Strategy Zoo / S1118
LongTermTrend_V1118
ARCHIVEDhybridllmAdded regime gates to avoid buying in high-volatility or bubbly markets; reduced base exposure to 0.8; added volatility-based position scaling (lower exposure when vol_pctile >0.33/0.66) to improve crash resilience; expanded exit to include short-term downside (ret_5d < -5%) and a max-drawdown cut (drawdown >12%) in addition to MACD histogram, to limit large losses and improve walk-forward robustness.
Fitness
0.1149
Generation
51
Complexity
29
Created
2026-10-03
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1118 [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)))):
position = 0.8
if long and (macd_hist < 0.0 or ret_5d < -0.05 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.7% | 2.7% | 6.6% | 0.7% |
| Total Return | -19.5% | 8.3% | 26.9% | 10.5% |
| Sharpe | -0.11 | 0.24 | 0.45 | 0.12 |
| Sortino | -0.07 | 0.17 | 0.31 | 0.08 |
| Calmar | -0.06 | 0.13 | 0.31 | 0.01 |
| Volatility | 14.8% | 17.1% | 17.9% | 16.1% |
| Max DD | -46.7% | -21.0% | -21.3% | -46.7% |
| Win Rate | 40.5% | 45.2% | 42.9% | 42.1% |
| Avg Win | 3.5% | 4.0% | 5.4% | 4.1% |
| Avg Loss | -2.7% | -2.6% | -2.5% | -2.6% |
| Payoff | 1.30 | 1.55 | 2.14 | 1.55 |
| Expectancy | -0.2% | 0.4% | 0.9% | 0.2% |
| Profit Factor | 0.88 | 1.28 | 1.60 | 1.13 |
| Trades | 79 | 31 | 35 | 145 |
| Avg Holding Days | 5.3 | 5.5 | 6.4 | 5.6 |
| Turnover | 15.8 | 16.5 | 15.0 | 15.8 |
| Exposure | 13.6% | 14.7% | 16.0% | 14.4% |
Growth of $100
LongTermTrend_V1118 vs TSLA Buy & Hold
LongTermTrend_V1118 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 | -10.4% | -0.93 | -15.2% | 12 |
| 2017 | 11.8% | 1.26 | -4.3% | 6 |
| 2018 | -7.4% | -0.91 | -11.4% | 5 |
| 2019 | -3.4% | -0.06 | -19.6% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -2.4% | 0.00 | -21.0% | 19 |
| 2022 | 0.2% | 0.09 | -19.4% | 11 |
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 | -2.8% | -1.38 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.7% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 436 | 22.2% | 1.26 | 24% |
| hidden test | MEDIUM VOLATILITY | 251 | 0.2% | 0.01 | 17% |
| hidden test | NORMAL | 810 | 5.7% | 0.31 | 18% |
| hidden test | SIDEWAYS | 293 | -6.1% | -0.28 | 30% |
| hidden test | UPTREND | 371 | 27.1% | 1.29 | 17% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 10.3% | 1.83 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.4% | 0.17 | 1% |
| train | LOW VOLATILITY | 745 | 11.1% | 0.78 | 25% |
| train | MEDIUM VOLATILITY | 568 | -23.3% | -1.46 | 14% |
| train | NORMAL | 1,601 | -4.1% | -0.25 | 17% |
| train | SIDEWAYS | 592 | -7.4% | -0.46 | 19% |
| train | UPTREND | 902 | 4.9% | 0.29 | 17% |
| 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 | 4.0% | 0.27 | 1% |
| validation | LOW VOLATILITY | 183 | 6.2% | 0.38 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 3.0% | 0.16 | 14% |
| validation | NORMAL | 474 | 6.5% | 0.30 | 23% |
| validation | SIDEWAYS | 206 | -14.3% | -0.78 | 21% |
| validation | UPTREND | 425 | 14.2% | 0.75 | 16% |
Trades (full period)
latest 100 of 145
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 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 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -5.29% | 10 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.28% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.48% | 17 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -3.88% | 7 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -2.60% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 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 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.79% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.35% | 2 | |
| 2021-06-14 | 2021-07-08 | $205.90 | $217.60 | 4.43% | 18 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.71% | 6 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.59% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.70% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.00% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.29% | 8 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.91% | 13 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -6.15% | 6 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -2.40% | 2 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.88% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.77% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.70% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -2.21% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.68% | 2 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 5.55% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-12-29 | 2016-01-06 | $15.81 | $14.60 | -2.04% | 6 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.90% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-07-15 | 2015-07-16 | $17.54 | $17.78 | -0.92% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 |