Strategy Zoo / S1166
LongTermTrend_V1166
ARCHIVEDhybridllmSimplified entry into two robust patterns (momentum above SMA50 + MACD + 20d return and mild 200-day slope filter; OR high-volume 50-day breakout with modest distance to SMA50). Added regime gates to restrict trading to uptrends and low volatility to reduce drawdown. Made exit a conservative OR of 20d loss, peak drawdown, or MACD histogram turning negative. Reduced base position to 0.6 to lower risk/exposure.
Fitness
0.5132
Generation
53
Complexity
14
Created
2026-10-06
Lineage
Parents (1)
entry from LongTermTrend_V0733, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1166 [hybrid]
if flat and ((close > sma_50 and macd_hist > 0.0 and ret_20d > 0.02 and sma_200_slope > -0.001) or (breakout_50 == 1 and rel_volume > 1.5 and dist_sma_50 > -0.2)):
position = 0.6
if long and (ret_20d < -0.03 or drawdown > 0.08 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.1% | 45.0% | 10.0% | 15.4% |
| Total Return | 86.7% | 205.1% | 42.6% | 726.8% |
| Sharpe | 0.54 | 1.60 | 0.70 | 0.86 |
| Sortino | 0.48 | 1.59 | 0.62 | 0.78 |
| Calmar | 0.24 | 2.51 | 0.74 | 0.45 |
| Volatility | 17.3% | 25.3% | 15.1% | 18.7% |
| Max DD | -34.6% | -17.9% | -13.5% | -34.6% |
| Win Rate | 41.4% | 45.5% | 40.9% | 42.2% |
| Avg Win | 8.2% | 15.9% | 7.1% | 10.2% |
| Avg Loss | -3.5% | -2.5% | -1.9% | -2.9% |
| Payoff | 2.38 | 6.29 | 3.72 | 3.47 |
| Expectancy | 1.4% | 5.8% | 1.8% | 2.6% |
| Profit Factor | 1.68 | 5.24 | 2.58 | 2.53 |
| Trades | 58 | 22 | 22 | 102 |
| Avg Holding Days | 11.9 | 13.2 | 11.0 | 12.1 |
| Turnover | 8.8 | 8.8 | 7.1 | 8.3 |
| Exposure | 19.3% | 21.3% | 14.0% | 18.4% |
Growth of $100
LongTermTrend_V1166 vs TSLA Buy & Hold
LongTermTrend_V1166 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 | 5.9% | 0.67 | -7.5% | 4 |
| 2017 | 13.9% | 1.14 | -10.8% | 9 |
| 2018 | -11.3% | -0.73 | -16.5% | 9 |
| 2019 | -0.1% | 0.07 | -17.4% | 4 |
| 2020 | 156.3% | 2.78 | -13.6% | 8 |
| 2021 | 15.1% | 0.86 | -13.7% | 9 |
| 2022 | 3.1% | 0.27 | -10.8% | 5 |
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 | -5.9% | -1.02 | 6% |
| hidden test | EXPENSIVE | 83 | 58.8% | 2.17 | 30% |
| hidden test | EXTREME | 48 | 76.1% | 2.89 | 21% |
| hidden test | HIGH VOLATILITY | 254 | 19.6% | 1.03 | 13% |
| hidden test | LOW VOLATILITY | 438 | 13.3% | 1.19 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.1% | -0.19 | 16% |
| hidden test | NORMAL | 811 | 1.8% | 0.15 | 12% |
| hidden test | SIDEWAYS | 293 | 4.8% | 0.37 | 17% |
| hidden test | UPTREND | 371 | 27.6% | 1.35 | 18% |
| train | DOWNTREND | 518 | -12.0% | -1.48 | 7% |
| train | EXPENSIVE | 311 | 25.4% | 1.28 | 29% |
| train | EXTREME | 100 | 172.9% | 4.19 | 42% |
| train | HIGH VOLATILITY | 699 | 17.7% | 0.76 | 18% |
| train | LOW VOLATILITY | 745 | 15.2% | 1.29 | 23% |
| train | MEDIUM VOLATILITY | 568 | -8.9% | -0.63 | 15% |
| train | NORMAL | 1,601 | -4.1% | -0.30 | 16% |
| train | SIDEWAYS | 592 | 0.3% | 0.02 | 20% |
| train | UPTREND | 902 | 27.4% | 1.25 | 26% |
| validation | DOWNTREND | 125 | 21.8% | 1.66 | 7% |
| validation | EXPENSIVE | 138 | 43.9% | 1.91 | 21% |
| validation | EXTREME | 144 | 151.5% | 3.45 | 40% |
| validation | HIGH VOLATILITY | 258 | 39.4% | 1.20 | 18% |
| validation | LOW VOLATILITY | 183 | 15.7% | 1.35 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 55.5% | 2.34 | 24% |
| validation | NORMAL | 474 | 5.5% | 0.34 | 16% |
| validation | SIDEWAYS | 206 | 3.4% | 0.21 | 16% |
| validation | UPTREND | 425 | 63.7% | 2.06 | 28% |
Trades (full period)
latest 100 of 102
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -1.52% | 8 | |
| 2026-09-11 | 2026-09-17 | $365.44 | $366.20 | -1.02% | 5 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 4.01% | 14 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -4.18% | 5 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.61% | 16 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 13.11% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.49% | 11 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.33% | 3 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 11.88% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 6.38% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 16.46% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 2.86% | 21 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -3.51% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 8.39% | 14 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.67% | 11 | |
| 2023-11-22 | 2023-12-14 | $234.21 | $251.05 | -0.54% | 16 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.21% | 3 | |
| 2023-09-06 | 2023-09-25 | $251.92 | $246.99 | -2.69% | 14 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.37% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 8.62% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.90% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -4.17% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -6.96% | 7 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 18.99% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.77% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.08% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -2.96% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.47% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 9.48% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.45% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 23.34% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -4.12% | 4 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 8.55% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 15.78% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 5.47% | 17 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 13.04% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 64.62% | 49 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 10.23% | 20 | |
| 2019-07-19 | 2019-07-26 | $17.21 | $15.20 | -5.83% | 6 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -4.82% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -7.90% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 6.09% | 19 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -7.60% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 2.54% | 14 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.25% | 3 | |
| 2018-05-11 | 2018-05-17 | $20.07 | $18.97 | -3.79% | 5 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.79% | 2 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -3.73% | 5 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.23% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.21% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -4.36% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.67% | 13 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 7.37% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.77% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.32% | 3 | |
| 2017-03-27 | 2017-04-21 | $18.01 | $20.37 | 8.74% | 19 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 1.74% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 14.74% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.31% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -3.90% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.18% | 9 | |
| 2016-03-18 | 2016-04-01 | $15.52 | $15.84 | 0.84% | 10 | |
| 2015-12-18 | 2016-01-05 | $15.36 | $14.90 | -2.62% | 11 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -3.40% | 12 | |
| 2015-09-18 | 2015-09-30 | $17.37 | $16.56 | -3.66% | 9 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 12.09% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -3.73% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -3.98% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -1.65% | 13 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 4.46% | 15 | |
| 2014-06-06 | 2014-07-07 | $13.88 | $14.84 | 6.39% | 21 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -2.00% | 6 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 12.71% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 4.84% | 16 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -1.96% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -3.37% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 1.29% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 2.32% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -4.00% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 74.48% | 48 | |
| 2013-03-14 | 2013-03-15 | $2.46 | $2.35 | -3.40% | 2 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 5.39% | 17 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 3.97% | 28 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -9.25% | 7 | |
| 2012-08-24 | 2012-08-29 | $1.97 | $1.89 | -4.11% | 4 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -0.77% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -2.72% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 |