Strategy Zoo / S1094
LongTermTrend_V1094
ARCHIVEDhybridllmAdded regime gates to restrict entries to non-high-volatility and non-extreme-bubble regimes; limited base position to 70% to reduce drawdown. Added pre-entry filters (vol_pctile < 0.9 and rsi_14 < 70) to avoid entries in extreme volatility/overbought conditions. Tightened MACD requirement at entry (>-1.0) and improved exit logic to include a drawdown stop (-15%) and price crossing below SMA-50 in addition to MACD < 0 to get earlier, more robust exits.
Fitness
0.2796
Generation
50
Complexity
35
Created
2026-10-03
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1094 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (vol_pctile < 0.9 and rsi_14 < 70.0 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 macd_hist > -1.0):
position = 0.7
if long and (macd_hist < 0.0 or drawdown < -0.15 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.3% | 19.9% | -7.3% | 2.1% |
| Total Return | 2.0% | 72.5% | -24.8% | 35.1% |
| Sharpe | 0.08 | 1.21 | -0.61 | 0.22 |
| Sortino | 0.06 | 1.01 | -0.36 | 0.16 |
| Calmar | 0.01 | 1.36 | -0.28 | 0.06 |
| Volatility | 12.3% | 16.0% | 11.4% | 12.9% |
| Max DD | -31.3% | -14.7% | -26.0% | -36.9% |
| Win Rate | 40.8% | 55.2% | 40.3% | 43.8% |
| Avg Win | 2.3% | 3.2% | 1.6% | 2.5% |
| Avg Loss | -1.6% | -1.5% | -1.7% | -1.6% |
| Payoff | 1.42 | 2.08 | 0.97 | 1.54 |
| Expectancy | -0.0% | 1.1% | -0.3% | 0.2% |
| Profit Factor | 0.98 | 2.55 | 0.66 | 1.20 |
| Trades | 130 | 58 | 77 | 265 |
| Avg Holding Days | 3.4 | 3.4 | 2.4 | 3.1 |
| Turnover | 22.9 | 27.1 | 28.9 | 25.2 |
| Exposure | 11.0% | 12.8% | 8.1% | 10.7% |
Growth of $100
LongTermTrend_V1094 vs TSLA Buy & Hold
LongTermTrend_V1094 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 | -5.3% | -0.95 | -8.5% | 17 |
| 2017 | 1.6% | 0.18 | -9.0% | 20 |
| 2018 | -6.5% | -0.91 | -10.1% | 5 |
| 2019 | 9.8% | 1.03 | -5.6% | 11 |
| 2020 | 58.3% | 2.56 | -6.2% | 8 |
| 2021 | 9.5% | 0.59 | -14.1% | 33 |
| 2022 | -0.6% | -0.02 | -8.0% | 15 |
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 | -1.5% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | -4.6% | -0.29 | 11% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.8% | -0.74 | 1% |
| hidden test | LOW VOLATILITY | 436 | 0.1% | 0.01 | 12% |
| hidden test | MEDIUM VOLATILITY | 251 | -19.5% | -1.59 | 9% |
| hidden test | NORMAL | 810 | -7.6% | -0.68 | 8% |
| hidden test | SIDEWAYS | 293 | -14.7% | -1.02 | 14% |
| hidden test | UPTREND | 371 | -5.0% | -0.39 | 9% |
| train | DOWNTREND | 518 | -4.0% | -1.00 | 1% |
| train | EXPENSIVE | 311 | 28.9% | 1.65 | 18% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 4.3% | 0.40 | 1% |
| train | LOW VOLATILITY | 745 | 8.5% | 0.69 | 19% |
| train | MEDIUM VOLATILITY | 568 | -12.8% | -0.91 | 14% |
| train | NORMAL | 1,601 | -4.9% | -0.43 | 10% |
| train | SIDEWAYS | 592 | 0.3% | 0.03 | 12% |
| train | UPTREND | 902 | 4.3% | 0.28 | 16% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.8% | 2.69 | 24% |
| validation | EXTREME | 144 | 23.4% | 2.24 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.8% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 10.5% | 0.82 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 45.3% | 2.12 | 17% |
| validation | NORMAL | 474 | 5.3% | 0.37 | 13% |
| validation | SIDEWAYS | 206 | 2.9% | 0.33 | 8% |
| validation | UPTREND | 425 | 33.1% | 1.63 | 19% |
Trades (full period)
latest 100 of 265
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 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 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.59% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.99% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.25% | 2 | |
| 2025-09-26 | 2025-10-06 | $440.40 | $453.25 | 0.98% | 7 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.09% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.40% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.36% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.19% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.44% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.85% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.16% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.21% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 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 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.11% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.58% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.62% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.31% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.35% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 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 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.02% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.23% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.30% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.38% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 3.57% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.35% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.99% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.94% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.54% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.32% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.82% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.79% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.50% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.87% | 2 | |
| 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 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.24% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.92% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.46% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.08% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.70% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.68% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.22% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.09% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.67% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -4.38% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -2.70% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -4.42% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.37% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.10% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -0.80% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -1.94% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.18% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.12% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.96% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.73% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.40% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.13% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.58% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.41% | 2 | |
| 2022-04-01 | 2022-04-11 | $361.53 | $325.31 | -3.46% | 7 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.37% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.22% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.08% | 2 | |
| 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 | |
| 2021-10-12 | 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 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.51% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.13% | 5 |