Strategy Zoo / S1119

LongTermTrend_V1119

ARCHIVEDhybrid

llmTightened momentum filter and added volatility and SMA alignment; strengthened exit rules and reduced base size. - tightened macd_hist requirement to > 0 to force positive momentum - added vol_pctile < 0.9 to avoid extreme volatility entries - require sma_20 > sma_50 (short-term trend confirmation) while keeping close > sma_20 - replaced weak single-day exit with multi-condition exit: 20d loss < -6% OR drawdown > 12% OR close crossing below sma_50 - set regime gate to UPTREND and MEDIUM_VOLATILITY to avoid bad market regimes - reduced base_position from 1.0 to 0.6 to lower exposure and drawdown risk

Fitness
0.5422
Generation
51
Complexity
32
Created
2026-10-03

Lineage

Parents (1)
LongTermTrend_V1088S1088 · gen 50ARCHIVEDllm

entry from LongTermTrend_V1037, exit from PriceMomentum_V0690

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1119  [hybrid]
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 > 0.2692 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 > 0.0 and vol_pctile < 0.9 and sma_20 > sma_50):
    position = 0.6
if long and (ret_20d < -0.06 or drawdown > 0.12 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR18.3%40.4%3.7%18.6%
Total Return282.7%176.9%14.6%1136.1%
Sharpe0.981.320.290.91
Sortino0.991.340.250.86
Calmar0.811.910.190.82
Volatility18.9%28.9%18.9%21.3%
Max DD-22.7%-21.2%-19.9%-22.7%
Win Rate43.3%50.0%35.3%42.4%
Avg Win14.1%26.6%8.7%18.1%
Avg Loss-3.0%-5.6%-3.0%-3.4%
Payoff4.734.762.925.28
Expectancy4.4%10.5%1.1%5.7%
Profit Factor3.624.761.593.88
Trades30121759
Avg Holding Days25.832.118.626.0
Turnover4.64.85.64.9
Exposure23.9%29.6%20.0%24.1%

Growth of $100

LongTermTrend_V1119 vs TSLA Buy & Hold
LongTermTrend_V1119 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
YearCAGRSharpeMax DDTrades
20162.8%0.35-10.2%2
201712.5%0.85-12.1%5
2018-8.3%-0.48-14.3%4
201933.0%1.65-11.2%2
2020137.1%2.28-21.2%5
202128.7%1.29-15.7%4
2022-11.5%-0.67-14.6%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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2770.2%0.025%
hidden testEXPENSIVE8337.5%1.4440%
hidden testEXTREME4896.5%3.0339%
hidden testHIGH VOLATILITY254-4.3%-0.1916%
hidden testLOW VOLATILITY43625.0%1.7821%
hidden testMEDIUM VOLATILITY251-18.7%-0.8523%
hidden testNORMAL810-3.2%-0.1917%
hidden testSIDEWAYS293-4.7%-0.2622%
hidden testUPTREND37117.4%0.7030%
trainDOWNTREND518-0.9%-0.134%
trainEXPENSIVE31137.1%1.6040%
trainEXTREME100228.2%5.2358%
trainHIGH VOLATILITY69937.4%1.5420%
trainLOW VOLATILITY74524.8%1.7031%
trainMEDIUM VOLATILITY568-12.7%-0.8019%
trainNORMAL1,6011.9%0.1319%
trainSIDEWAYS5921.7%0.1313%
trainUPTREND90240.8%1.6043%
validationDOWNTREND12523.1%2.003%
validationEXPENSIVE1386.5%0.2038%
validationEXTREME144176.0%3.7151%
validationHIGH VOLATILITY25847.9%1.2723%
validationLOW VOLATILITY1833.9%0.2438%
validationMEDIUM VOLATILITY31550.0%1.9230%
validationNORMAL4745.4%0.3121%
validationSIDEWAYS206-29.2%-1.7017%
validationUPTREND42575.2%2.1044%

Trades (full period)

60 trades
EntryExitEntry PxExit PxReturnDays
2026-09-14—$358.97—-1.88%15OPEN
2026-05-112026-06-08$445.00$408.95-5.26%20
2025-12-182026-01-05$483.37$451.67-3.87%11
2025-08-252025-11-14$346.60$404.3511.23%59
2025-08-122025-08-22$340.84$340.01-3.49%9
2025-06-252025-06-26$327.55$325.78-2.40%2
2025-05-092025-06-06$298.26$295.140.38%20
2024-11-222025-01-17$352.56$426.5013.27%37
2024-09-242024-10-14$254.27$219.16-7.88%15
2024-06-172024-08-02$187.44$207.6713.37%33
2024-05-172024-05-29$177.46$176.190.63%8
2023-12-082024-01-10$243.84$233.94-1.91%22
2023-10-062023-10-13$260.53$251.12-0.39%6
2023-09-212023-09-22$255.70$244.88-1.69%2
2023-06-052023-08-02$217.61$254.1113.12%41
2023-03-292023-04-06$193.88$185.06-1.17%7
2023-03-242023-03-28$190.41$189.19-0.25%3
2023-02-082023-03-09$201.29$172.92-4.37%21
2022-09-132022-09-26$292.13$276.01-5.87%10
2022-07-212022-08-31$271.71$275.617.44%30
2022-03-302022-04-27$364.66$293.84-12.46%20
2021-08-022021-12-02$236.56$361.5333.35%87
2021-07-062021-07-28$219.86$215.66-3.09%17
2021-04-272021-04-30$234.91$236.48-5.14%4
2020-11-242021-02-19$185.13$260.4329.03%59
2020-11-092020-11-10$140.42$136.79-1.33%2
2020-10-142020-10-29$153.77$136.94-5.61%12
2020-08-182020-09-24$125.81$129.263.84%27
2020-04-292020-08-12$53.37$103.6543.76%74
2019-10-112020-03-05$16.53$48.30100.94%100
2019-10-022019-10-07$16.21$15.85-3.38%4
2019-07-082019-08-13$15.36$15.67-0.80%27
2018-11-062018-12-21$22.74$21.32-4.51%32
2018-06-052018-07-06$19.41$20.592.72%23
2018-03-142018-03-15$21.78$21.71-2.79%2
2018-01-092018-02-09$22.25$20.69-3.78%23
2017-10-132017-10-16$23.70$23.37-0.14%2
2017-09-122017-09-26$24.18$23.02-3.18%11
2017-04-032017-07-06$19.90$20.5910.59%66
2017-03-172017-03-22$17.43$17.00-2.72%4
2016-12-222017-03-09$13.90$16.3311.05%52
2016-07-262016-08-29$15.30$14.35-2.72%25
2016-03-162016-05-04$14.80$14.843.90%35
2015-12-182016-01-05$15.36$14.90-2.62%11
2015-12-102015-12-14$15.14$14.57-2.11%3
2015-09-282015-09-29$16.56$16.44-2.10%2
2015-04-232015-07-28$14.57$17.659.12%67
2015-02-232015-02-24$13.82$13.61-2.82%2
2014-11-252014-12-02$16.54$15.43-3.79%5
2014-07-312014-09-23$14.89$16.695.62%38
2014-06-162014-07-17$14.97$14.363.18%23
2014-01-152014-03-26$10.94$14.2021.29%49
2014-01-022014-01-14$10.01$10.75-4.57%9
2013-07-022013-10-24$7.85$11.5424.02%81
2013-04-012013-06-26$2.93$7.0585.52%62
2013-03-082013-03-18$2.56$2.34-4.74%7
2013-01-232013-02-22$2.40$2.410.05%22
2012-11-142013-01-14$2.09$2.222.48%41
2012-07-132012-07-24$2.28$1.99-3.75%8
2012-02-142012-04-10$2.21$2.163.39%39