Strategy Zoo / S1160
LongTermTrend_V1160
ARCHIVEDhybridllmAdded regime gates to only trade in uptrends with low volatility and normal bubble; simplified and regularized entry to SMA50 trend + short-term momentum and a breakout leg; added RSI cap on entry to avoid overbought entries; improved exit to include a larger 20d stop, a trade drawdown cut, and RSI-based overbought exit; reduced base position to 0.6 and added volatility-based scaling (lower exposure in high vol, higher in low vol) to reduce drawdown and overfitting.
Fitness
0.3335
Generation
53
Complexity
15
Created
2026-10-06
Lineage
Parents (1)
entry = LongTermTrend_V0605 OR PriceMomentum_V1003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1160 [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0) and ret_20d > 0.03 and rsi_14 < 70.0) or (breakout_20 > 0.0 and sma_50_slope > 0.0 and cumret_252d > -0.2)):
position = 0.6
if long and (ret_20d < -0.03 or drawdown < -0.15 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.7% | 21.2% | -9.7% | 5.5% |
| Total Return | 80.2% | 77.9% | -31.7% | 119.2% |
| Sharpe | 0.51 | 0.94 | -0.59 | 0.38 |
| Sortino | 0.45 | 0.81 | -0.40 | 0.32 |
| Calmar | 0.16 | 0.80 | -0.28 | 0.11 |
| Volatility | 17.6% | 23.4% | 15.3% | 18.4% |
| Max DD | -47.6% | -26.4% | -35.1% | -47.6% |
| Win Rate | 44.3% | 57.4% | 46.5% | 48.8% |
| Avg Win | 5.0% | 4.5% | 2.0% | 3.8% |
| Avg Loss | -2.4% | -3.4% | -2.4% | -2.7% |
| Payoff | 2.06 | 1.32 | 0.81 | 1.43 |
| Expectancy | 0.9% | 1.1% | -0.4% | 0.5% |
| Profit Factor | 1.64 | 1.78 | 0.71 | 1.36 |
| Trades | 88 | 68 | 86 | 242 |
| Avg Holding Days | 8.3 | 4.6 | 3.0 | 5.4 |
| Turnover | 13.2 | 27.2 | 27.6 | 19.7 |
| Exposure | 19.2% | 19.7% | 11.1% | 17.3% |
Growth of $100
LongTermTrend_V1160 vs TSLA Buy & Hold
LongTermTrend_V1160 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 | -2.4% | -0.37 | -7.9% | 10 |
| 2017 | 4.4% | 0.36 | -17.2% | 14 |
| 2018 | -25.4% | -1.72 | -26.2% | 7 |
| 2019 | 8.0% | 0.52 | -15.2% | 20 |
| 2020 | 69.7% | 1.65 | -26.4% | 24 |
| 2021 | 23.4% | 1.41 | -8.3% | 26 |
| 2022 | -17.0% | -1.98 | -19.8% | 18 |
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 | 7.8% | 0.33 | 35% |
| hidden test | EXTREME | 48 | 88.7% | 2.86 | 31% |
| hidden test | HIGH VOLATILITY | 254 | -16.6% | -0.87 | 10% |
| hidden test | LOW VOLATILITY | 438 | 9.3% | 0.81 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -33.3% | -1.97 | 14% |
| hidden test | NORMAL | 811 | -16.5% | -1.32 | 7% |
| hidden test | SIDEWAYS | 293 | -28.7% | -2.24 | 7% |
| hidden test | UPTREND | 371 | -0.2% | -0.01 | 23% |
| train | DOWNTREND | 518 | -0.3% | -0.78 | 0% |
| train | EXPENSIVE | 311 | 25.9% | 1.14 | 39% |
| train | EXTREME | 100 | 224.4% | 5.71 | 51% |
| train | HIGH VOLATILITY | 699 | 16.2% | 0.69 | 17% |
| train | LOW VOLATILITY | 745 | 17.0% | 1.36 | 24% |
| train | MEDIUM VOLATILITY | 568 | -10.6% | -0.72 | 16% |
| train | NORMAL | 1,601 | -7.8% | -0.58 | 13% |
| train | SIDEWAYS | 592 | -14.9% | -1.41 | 7% |
| train | UPTREND | 902 | 29.8% | 1.20 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 14.7% | 0.49 | 32% |
| validation | EXTREME | 144 | 97.5% | 2.44 | 38% |
| validation | HIGH VOLATILITY | 258 | 3.6% | 0.11 | 18% |
| validation | LOW VOLATILITY | 183 | 10.6% | 0.90 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 43.6% | 2.15 | 22% |
| validation | NORMAL | 474 | 1.1% | 0.10 | 10% |
| validation | SIDEWAYS | 206 | 5.2% | 1.01 | 2% |
| validation | UPTREND | 425 | 36.5% | 1.18 | 34% |
Trades (full period)
latest 100 of 242
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.61% | 2 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -4.77% | 4 | |
| 2026-05-20 | 2026-06-02 | $417.26 | $423.74 | 1.67% | 9 | |
| 2026-05-14 | 2026-05-19 | $443.30 | $404.11 | -4.91% | 4 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -2.90% | 21 | |
| 2025-09-22 | 2025-11-14 | $434.21 | $404.35 | -3.04% | 40 | |
| 2025-09-16 | 2025-09-18 | $421.62 | $416.85 | 2.19% | 3 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.06% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.74% | 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 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 2.61% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.16% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-01-03 | 2025-01-08 | $410.44 | $394.94 | 2.34% | 4 | |
| 2024-12-18 | 2025-01-02 | $440.13 | $379.28 | -9.73% | 10 | |
| 2024-12-02 | 2024-12-17 | $357.09 | $479.86 | 19.35% | 12 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.07% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -2.50% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.54% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.17% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 1.72% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 5.25% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.62% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -1.91% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -1.61% | 2 | |
| 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.17% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.40% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -3.51% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -2.57% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.24% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -7.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 2.97% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.06% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 1.67% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.45% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -1.59% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.37% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.10% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.08% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -0.96% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 1.80% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.18% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.08% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.58% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 0.87% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.33% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.33% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -3.63% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.67% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -1.66% | 2 | |
| 2023-02-22 | 2023-02-23 | $200.86 | $202.07 | 0.94% | 2 | |
| 2023-02-17 | 2023-02-21 | $208.31 | $197.37 | 1.74% | 2 | |
| 2023-02-13 | 2023-02-14 | $194.64 | $209.25 | -0.81% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 0.83% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -1.74% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.49% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 2.68% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.21% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 |