Strategy Zoo / S1137
LongTermTrend_V1137
ARCHIVEDhybridllmSimplified and regularized entry around clear long-term trend (close>200 & positive 200slope); added volatility filter (vol_pctile<0.75) to avoid extreme/noisy regimes; consolidated entry signals to macd bullish OR confirmed 50>200 crossover OR volume-backed 50-day breakout; improved exits to include macd_hist<0, price breaking under sma_50, 1-day crash, or a -15% drawdown stop; added regime gates (UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) and reduced base_position to 0.6 to lower risk/overfitting.
Fitness
0.2289
Generation
52
Complexity
17
Created
2026-10-03
Lineage
Parents (1)
changed cumret_252d threshold 0.2888 -> 0.0286
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1137 [hybrid]
if flat and (close > sma_200 and sma_200_slope > 0.0 and vol_pctile < 0.75 and (macd_hist > 0.0 or (close > sma_50 and sma_50 > sma_200) or (breakout_50 == 1 and rel_volume > 1.5))):
position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.05 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.0% | 28.1% | -7.6% | 0.9% |
| Total Return | -28.0% | 110.0% | -25.6% | 14.5% |
| Sharpe | -0.21 | 1.16 | -0.65 | 0.14 |
| Sortino | -0.18 | 1.30 | -0.46 | 0.12 |
| Calmar | -0.09 | 1.07 | -0.30 | 0.02 |
| Volatility | 14.4% | 23.7% | 11.3% | 16.1% |
| Max DD | -44.9% | -26.2% | -25.6% | -44.9% |
| Win Rate | 38.1% | 47.8% | 37.1% | 40.5% |
| Avg Win | 2.0% | 3.2% | 1.5% | 2.3% |
| Avg Loss | -1.5% | -1.4% | -1.3% | -1.4% |
| Payoff | 1.31 | 2.23 | 1.15 | 1.65 |
| Expectancy | -0.2% | 0.8% | -0.3% | 0.1% |
| Profit Factor | 0.81 | 2.04 | 0.68 | 1.12 |
| Trades | 189 | 113 | 105 | 407 |
| Avg Holding Days | 3.3 | 3.2 | 2.4 | 3.1 |
| Turnover | 28.5 | 45.2 | 33.7 | 33.2 |
| Exposure | 13.6% | 19.8% | 9.6% | 13.9% |
Growth of $100
LongTermTrend_V1137 vs TSLA Buy & Hold
LongTermTrend_V1137 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 | -2.8% | -2.38 | -2.9% | 7 |
| 2017 | -4.8% | -0.26 | -13.2% | 41 |
| 2018 | -6.1% | -1.00 | -8.9% | 6 |
| 2019 | -0.9% | -0.07 | -10.5% | 8 |
| 2020 | 134.6% | 2.76 | -11.1% | 27 |
| 2021 | 0.4% | 0.12 | -22.4% | 62 |
| 2022 | -12.9% | -0.99 | -15.7% | 23 |
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 | -1.9% | -1.40 | 0% |
| hidden test | EXPENSIVE | 83 | 28.0% | 1.34 | 24% |
| hidden test | EXTREME | 48 | 32.8% | 1.66 | 15% |
| hidden test | HIGH VOLATILITY | 254 | -0.2% | -0.03 | 2% |
| hidden test | LOW VOLATILITY | 436 | -5.0% | -0.44 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -18.4% | -1.27 | 10% |
| hidden test | NORMAL | 810 | -13.3% | -1.49 | 8% |
| hidden test | SIDEWAYS | 293 | -20.5% | -1.71 | 13% |
| hidden test | UPTREND | 371 | -0.8% | -0.06 | 14% |
| train | DOWNTREND | 518 | -3.0% | -0.88 | 0% |
| train | EXPENSIVE | 311 | 10.6% | 0.50 | 30% |
| train | EXTREME | 100 | 94.2% | 2.92 | 19% |
| train | HIGH VOLATILITY | 699 | 7.9% | 0.47 | 6% |
| train | LOW VOLATILITY | 745 | -1.0% | -0.09 | 19% |
| train | MEDIUM VOLATILITY | 568 | -19.3% | -1.29 | 16% |
| train | NORMAL | 1,601 | -11.8% | -1.14 | 10% |
| train | SIDEWAYS | 592 | -12.9% | -1.22 | 10% |
| train | UPTREND | 902 | 3.3% | 0.17 | 23% |
| validation | DOWNTREND | 125 | -0.6% | -2.67 | 0% |
| validation | EXPENSIVE | 138 | 33.5% | 1.38 | 29% |
| validation | EXTREME | 144 | 138.2% | 3.58 | 26% |
| validation | HIGH VOLATILITY | 258 | 23.3% | 0.81 | 10% |
| validation | LOW VOLATILITY | 183 | 6.8% | 0.52 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 43.0% | 1.80 | 26% |
| validation | NORMAL | 474 | -7.9% | -0.49 | 15% |
| validation | SIDEWAYS | 206 | -4.2% | -0.31 | 11% |
| validation | UPTREND | 425 | 51.1% | 1.70 | 30% |
Trades (full period)
latest 100 of 407
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.29% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.44% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.70% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.17% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.42% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -1.87% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.06% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.10% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.69% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.16% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.19% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.41% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -2.60% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.74% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 4.21% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.12% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -1.35% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.07% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.22% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.70% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -2.90% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 0.96% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.16% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.61% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 0.99% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.00% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.04% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -3.16% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.66% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 3.15% | 2 | |
| 2025-09-16 | 2025-10-03 | $421.62 | $429.83 | 3.77% | 14 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.02% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.17% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.14% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.18% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.13% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 2.32% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.53% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.02% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.18% | 2 | |
| 2024-12-20 | 2024-12-24 | $421.06 | $462.28 | -0.87% | 3 | |
| 2024-12-10 | 2024-12-19 | $400.99 | $436.17 | 7.67% | 8 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 0.63% | 2 | |
| 2024-01-04 | 2024-01-05 | $237.93 | $237.49 | -0.25% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.13% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.85% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.67% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.46% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.70% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.68% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 3.55% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.14% | 2 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.10% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -1.92% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.26% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.37% | 2 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -1.33% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -2.66% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.83% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.16% | 2 |