Strategy Zoo / S1183
LongTermTrend_V1183
ARCHIVEDhybridllm['Added regime gates: allow only UPTREND/SIDEWAYS, restrict to LOW/MEDIUM volatility and NORMAL bubble to reduce bad-market exposure.', 'Reworked entry: keep long-only trend/momentum combo (price > sma200 & rising OR strong 20d return) plus MACD or momentum confirmation and RSI filter; added volatility and 1yr cumulative return guard.', 'Improved exits: multi-condition exit (20d loss < -8% OR price falls below sma50 OR strategy drawdown >15%) for earlier risk control.', 'Added volatility- and momentum-based position scaling (increase size in low vol or strong momentum, reduce in high vol); lowered base position to 0.7 to reduce overall risk.']
Fitness
0.0910
Generation
54
Complexity
19
Created
2026-10-06
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1183 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.06) and (macd_hist > 0.0 or momentum_60 > 0.0) and rsi_14 > 45.0 and vol_pctile < 0.8 and cumret_252d > -0.5):
position = 0.7
if long and (ret_20d < -0.08 or close < sma_50 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.4% | -1.5% | -11.7% | -5.2% |
| Total Return | -24.3% | -4.3% | -37.1% | -54.5% |
| Sharpe | -0.16 | 0.00 | -0.61 | -0.25 |
| Sortino | -0.12 | 0.00 | -0.44 | -0.18 |
| Calmar | -0.08 | -0.05 | -0.27 | -0.09 |
| Volatility | 14.7% | 17.6% | 17.7% | 16.1% |
| Max DD | -44.5% | -31.6% | -43.6% | -59.6% |
| Win Rate | 35.8% | 47.8% | 22.9% | 33.3% |
| Avg Win | 3.6% | 4.7% | 5.8% | 4.4% |
| Avg Loss | -2.5% | -4.0% | -2.8% | -2.8% |
| Payoff | 1.43 | 1.16 | 2.08 | 1.55 |
| Expectancy | -0.3% | 0.1% | -0.8% | -0.4% |
| Profit Factor | 0.80 | 1.06 | 0.62 | 0.77 |
| Trades | 67 | 23 | 48 | 138 |
| Avg Holding Days | 8.4 | 9.4 | 5.9 | 7.7 |
| Turnover | 11.7 | 10.7 | 18.0 | 13.1 |
| Exposure | 17.2% | 18.0% | 17.6% | 17.5% |
Growth of $100
LongTermTrend_V1183 vs TSLA Buy & Hold
LongTermTrend_V1183 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 | -5.8% | -0.53 | -12.6% | 5 |
| 2017 | 10.2% | 1.26 | -3.9% | 9 |
| 2018 | -13.8% | -1.26 | -17.1% | 3 |
| 2019 | -1.8% | 0.01 | -18.9% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.8% | 0.63 | -20.8% | 13 |
| 2022 | -15.2% | -0.75 | -31.6% | 9 |
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 | -3.7% | -1.73 | 1% |
| hidden test | EXPENSIVE | 83 | 30.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -17.5% | -1.12 | 2% |
| hidden test | LOW VOLATILITY | 438 | -1.0% | -0.06 | 26% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.4% | -1.00 | 19% |
| hidden test | NORMAL | 811 | -15.6% | -0.84 | 20% |
| hidden test | SIDEWAYS | 293 | -49.8% | -2.47 | 27% |
| hidden test | UPTREND | 371 | 14.6% | 0.67 | 23% |
| train | DOWNTREND | 518 | -5.5% | -0.91 | 1% |
| train | EXPENSIVE | 311 | 9.4% | 1.89 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.9% | -0.15 | 1% |
| train | LOW VOLATILITY | 745 | 16.8% | 1.12 | 32% |
| train | MEDIUM VOLATILITY | 568 | -28.1% | -1.77 | 18% |
| train | NORMAL | 1,601 | -4.9% | -0.30 | 21% |
| train | SIDEWAYS | 592 | -14.5% | -0.99 | 17% |
| train | UPTREND | 902 | 7.3% | 0.41 | 27% |
| validation | DOWNTREND | 125 | -0.1% | -1.42 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -11.6% | -1.11 | 1% |
| validation | LOW VOLATILITY | 183 | 10.6% | 0.65 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 3.5% | 0.16 | 19% |
| validation | NORMAL | 474 | 0.1% | 0.01 | 29% |
| validation | SIDEWAYS | 206 | -11.8% | -0.54 | 29% |
| validation | UPTREND | 425 | 5.9% | 0.33 | 18% |
Trades (full period)
latest 100 of 138
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.52% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.28% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.34% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.66% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.62% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-01-23 | 2026-01-27 | $449.06 | $430.90 | -2.34% | 3 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.05% | 4 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.39% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.29% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.45% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.79% | 2 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 11.24% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -12.73% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.04% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.82% | 3 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 15.58% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.38% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.25% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.16% | 2 | |
| 2023-10-06 | 2023-10-16 | $260.53 | $253.92 | -2.54% | 7 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.97% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.44% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.07% | 2 | |
| 2023-08-04 | 2023-08-08 | $253.86 | $249.70 | -2.27% | 3 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 18.16% | 45 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.48% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.35% | 2 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -12.05% | 9 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -7.79% | 4 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -5.15% | 23 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.97% | 2 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.77% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -1.82% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 1.12% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.07% | 2 | |
| 2022-02-09 | 2022-02-10 | $310.67 | $301.52 | 0.62% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-23 | 2022-01-03 | $355.67 | $399.93 | 3.20% | 7 | |
| 2021-12-08 | 2021-12-14 | $356.32 | $319.50 | -5.81% | 5 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-06-24 | 2021-11-10 | $226.61 | $355.98 | 37.33% | 98 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.18% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.62% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.22% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.17% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.29% | 2 | |
| 2021-05-27 | 2021-05-28 | $210.28 | $208.41 | 1.18% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -8.02% | 13 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.44% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.20% | 2 | |
| 2021-02-19 | 2021-02-23 | $260.43 | $232.95 | -6.62% | 3 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.17% | 17 | |
| 2019-10-17 | 2019-10-25 | $17.46 | $21.88 | 10.68% | 7 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 4.10% | 2 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -6.61% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -5.63% | 2 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -6.31% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-11 | 2018-02-09 | $22.53 | $20.69 | -4.12% | 21 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.91% | 3 | |
| 2017-10-11 | 2017-10-17 | $23.64 | $23.72 | -1.12% | 5 | |
| 2017-10-04 | 2017-10-05 | $23.67 | $23.69 | 1.24% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.08% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -0.76% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.12% | 4 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.89% | 2 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.26% | 27 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.39% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.18% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -4.18% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-08-19 | 2015-08-20 | $17.02 | $16.15 | -1.61% | 2 | |
| 2015-08-05 | 2015-08-07 | $18.01 | $16.17 | -5.40% | 3 | |
| 2015-07-29 | 2015-08-04 | $17.59 | $17.75 | -1.41% | 5 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 6.50% | 64 |