Strategy Zoo / S1158

LongTermTrend_V1158

ARCHIVEDhybrid

llmAdded trend regime gate (UPTREND) to reduce false signals; tightened entry with a short-term trend filter (sma_50_slope > 0) and excluded extreme volatility (vol_pctile < 0.95). Strengthened exits to include price falling below sma_50, a 12% drawdown stop, and extreme volatility exit. Added a volatility-based position rule to scale down exposure when vol_pctile > 0.8. These structural changes aim to reduce overfitting and improve robustness in walk-forward.

Fitness
0.3530
Generation
53
Complexity
30
Created
2026-10-06

Lineage

Parents (1)
LongTermTrend_V1146S1146 · gen 52ARCHIVEDllm

changed vol_chg threshold 0.0238 -> 0.2681

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1158  [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 > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and vol_chg > 0.2681) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_50_slope > 0.0 and vol_pctile < 0.95):
    position = 1.0
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.12 or vol_pctile > 0.95):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR6.1%43.3%-8.4%8.9%
Total Return61.0%194.5%-27.8%252.5%
Sharpe0.361.15-0.300.45
Sortino0.321.08-0.210.38
Calmar0.120.98-0.250.15
Volatility24.7%37.4%21.3%27.0%
Max DD-50.7%-44.0%-32.9%-58.6%
Win Rate42.2%54.0%46.3%46.2%
Avg Win3.9%5.8%2.9%4.4%
Avg Loss-2.3%-3.1%-3.0%-2.6%
Payoff1.731.870.961.67
Expectancy0.3%1.7%-0.3%0.6%
Profit Factor1.262.200.831.43
Trades1738795355
Avg Holding Days3.63.52.43.3
Turnover43.558.050.848.2
Exposure23.4%28.6%14.1%22.1%

Growth of $100

LongTermTrend_V1158 vs TSLA Buy & Hold
LongTermTrend_V1158 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
2016-8.8%-1.00-17.0%17
20172.2%0.21-14.6%31
2018-18.9%-1.21-20.0%12
201927.9%1.09-16.7%19
2020176.3%2.13-39.6%30
202144.4%1.37-22.1%35
2022-26.5%-1.84-28.2%21

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 testDOWNTREND2780.0%0.000%
hidden testEXPENSIVE8311.3%0.3733%
hidden testEXTREME4883.5%1.8238%
hidden testHIGH VOLATILITY254-36.1%-1.4011%
hidden testLOW VOLATILITY43820.7%1.2216%
hidden testMEDIUM VOLATILITY250-23.8%-1.0514%
hidden testNORMAL811-13.6%-0.7811%
hidden testSIDEWAYS293-26.2%-1.5211%
hidden testUPTREND3714.3%0.1427%
trainDOWNTREND518-0.5%-0.780%
trainEXPENSIVE31115.2%0.4550%
trainEXTREME100253.5%4.4365%
trainHIGH VOLATILITY69917.7%0.5421%
trainLOW VOLATILITY74511.4%0.6430%
trainMEDIUM VOLATILITY568-5.0%-0.2517%
trainNORMAL1,601-7.6%-0.4216%
trainSIDEWAYS592-2.0%-0.198%
trainUPTREND90221.5%0.6046%
validationDOWNTREND1250.0%0.000%
validationEXPENSIVE13826.9%0.5647%
validationEXTREME144206.6%3.4949%
validationHIGH VOLATILITY25821.6%0.4621%
validationLOW VOLATILITY18334.0%1.7530%
validationMEDIUM VOLATILITY31565.7%1.8234%
validationNORMAL474-2.0%-0.0917%
validationSIDEWAYS2067.0%0.764%
validationUPTREND42573.0%1.4849%

Trades (full period)

latest 100 of 355
EntryExitEntry PxExit PxReturnDays
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-032026-06-04$423.70$418.45-0.21%2
2026-05-282026-06-02$442.10$423.74-5.75%4
2026-05-262026-05-27$433.59$440.361.58%2
2026-05-212026-05-22$417.85$426.01-0.06%2
2026-05-192026-05-20$404.11$417.26-1.63%2
2026-05-142026-05-18$443.30$409.99-5.36%3
2025-12-042025-12-30$454.53$454.432.68%18
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-05$468.37$462.07-2.89%3
2025-10-292025-10-30$461.51$440.100.01%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-10-142025-10-15$429.24$435.15-1.73%2
2025-10-092025-10-10$435.54$413.49-0.92%2
2025-10-072025-10-08$433.09$438.69-4.64%2
2025-09-222025-10-06$434.21$453.250.68%11
2025-09-182025-09-19$416.85$426.07-2.31%2
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-09-042025-09-05$338.53$350.841.13%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-06-042025-06-05$332.05$284.70-3.75%2
2025-06-022025-06-03$342.69$344.27-1.29%2
2025-05-292025-05-30$358.43$346.460.23%2
2025-05-272025-05-28$362.89$356.906.73%2
2025-05-222025-05-23$341.04$339.341.72%2
2025-05-202025-05-21$343.82$334.620.31%2
2025-05-162025-05-19$349.98$342.091.89%2
2025-01-072025-01-08$394.36$394.94-4.26%2
2025-01-032025-01-06$410.44$411.058.01%2
2024-12-312025-01-02$403.84$379.28-3.45%2
2024-12-272024-12-30$431.66$417.41-5.14%2
2024-12-242024-12-26$462.28$454.137.15%2
2024-12-092024-12-23$389.79$430.607.96%11
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-292024-12-02$345.16$357.093.48%2
2024-11-262024-11-27$338.23$332.89-0.31%2
2024-11-222024-11-25$352.56$338.593.60%2
2024-10-032024-10-04$240.66$250.08-3.55%2
2024-09-192024-09-20$243.92$238.257.15%2
2024-09-172024-09-18$227.87$227.200.28%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.67%2
2024-09-062024-09-09$210.73$216.27-8.64%2
2024-08-262024-08-27$213.21$209.21-3.42%2
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-07-192024-07-22$239.20$251.51-4.22%2
2024-07-172024-07-18$248.50$249.23-3.34%2
2024-07-152024-07-16$252.64$256.561.57%2
2024-07-112024-07-12$241.03$248.23-8.64%2
2024-07-092024-07-10$262.33$263.263.51%2
2024-07-052024-07-08$251.52$252.941.88%2
2024-07-022024-07-03$231.26$246.399.99%2
2024-06-282024-07-01$197.88$209.860.03%2
2024-06-262024-06-27$196.37$197.424.61%2
2024-06-242024-06-25$182.58$187.35-0.43%2
2024-06-202024-06-21$181.57$183.01-1.98%2
2024-06-172024-06-18$187.44$184.865.09%2
2024-05-292024-05-30$176.19$178.79-0.52%2
2023-07-192023-07-20$291.26$262.90-0.91%2
2023-07-172023-07-18$290.38$293.343.00%2
2023-07-132023-07-14$277.90$281.381.97%2
2023-07-112023-07-12$269.79$271.99-0.13%2
2023-07-072023-07-10$274.43$269.61-0.96%2
2023-07-052023-07-06$282.48$276.540.75%2
2023-06-302023-07-03$261.77$279.821.46%2
2023-06-232023-06-26$256.60$241.05-3.22%2
2023-06-212023-06-22$259.46$264.61-5.66%2
2023-06-162023-06-20$260.54$274.451.61%2
2023-06-142023-06-15$256.79$255.90-0.94%2
2023-06-122023-06-13$249.83$258.712.02%2
2023-06-082023-06-09$234.86$244.404.38%2
2023-06-062023-06-07$221.31$224.571.50%2
2023-06-022023-06-05$213.97$217.612.91%2
2023-05-312023-06-01$203.93$207.521.18%2
2023-04-052023-04-06$185.52$185.06-3.86%2
2023-04-032023-04-04$194.77$192.58-6.31%2
2023-03-302023-03-31$195.28$207.460.52%2
2023-03-282023-03-29$189.19$193.88-1.56%2
2023-03-242023-03-27$190.41$191.81-1.14%2
2023-02-212023-02-22$197.37$200.86-5.45%2
2023-02-162023-02-17$202.04$208.31-5.89%2
2023-02-142023-02-15$209.25$214.247.30%2
2023-02-102023-02-13$196.89$194.64-5.23%2
2022-09-212022-09-22$300.80$288.59-2.77%2
2022-09-192022-09-20$309.07$308.731.68%2
2022-09-152022-09-16$303.75$303.350.18%2
2022-09-132022-09-14$292.13$302.61-4.23%2
2022-08-242022-08-25$297.10$296.070.02%2