Strategy Zoo / S1141
LongTermTrend_V1141
ARCHIVEDhybridllmAdded a momentum/breakout filter to reduce overfitting and require either positive 60-day momentum or a 50-day breakout; tightened exits to include daily loss and drawdown thresholds; added regime gates to avoid downtrends, high volatility, and extreme bubble conditions; added position sizing rules to scale down in high volatility and scale up on strong breakout+volume; reduced base position to lower risk.
Fitness
0.4224
Generation
52
Complexity
34
Created
2026-10-03
Lineage
Parents (1)
changed cumret_252d threshold 0.2888 -> 0.0286
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1141 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0286 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and (momentum_60 > 0.0 or breakout_50 == 1)):
position = 0.8
if long and (macd_hist < 0.0 or ret_1d < -0.035 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.4% | 43.2% | -10.5% | 3.4% |
| Total Return | -17.7% | 193.6% | -33.9% | 63.4% |
| Sharpe | -0.11 | 2.07 | -0.64 | 0.30 |
| Sortino | -0.08 | 2.20 | -0.38 | 0.21 |
| Calmar | -0.06 | 3.12 | -0.30 | 0.08 |
| Volatility | 13.6% | 18.1% | 15.5% | 15.1% |
| Max DD | -40.4% | -13.8% | -34.5% | -42.4% |
| Win Rate | 40.3% | 61.5% | 41.6% | 45.3% |
| Avg Win | 2.4% | 4.1% | 2.2% | 2.9% |
| Avg Loss | -1.8% | -1.6% | -2.3% | -1.9% |
| Payoff | 1.36 | 2.49 | 0.96 | 1.50 |
| Expectancy | -0.1% | 1.9% | -0.4% | 0.3% |
| Profit Factor | 0.92 | 3.98 | 0.68 | 1.24 |
| Trades | 144 | 65 | 89 | 298 |
| Avg Holding Days | 3.2 | 3.1 | 2.3 | 2.9 |
| Turnover | 28.9 | 34.7 | 38.1 | 32.4 |
| Exposure | 12.4% | 14.2% | 9.9% | 12.1% |
Growth of $100
LongTermTrend_V1141 vs TSLA Buy & Hold
LongTermTrend_V1141 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 | -3.0% | -0.33 | -8.4% | 15 |
| 2017 | 1.7% | 0.18 | -10.6% | 32 |
| 2018 | -11.3% | -1.52 | -12.3% | 6 |
| 2019 | 16.9% | 1.81 | -3.1% | 12 |
| 2020 | 77.0% | 2.77 | -6.7% | 13 |
| 2021 | 61.6% | 2.41 | -11.8% | 35 |
| 2022 | -0.3% | 0.01 | -7.3% | 17 |
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 | -0.1% | -0.95 | 0% |
| hidden test | EXPENSIVE | 83 | -22.5% | -0.98 | 20% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -20.2% | -1.27 | 1% |
| hidden test | LOW VOLATILITY | 436 | 5.2% | 0.37 | 14% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.5% | -1.46 | 12% |
| hidden test | NORMAL | 810 | -9.2% | -0.61 | 9% |
| hidden test | SIDEWAYS | 293 | -27.6% | -1.54 | 13% |
| hidden test | UPTREND | 371 | -3.2% | -0.17 | 15% |
| train | DOWNTREND | 518 | -2.3% | -0.82 | 0% |
| train | EXPENSIVE | 311 | 22.4% | 1.10 | 25% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.1% | 0.51 | 1% |
| train | LOW VOLATILITY | 745 | 5.3% | 0.38 | 23% |
| train | MEDIUM VOLATILITY | 568 | -19.9% | -1.36 | 12% |
| train | NORMAL | 1,601 | -6.8% | -0.56 | 11% |
| train | SIDEWAYS | 592 | -3.3% | -0.37 | 7% |
| train | UPTREND | 902 | 0.1% | 0.01 | 23% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 108.7% | 3.69 | 33% |
| validation | EXTREME | 144 | 37.7% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | 2.8% | 0.94 | 0% |
| validation | LOW VOLATILITY | 183 | 26.1% | 1.84 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 72.6% | 2.84 | 21% |
| validation | NORMAL | 474 | 16.7% | 1.18 | 12% |
| validation | SIDEWAYS | 206 | 9.7% | 1.16 | 5% |
| validation | UPTREND | 425 | 62.0% | 2.66 | 23% |
Trades (full period)
latest 100 of 298
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 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 | |
| 2026-05-11 | 2026-05-18 | $445.00 | $409.99 | -1.26% | 6 | |
| 2025-12-19 | 2025-12-30 | $481.20 | $454.43 | -4.09% | 7 | |
| 2025-12-04 | 2025-12-18 | $454.53 | $483.37 | 3.55% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -4.21% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.87% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 4.20% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.93% | 5 | |
| 2025-09-22 | 2025-09-26 | $434.21 | $440.40 | -0.63% | 5 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.21% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.48% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.30% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.96% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.35% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.58% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 4.07% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 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 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.09% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.42% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.25% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -0.91% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.21% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.35% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.14% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.39% | 2 | |
| 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 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.58% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.95% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.47% | 2 |