Strategy Zoo / S1099
LongTermTrend_V1099
ARCHIVEDhybridllmAdded conservative regime gates (UPTREND, LOW/MEDIUM volatility, NORMAL bubble); tightened trend slope requirement; kept momentum/breakout entry paths but lowered rel_volume threshold; improved exits with drawdown stop, short-term loss + negative momentum rule, and SMA-50 breach; introduced volatility-based position sizing (reduce size when vol_pctile high, full size when low) and reduced base position to 0.7 to lower risk.
Fitness
0.1337
Generation
50
Complexity
22
Created
2026-10-03
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.2086
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1099 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > -0.001) or ret_20d > 0.05) and ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.2))):
position = 0.7
if long and (drawdown > 0.12 or (ret_5d < -0.03 and macd_hist < 0.0) or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | -0.6% | 3.4% | 1.1% |
| Total Return | 5.1% | -1.7% | 13.4% | 17.1% |
| Sharpe | 0.12 | -0.00 | 0.36 | 0.16 |
| Sortino | 0.06 | -0.00 | 0.14 | 0.07 |
| Calmar | 0.05 | -0.02 | 0.23 | 0.04 |
| Volatility | 8.5% | 10.8% | 11.2% | 9.7% |
| Max DD | -11.7% | -30.2% | -14.7% | -30.2% |
| Win Rate | 39.3% | 14.3% | 43.8% | 37.3% |
| Avg Win | 4.3% | 27.1% | 6.1% | 6.2% |
| Avg Loss | -2.4% | -4.2% | -3.1% | -2.9% |
| Payoff | 1.82 | 6.48 | 1.96 | 2.12 |
| Expectancy | 0.3% | 0.3% | 0.9% | 0.5% |
| Profit Factor | 1.18 | 1.08 | 1.52 | 1.26 |
| Trades | 28 | 7 | 16 | 51 |
| Avg Holding Days | 8.6 | 11.4 | 5.4 | 8.0 |
| Turnover | 4.9 | 3.3 | 6.0 | 4.9 |
| Exposure | 7.4% | 6.8% | 5.3% | 6.8% |
Growth of $100
LongTermTrend_V1099 vs TSLA Buy & Hold
LongTermTrend_V1099 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 | -0.4% | -0.03 | -5.2% | 3 |
| 2017 | 7.4% | 1.20 | -3.2% | 6 |
| 2018 | -6.3% | -1.18 | -6.3% | 2 |
| 2019 | 3.2% | 0.72 | -1.1% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 20.8% | 1.20 | -14.1% | 2 |
| 2022 | -18.7% | -2.62 | -18.6% | 4 |
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 | 29.7% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.1% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 8.2% | 0.80 | 7% |
| hidden test | MEDIUM VOLATILITY | 251 | 13.0% | 1.01 | 7% |
| hidden test | NORMAL | 810 | 1.6% | 0.14 | 6% |
| hidden test | SIDEWAYS | 293 | -14.3% | -1.79 | 1% |
| hidden test | UPTREND | 371 | 21.4% | 1.31 | 12% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.7% | 1.79 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.9% | 0.42 | 0% |
| train | LOW VOLATILITY | 745 | 4.9% | 0.49 | 17% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.84 | 4% |
| train | NORMAL | 1,601 | -0.5% | -0.05 | 9% |
| train | SIDEWAYS | 592 | -3.8% | -1.24 | 1% |
| train | UPTREND | 902 | 4.7% | 0.38 | 16% |
| 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 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 9.0% | 0.88 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 1.6% | 0.12 | 5% |
| validation | NORMAL | 474 | -0.0% | -0.00 | 11% |
| validation | SIDEWAYS | 206 | -11.2% | -1.80 | 1% |
| validation | UPTREND | 425 | 5.4% | 0.40 | 12% |
Trades (full period)
51 trades
| 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 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 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 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.58% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 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 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 10.30% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-07-06 | 2023-07-12 | $276.54 | $271.99 | -3.29% | 5 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 11.12% | 17 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -4.72% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 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 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.52% | 5 | |
| 2021-08-31 | 2021-11-10 | $245.24 | $355.98 | 27.12% | 51 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.55% | 9 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.37% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.08% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -2.06% | 10 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 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 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 8.25% | 14 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -3.18% | 25 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.04% | 8 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -4.32% | 5 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 5.36% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.83% | 3 | |
| 2014-07-31 | 2014-09-16 | $14.89 | $17.38 | 7.61% | 33 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -2.21% | 11 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -5.53% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.47% | 2 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-03-13 | 2012-03-21 | $2.41 | $2.34 | -2.18% | 7 | |
| 2012-02-23 | 2012-03-09 | $2.30 | $2.32 | -2.48% | 12 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |