Strategy Zoo / S1120
LongTermTrend_V1120
ARCHIVEDhybridllmSimplified and de-duplicated entry into three clear legs (long-term trend, momentum, breakout); tightened long-term slope and 20d-return threshold to reduce overfitting. Added regime gates to allow entries only in UPTREND and non-HIGH volatility and normal bubble regimes to improve stability. Expanded exit to OR of 20d stop-loss (-3%), trend flip (sma_50 < sma_200), and accumulated drawdown (12%) to limit large losses. Added volatility-based position scaling (vol_pctile tiers) to reduce exposure in turbulent periods.
Fitness
0.5136
Generation
51
Complexity
17
Created
2026-10-03
Lineage
Parents (1)
entry from LongTermTrend_V0733, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1120 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((close > sma_200 and sma_200_slope > -0.002 and ret_20d > 0.03 and dist_sma_50 > -0.08) or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.5)):
position = 1.0
if long and (ret_20d < -0.03 or sma_50 < sma_200 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.4% | 83.1% | -14.8% | 8.6% |
| Total Return | -3.2% | 514.3% | -45.0% | 236.5% |
| Sharpe | 0.10 | 1.87 | -0.45 | 0.43 |
| Sortino | 0.09 | 1.97 | -0.36 | 0.38 |
| Calmar | -0.01 | 2.90 | -0.29 | 0.16 |
| Volatility | 24.3% | 35.9% | 27.2% | 27.8% |
| Max DD | -53.1% | -28.7% | -50.9% | -53.1% |
| Win Rate | 44.8% | 52.1% | 43.0% | 45.5% |
| Avg Win | 2.9% | 12.0% | 2.6% | 4.7% |
| Avg Loss | -2.4% | -2.9% | -3.0% | -2.6% |
| Payoff | 1.21 | 4.08 | 0.85 | 1.76 |
| Expectancy | -0.0% | 4.9% | -0.6% | 0.7% |
| Profit Factor | 0.98 | 4.44 | 0.64 | 1.46 |
| Trades | 174 | 48 | 86 | 308 |
| Avg Holding Days | 4.2 | 6.7 | 4.0 | 4.6 |
| Turnover | 43.7 | 32.0 | 46.1 | 41.9 |
| Exposure | 29.3% | 36.0% | 27.6% | 30.3% |
Growth of $100
LongTermTrend_V1120 vs TSLA Buy & Hold
LongTermTrend_V1120 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 | -14.3% | -0.79 | -22.9% | 24 |
| 2017 | -2.5% | 0.02 | -27.8% | 29 |
| 2018 | -8.4% | -0.43 | -16.8% | 16 |
| 2019 | 25.0% | 1.37 | -9.4% | 21 |
| 2020 | 277.5% | 3.56 | -12.5% | 7 |
| 2021 | 16.1% | 0.59 | -26.9% | 21 |
| 2022 | 18.8% | 0.77 | -28.7% | 19 |
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 | -9.2% | -0.85 | 6% |
| hidden test | EXPENSIVE | 83 | 35.4% | 0.94 | 53% |
| hidden test | EXTREME | 48 | 29.6% | 0.93 | 17% |
| hidden test | HIGH VOLATILITY | 254 | -21.2% | -0.99 | 2% |
| hidden test | LOW VOLATILITY | 436 | 21.6% | 0.93 | 35% |
| hidden test | MEDIUM VOLATILITY | 251 | -62.0% | -1.68 | 41% |
| hidden test | NORMAL | 810 | -19.6% | -0.76 | 26% |
| hidden test | SIDEWAYS | 293 | -33.8% | -1.23 | 32% |
| hidden test | UPTREND | 371 | 2.5% | 0.07 | 40% |
| train | DOWNTREND | 518 | -10.8% | -0.73 | 7% |
| train | EXPENSIVE | 311 | 35.9% | 1.06 | 47% |
| train | EXTREME | 100 | 52.5% | 1.83 | 29% |
| train | HIGH VOLATILITY | 699 | -5.6% | -0.25 | 3% |
| train | LOW VOLATILITY | 745 | 23.8% | 0.99 | 50% |
| train | MEDIUM VOLATILITY | 568 | -15.3% | -0.56 | 35% |
| train | NORMAL | 1,601 | -7.1% | -0.32 | 26% |
| train | SIDEWAYS | 592 | 0.2% | 0.01 | 23% |
| train | UPTREND | 902 | 11.7% | 0.38 | 46% |
| validation | DOWNTREND | 125 | 29.7% | 1.43 | 5% |
| validation | EXPENSIVE | 138 | 93.1% | 2.11 | 58% |
| validation | EXTREME | 144 | 184.2% | 4.70 | 24% |
| validation | HIGH VOLATILITY | 258 | 34.1% | 1.26 | 3% |
| validation | LOW VOLATILITY | 183 | 36.5% | 1.46 | 53% |
| validation | MEDIUM VOLATILITY | 315 | 111.4% | 2.42 | 53% |
| validation | NORMAL | 474 | 23.6% | 0.75 | 33% |
| validation | SIDEWAYS | 206 | -6.6% | -0.25 | 29% |
| validation | UPTREND | 425 | 113.4% | 2.68 | 49% |
Trades (full period)
latest 100 of 308
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.36% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -3.28% | 23 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-08-04 | $321.20 | $309.26 | -7.24% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 4.80% | 9 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -8.76% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.78% | 5 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-06-23 | 2023-08-02 | $256.60 | $254.11 | -1.54% | 28 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 4.64% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2022-09-22 | 2022-09-23 | $288.59 | $275.33 | -4.25% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-09-16 | 2022-09-19 | $303.35 | $309.07 | -0.33% | 2 | |
| 2022-09-14 | 2022-09-15 | $302.61 | $303.75 | 3.38% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.38% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-27 | 2022-07-28 | $274.82 | $280.90 | 5.96% | 2 | |
| 2022-07-25 | 2022-07-26 | $268.43 | $258.86 | -1.60% | 2 |