LongTermTrend_V1178

ARCHIVEDhybrid

llmAdded regime gates to avoid entering in downtrends, high-volatility or bubble regimes; tightened entry to require price above 50-day SMA with positive slope or a strong 20d return, added breakout/MACD momentum filter and milder 1d/cum252d guards; improved exits with a less extreme 20d loss threshold, an additional 5d stop and an SMA50 cross exit; reduced base position to 0.8 to lower drawdown risk.

Fitness

0.1213

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

LongTermTrend_V0909S0909 · gen 41ARCHIVEDllm

swapped indicator ret_20d -> ret_1d

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1178  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.06) and ret_1d > -0.03 and (breakout_20 > 0.0 or macd_hist > 0.0) and cumret_252d > -0.3):
    position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or ret_5d < -0.05):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.3%	-2.2%	5.6%	1.1%
Total Return	2.2%	-6.3%	22.6%	17.3%
Sharpe	0.08	-0.11	0.47	0.15
Sortino	0.04	-0.05	0.18	0.07
Calmar	0.01	-0.06	0.39	0.03
Volatility	10.6%	12.6%	13.5%	11.8%
Max DD	-21.1%	-35.0%	-14.3%	-35.0%
Win Rate	40.7%	12.5%	50.0%	38.8%
Avg Win	5.0%	31.3%	6.8%	7.1%
Avg Loss	-3.1%	-4.7%	-3.6%	-3.6%
Payoff	1.61	6.67	1.92	1.97
Expectancy	0.2%	-0.2%	1.6%	0.5%
Profit Factor	1.11	0.95	1.92	1.25
Trades	27	8	14	49
Avg Holding Days	10.0	10.9	6.4	9.1
Turnover	5.4	4.3	6.0	5.3
Exposure	9.7%	8.4%	6.5%	8.6%

Growth of $100

LongTermTrend_V1178 vs TSLA Buy & Hold

LongTermTrend_V1178 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	-4.8%	-0.55	-10.1%	3
2017	8.5%	1.20	-3.7%	6
2018	-9.7%	-1.48	-9.6%	2
2019	3.4%	0.66	-1.6%	2
2020	0.0%	0.00	0.0%	0
2021	20.9%	1.07	-16.0%	2
2022	-22.6%	-2.62	-22.5%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	34.0%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-13.7%	-1.09	1%
hidden test	LOW VOLATILITY	438	14.6%	1.27	8%
hidden test	MEDIUM VOLATILITY	250	12.3%	0.72	8%
hidden test	NORMAL	811	3.9%	0.28	7%
hidden test	SIDEWAYS	293	-15.3%	-1.75	1%
hidden test	UPTREND	371	28.2%	1.41	15%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	10.1%	1.78	2%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	3.3%	0.42	0%
train	LOW VOLATILITY	745	8.2%	0.63	21%
train	MEDIUM VOLATILITY	568	-11.9%	-1.21	6%
train	NORMAL	1,601	-0.9%	-0.08	12%
train	SIDEWAYS	592	-4.3%	-1.24	1%
train	UPTREND	902	4.7%	0.30	21%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-9.5%	-1.00	0%
validation	LOW VOLATILITY	183	4.6%	0.36	24%
validation	MEDIUM VOLATILITY	315	1.8%	0.12	6%
validation	NORMAL	474	-2.2%	-0.14	13%
validation	SIDEWAYS	206	-16.9%	-2.11	2%
validation	UPTREND	425	5.7%	0.36	14%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-01	2026-07-06	$425.30	$419.77	-5.30%	3
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
2025-12-04	2025-12-31	$454.53	$449.72	1.30%	19
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-07-31	2025-08-01	$308.27	$302.63	-2.86%	2
2025-07-29	2025-07-30	$321.20	$319.04	-1.24%	2
2025-07-21	2025-07-25	$328.49	$316.06	-6.05%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-09-23	2024-09-27	$250.00	$260.46	5.19%	5
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-05	2024-09-09	$230.17	$216.27	-3.25%	3
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-07-05	2023-07-21	$282.48	$260.02	-4.92%	13
2023-06-02	2023-06-27	$213.97	$250.21	12.72%	17
2022-09-15	2022-09-23	$303.75	$275.33	-3.86%	7
2022-09-13	2022-09-14	$292.13	$302.61	-3.39%	2
2022-08-16	2022-08-22	$306.56	$289.91	-3.44%	5
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-11	$363.75	$325.31	-8.58%	5
2021-12-28	2022-01-03	$362.82	$399.93	-2.88%	5
2021-08-31	2021-11-10	$245.24	$355.98	31.27%	51
2021-08-05	2021-08-18	$238.21	$229.66	-5.24%	10
2019-12-13	2019-12-17	$23.89	$25.27	4.69%	3
2019-10-21	2019-10-22	$16.90	$17.04	-1.23%	2
2018-12-04	2018-12-19	$23.98	$22.20	-4.93%	11
2018-02-01	2018-02-06	$23.28	$22.26	-4.95%	4
2017-10-18	2017-10-20	$23.98	$23.01	-1.04%	3
2017-10-12	2017-10-17	$23.71	$23.72	-1.06%	4
2017-03-24	2017-03-28	$17.54	$18.50	4.67%	3
2017-03-20	2017-03-22	$17.46	$17.00	-3.46%	3
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-29	$15.30	$14.35	-3.63%	25
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-05-02	$17.03	$16.12	-2.12%	20
2015-07-21	2015-07-28	$17.78	$17.65	-8.49%	6
2015-05-11	2015-07-13	$15.97	$17.48	7.49%	44
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-10-08	2014-10-10	$17.29	$15.79	-0.95%	3
2014-07-31	2014-09-16	$14.89	$17.38	8.64%	33
2014-06-23	2014-07-08	$15.81	$14.60	-2.54%	11
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-03-08	2013-03-18	$2.56	$2.34	-6.31%	7
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2013-01-23	2013-01-24	$2.40	$2.47	1.68%	2
2013-01-03	2013-01-14	$2.32	$2.22	-5.73%	8
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-02-23	2012-04-05	$2.30	$2.30	1.86%	31
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2