Strategy Zoo / S1158
LongTermTrend_V1158
ARCHIVEDhybridllmAdded 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)
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 cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.1% | 43.3% | -8.4% | 8.9% |
| Total Return | 61.0% | 194.5% | -27.8% | 252.5% |
| Sharpe | 0.36 | 1.15 | -0.30 | 0.45 |
| Sortino | 0.32 | 1.08 | -0.21 | 0.38 |
| Calmar | 0.12 | 0.98 | -0.25 | 0.15 |
| Volatility | 24.7% | 37.4% | 21.3% | 27.0% |
| Max DD | -50.7% | -44.0% | -32.9% | -58.6% |
| Win Rate | 42.2% | 54.0% | 46.3% | 46.2% |
| Avg Win | 3.9% | 5.8% | 2.9% | 4.4% |
| Avg Loss | -2.3% | -3.1% | -3.0% | -2.6% |
| Payoff | 1.73 | 1.87 | 0.96 | 1.67 |
| Expectancy | 0.3% | 1.7% | -0.3% | 0.6% |
| Profit Factor | 1.26 | 2.20 | 0.83 | 1.43 |
| Trades | 173 | 87 | 95 | 355 |
| Avg Holding Days | 3.6 | 3.5 | 2.4 | 3.3 |
| Turnover | 43.5 | 58.0 | 50.8 | 48.2 |
| Exposure | 23.4% | 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
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -8.8% | -1.00 | -17.0% | 17 |
| 2017 | 2.2% | 0.21 | -14.6% | 31 |
| 2018 | -18.9% | -1.21 | -20.0% | 12 |
| 2019 | 27.9% | 1.09 | -16.7% | 19 |
| 2020 | 176.3% | 2.13 | -39.6% | 30 |
| 2021 | 44.4% | 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
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 278 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 11.3% | 0.37 | 33% |
| hidden test | EXTREME | 48 | 83.5% | 1.82 | 38% |
| hidden test | HIGH VOLATILITY | 254 | -36.1% | -1.40 | 11% |
| hidden test | LOW VOLATILITY | 438 | 20.7% | 1.22 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -23.8% | -1.05 | 14% |
| hidden test | NORMAL | 811 | -13.6% | -0.78 | 11% |
| hidden test | SIDEWAYS | 293 | -26.2% | -1.52 | 11% |
| hidden test | UPTREND | 371 | 4.3% | 0.14 | 27% |
| train | DOWNTREND | 518 | -0.5% | -0.78 | 0% |
| train | EXPENSIVE | 311 | 15.2% | 0.45 | 50% |
| train | EXTREME | 100 | 253.5% | 4.43 | 65% |
| train | HIGH VOLATILITY | 699 | 17.7% | 0.54 | 21% |
| train | LOW VOLATILITY | 745 | 11.4% | 0.64 | 30% |
| train | MEDIUM VOLATILITY | 568 | -5.0% | -0.25 | 17% |
| train | NORMAL | 1,601 | -7.6% | -0.42 | 16% |
| train | SIDEWAYS | 592 | -2.0% | -0.19 | 8% |
| train | UPTREND | 902 | 21.5% | 0.60 | 46% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 26.9% | 0.56 | 47% |
| validation | EXTREME | 144 | 206.6% | 3.49 | 49% |
| validation | HIGH VOLATILITY | 258 | 21.6% | 0.46 | 21% |
| validation | LOW VOLATILITY | 183 | 34.0% | 1.75 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 65.7% | 1.82 | 34% |
| validation | NORMAL | 474 | -2.0% | -0.09 | 17% |
| validation | SIDEWAYS | 206 | 7.0% | 0.76 | 4% |
| validation | UPTREND | 425 | 73.0% | 1.48 | 49% |
Trades (full period)
latest 100 of 355
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.63% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -5.36% | 3 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.68% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 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 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-09 | 2024-12-23 | $389.79 | $430.60 | 7.96% | 11 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 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 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 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 | |
| 2023-04-05 | 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 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.68% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.18% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 |