Strategy Zoo / S1185
LongTermTrend_V1185
ARCHIVEDhybridllmAdded volatility gate and vol_pctile filter to avoid entries in extreme volatility; tightened MACD histogram precondition (>-1.0) to reduce weak entries; improved exits to also leave on 5d losses or a break under sma_20; limited trading to up/sideway regimes and non-high-volatility/bubble regimes; reduced base position to 0.7 to lower drawdown risk.
Fitness
0.3669
Generation
54
Complexity
34
Created
2026-10-06
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1185 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
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 > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close and macd_hist > -1.0 and vol_pctile < 0.85):
position = 0.7
if long and (macd_hist < 0.0 or ret_5d < -0.03 or close < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 33.1% | 1.4% | 6.5% |
| Total Return | -0.6% | 135.7% | 5.2% | 151.6% |
| Sharpe | 0.07 | 1.66 | 0.16 | 0.47 |
| Sortino | 0.05 | 1.76 | 0.11 | 0.37 |
| Calmar | -0.00 | 1.84 | 0.05 | 0.16 |
| Volatility | 14.8% | 18.2% | 15.9% | 15.9% |
| Max DD | -41.2% | -18.0% | -26.1% | -41.2% |
| Win Rate | 38.1% | 54.1% | 30.8% | 39.8% |
| Avg Win | 3.5% | 6.5% | 6.2% | 5.0% |
| Avg Loss | -2.2% | -1.9% | -2.3% | -2.2% |
| Payoff | 1.59 | 3.40 | 2.65 | 2.29 |
| Expectancy | -0.0% | 2.6% | 0.3% | 0.7% |
| Profit Factor | 0.98 | 4.00 | 1.18 | 1.51 |
| Trades | 105 | 37 | 39 | 181 |
| Avg Holding Days | 5.0 | 5.8 | 6.0 | 5.4 |
| Turnover | 18.5 | 17.3 | 14.6 | 17.2 |
| Exposure | 14.9% | 16.4% | 14.4% | 15.1% |
Growth of $100
LongTermTrend_V1185 vs TSLA Buy & Hold
LongTermTrend_V1185 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 | -5.0% | -0.50 | -10.4% | 11 |
| 2017 | 7.7% | 0.58 | -10.2% | 22 |
| 2018 | -6.5% | -0.91 | -10.1% | 5 |
| 2019 | -0.7% | 0.06 | -17.3% | 5 |
| 2020 | 58.3% | 2.56 | -6.2% | 8 |
| 2021 | 36.9% | 1.71 | -13.3% | 18 |
| 2022 | -0.7% | 0.02 | -18.0% | 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 | -1.5% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | 3.7% | 0.19 | 20% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.5% | -0.62 | 1% |
| hidden test | LOW VOLATILITY | 438 | 24.6% | 1.52 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.6% | -1.39 | 15% |
| hidden test | NORMAL | 811 | 2.7% | 0.17 | 15% |
| hidden test | SIDEWAYS | 293 | -13.1% | -0.75 | 24% |
| hidden test | UPTREND | 371 | 18.1% | 0.90 | 18% |
| train | DOWNTREND | 518 | -5.6% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 30.5% | 1.64 | 23% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.6% | 0.53 | 1% |
| train | LOW VOLATILITY | 745 | 9.2% | 0.64 | 27% |
| train | MEDIUM VOLATILITY | 568 | -17.8% | -1.10 | 16% |
| train | NORMAL | 1,601 | -5.2% | -0.36 | 14% |
| train | SIDEWAYS | 592 | -5.2% | -0.36 | 17% |
| train | UPTREND | 902 | 8.9% | 0.48 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 75.2% | 3.03 | 26% |
| validation | EXTREME | 144 | 33.0% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | 11.7% | 1.20 | 1% |
| validation | LOW VOLATILITY | 183 | 18.7% | 1.22 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 52.1% | 2.16 | 21% |
| validation | NORMAL | 474 | 16.3% | 0.94 | 18% |
| validation | SIDEWAYS | 206 | -3.4% | -0.21 | 16% |
| validation | UPTREND | 425 | 55.4% | 2.57 | 21% |
Trades (full period)
latest 100 of 181
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.99% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.23% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.14% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.36% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.59% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -1.99% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.25% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 18.31% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.19% | 8 | |
| 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 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -4.05% | 5 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.49% | 2 | |
| 2025-05-19 | 2025-05-22 | $342.09 | $341.04 | -3.22% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-23 | 2024-10-03 | $250.00 | $240.66 | 3.05% | 9 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | 0.03% | 4 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 23.89% | 18 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-12-07 | 2023-12-13 | $242.64 | $239.29 | -0.82% | 5 | |
| 2023-11-27 | 2023-12-06 | $236.08 | $239.37 | 0.86% | 8 | |
| 2023-11-16 | 2023-11-24 | $233.59 | $235.45 | -2.61% | 6 | |
| 2023-10-06 | 2023-10-16 | $260.53 | $253.92 | -2.54% | 7 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -2.25% | 6 | |
| 2023-08-30 | 2023-09-11 | $256.90 | $273.58 | -2.46% | 8 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -6.95% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.37% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -3.08% | 6 | |
| 2023-03-24 | 2023-03-29 | $190.41 | $193.88 | -1.24% | 4 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.75% | 9 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.73% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.53% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -1.98% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -1.85% | 2 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -2.24% | 5 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.24% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 10.69% | 14 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 6.71% | 6 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 31.12% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.13% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-12 | 2021-07-15 | $228.57 | $216.87 | -0.49% | 4 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.75% | 2 | |
| 2021-06-18 | 2021-07-07 | $207.77 | $214.88 | 4.75% | 13 | |
| 2021-06-14 | 2021-06-16 | $205.90 | $201.62 | -1.34% | 3 | |
| 2021-04-22 | 2021-04-28 | $239.90 | $231.47 | -3.83% | 5 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.12% | 6 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.47% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.03% | 4 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.18% | 5 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 13.99% | 5 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.96% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.72% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.02% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 30.13% | 14 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.55% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.93% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 3.48% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 1.69% | 2 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 34.73% | 25 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -4.44% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.52% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.73% | 11 | |
| 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 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.51% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.49% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.76% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-18 | 2017-10-23 | $23.98 | $22.47 | -2.23% | 4 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -1.14% | 3 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.53% | 10 | |
| 2017-08-25 | 2017-08-28 | $23.20 | $23.04 | -1.11% | 2 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -2.55% | 2 | |
| 2017-05-12 | 2017-05-16 | $21.65 | $21.13 | -1.70% | 3 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.70% | 3 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.09% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.95% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.42% | 2 |