.20	-6.32%	7
2018-03-14	2018-03-15	$21.78	$21.71	-3.72%	2
2018-01-18	2018-02-09	$22.97	$20.69	-7.48%	17
2017-10-20	2017-10-23	$23.01	$22.47	-1.68%	2
2017-10-18	2017-10-19	$23.98	$23.45	0.72%	2
2017-10-16	2017-10-17	$23.37	$23.72	-1.28%	2
2017-10-12	2017-10-13	$23.71	$23.70	0.08%	2
2017-09-18	2017-09-26	$25.67	$23.02	-7.53%	7
2017-08-04	2017-08-21	$23.79	$22.52	-0.04%	12
2017-07-31	2017-08-01	$21.56	$21.30	-2.93%	2
2017-07-27	2017-07-28	$22.30	$22.34	-2.34%	2
2017-07-25	2017-07-26	$22.64	$22.92	-0.84%	2
2017-05-31	2017-07-06	$22.73	$20.59	-1.95%	26
2017-03-23	2017-05-24	$16.99	$20.68	15.10%	44
2017-03-21	2017-03-22	$16.71	$17.00	-3.59%	2
2017-03-17	2017-03-20	$17.43	$17.46	-0.33%	2
2016-12-28	2017-02-28	$14.65	$16.67	9.60%	42
2016-07-26	2016-08-18	$15.30	$14.90	-2.50%	18
2016-03-28	2016-05-03	$15.35	$15.49	4.83%	27
2015-12-30	2016-01-05	$15.87	$14.90	-4.79%	4
2015-04-14	2015-07-28	$13.83	$17.65	16.25%	74
2014-10-10	2014-10-13	$15.79	$14.97	-6.41%	2
2014-10-08	2014-10-09	$17.29	$17.13	-0.25%	2
2014-08-04	2014-09-16	$15.90	$17.38	7.00%	31
2014-07-31	2014-08-01	$14.89	$15.55	-2.12%	2
2014-06-23	2014-07-16	$15.81	$14.48	-3.59%	17
2014-05-06	2014-05-07	$13.82	$13.42	-3.60%	2
2014-05-02	2014-05-05	$14.06	$14.44	1.06%	2
2014-04-30	2014-05-01	$13.86	$13.85	0.21%	2
2014-04-28	2014-04-29	$13.23	$13.79	-0.70%	2
2014-04-24	2014-04-25	$13.86	$13.32	-0.21%	2
2014-01-24	2014-03-26	$11.64	$14.20	17.11%	43
2013-08-23	2013-10-22	$10.79	$11.44	7.90%	42
2013-07-02	2013-07-17	$7.85	$8.02	-5.52%	11
2013-04-30	2013-06-26	$3.60	$7.05	66.17%	41
2013-03-27	2013-04-04	$2.54	$2.80	6.85%	6
2013-03-12	2013-03-15	$2.61	$2.35	-4.76%	4
2013-03-08	2013-03-11	$2.56	$2.61	0.34%	2
2013-01-24	2013-02-22	$2.47	$2.41	-1.89%	21
2012-11-12	2013-01-10	$2.07	$2.24	8.61%	41
2012-08-24	2012-08-27	$1.97	$1.89	-3.36%	2
2012-05-03	2012-05-04	$2.16	$2.12	-3.65%	2
2012-05-01	2012-05-02	$2.25	$2.26	1.41%	2
2012-02-23	2012-04-05	$2.30	$2.30	1.86%	31