Strategy Zoo / S1136
LongTermTrend_V1136
ARCHIVEDhybridllm1) Added regime gates: only UPTREND, LOW/MEDIUM volatility and NORMAL bubble to reduce exposure in unfavorable market regimes. 2) Tightened entry MACD requirement to >0 (removes deep negative-hist entries) and added vol_pctile < 0.80 as an entry filter to avoid extreme volatility entry spikes. 3) Replaced single MACD exit with a safer OR exit: exit on macd_hist < 0 OR vol_pctile > 0.95 to cut losses on volatility shocks. 4) Introduced volatility-based position sizing (smaller allocations when vol_20 or vol_pctile are high) and reduced base_position from 1.0 to 0.8 to lower max drawdown risk while keeping participation in favorable regimes.
Fitness
0.1379
Generation
52
Complexity
33
Created
2026-10-03
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> 0.2692
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1136 [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 > -0.0024) 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 < 0.8):
position = 0.8
if long and (macd_hist < 0.0 or vol_pctile > 0.95):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.5% | -0.8% | 3.3% | 0.9% |
| Total Return | 3.8% | -2.3% | 13.1% | 14.7% |
| Sharpe | 0.10 | 0.01 | 0.32 | 0.14 |
| Sortino | 0.04 | 0.01 | 0.13 | 0.06 |
| Calmar | 0.03 | -0.03 | 0.22 | 0.04 |
| Volatility | 9.3% | 13.8% | 12.9% | 11.3% |
| Max DD | -14.0% | -26.7% | -15.0% | -26.7% |
| Win Rate | 37.9% | 18.2% | 43.8% | 35.7% |
| Avg Win | 5.0% | 14.5% | 7.0% | 6.6% |
| Avg Loss | -2.7% | -3.1% | -3.7% | -3.1% |
| Payoff | 1.87 | 4.62 | 1.86 | 2.17 |
| Expectancy | 0.2% | 0.1% | 0.9% | 0.4% |
| Profit Factor | 1.14 | 1.03 | 1.45 | 1.21 |
| Trades | 29 | 11 | 16 | 56 |
| Avg Holding Days | 6.3 | 7.4 | 5.3 | 6.2 |
| Turnover | 5.8 | 5.9 | 6.9 | 6.1 |
| Exposure | 6.1% | 7.4% | 5.9% | 6.3% |
Growth of $100
LongTermTrend_V1136 vs TSLA Buy & Hold
LongTermTrend_V1136 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 | 1.7% | 0.29 | -5.3% | 3 |
| 2017 | 8.7% | 1.17 | -4.3% | 5 |
| 2018 | -6.3% | -1.20 | -6.3% | 2 |
| 2019 | 3.7% | 0.72 | -1.2% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.0% | 0.69 | -16.0% | 5 |
| 2022 | -21.3% | -2.48 | -21.2% | 5 |
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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.8% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 9.3% | 0.80 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | 13.2% | 0.88 | 8% |
| hidden test | NORMAL | 810 | 1.3% | 0.10 | 7% |
| hidden test | SIDEWAYS | 293 | -18.7% | -1.99 | 2% |
| hidden test | UPTREND | 371 | 25.2% | 1.35 | 14% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.4% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.8% | 0.48 | 0% |
| train | LOW VOLATILITY | 745 | 6.2% | 0.62 | 14% |
| train | MEDIUM VOLATILITY | 568 | -9.7% | -1.01 | 4% |
| train | NORMAL | 1,601 | -0.7% | -0.07 | 7% |
| train | SIDEWAYS | 592 | -3.3% | -1.05 | 1% |
| train | UPTREND | 902 | 4.1% | 0.30 | 13% |
| 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 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | -3.9% | -0.34 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 1.8% | 0.12 | 6% |
| validation | NORMAL | 474 | 0.3% | 0.02 | 12% |
| validation | SIDEWAYS | 206 | -14.9% | -1.90 | 1% |
| validation | UPTREND | 425 | 7.5% | 0.43 | 13% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.19% | 5 | |
| 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 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -3.86% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.39% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 7.63% | 6 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-10-13 | 2017-10-23 | $23.70 | $22.47 | -2.53% | 7 | |
| 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 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.93% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -7.15% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -6.31% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.68% | 2 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |