Strategy Zoo / S1198
LongTermTrend_V1198
ARCHIVEDhybridllmSimplified and regularized entry: require price > sma_200 and positive sma_200_slope (long-term trend) + moderate 20d momentum (ret_20d>3%) + positive MACD histogram; relaxed ret threshold to reduce overfitting. Added robust exits: 20d or 5d sell thresholds and a hard drawdown stop. Added regime gates to avoid trades in downtrends/high-volatility/bubble regimes. Added volatility-based position scaling (full size in low vol, half size otherwise) and reduced base_position to limit max drawdown.
Fitness
0.1714
Generation
55
Complexity
14
Created
2026-10-06
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1198 [hybrid]
require regime.trend in ['UPTREND']
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) and ret_20d > 0.03 and macd_hist > 0.0 and cumret_252d > -0.2):
position = 0.8
if long and (ret_20d < -0.02 or ret_5d < -0.03 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.7% | 5.0% | 1.8% | 1.8% |
| Total Return | 5.6% | 15.8% | 6.9% | 30.8% |
| Sharpe | 0.12 | 0.51 | 0.39 | 0.26 |
| Sortino | 0.05 | 0.24 | 0.11 | 0.10 |
| Calmar | 0.06 | 0.24 | 0.29 | 0.09 |
| Volatility | 8.4% | 10.7% | 4.9% | 8.2% |
| Max DD | -12.2% | -21.1% | -6.2% | -21.1% |
| Win Rate | 35.7% | 16.7% | 60.0% | 36.0% |
| Avg Win | 6.6% | 44.4% | 3.0% | 9.6% |
| Avg Loss | -2.9% | -4.3% | -1.0% | -3.1% |
| Payoff | 2.32 | 10.00 | 3.01 | 3.12 |
| Expectancy | 0.5% | 3.8% | 1.4% | 1.5% |
| Profit Factor | 1.29 | 2.06 | 4.51 | 1.76 |
| Trades | 14 | 6 | 5 | 25 |
| Avg Holding Days | 10.7 | 11.7 | 4.4 | 9.7 |
| Turnover | 2.8 | 3.2 | 2.1 | 2.7 |
| Exposure | 5.4% | 6.8% | 1.4% | 4.7% |
Growth of $100
LongTermTrend_V1198 vs TSLA Buy & Hold
LongTermTrend_V1198 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 9.5% | 2.08 | -0.7% | 1 |
| 2018 | -8.6% | -1.51 | -8.6% | 2 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 40.2% | 2.12 | -4.7% | 2 |
| 2022 | -17.5% | -2.35 | -17.4% | 4 |
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 | 17.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 0.0% | 0.00 | 0% |
| hidden test | LOW VOLATILITY | 438 | 3.7% | 0.52 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.7% | 0.40 | 1% |
| hidden test | NORMAL | 811 | 0.5% | 0.11 | 2% |
| hidden test | SIDEWAYS | 293 | -1.1% | -0.99 | 0% |
| hidden test | UPTREND | 371 | 5.7% | 0.74 | 3% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 2.4% | 1.21 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.6% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 3.8% | 0.38 | 13% |
| train | MEDIUM VOLATILITY | 568 | -7.0% | -1.04 | 2% |
| train | NORMAL | 1,601 | 0.8% | 0.09 | 7% |
| train | SIDEWAYS | 592 | -3.2% | -1.06 | 0% |
| train | UPTREND | 902 | 4.4% | 0.36 | 12% |
| 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 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 17.1% | 1.59 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 3.2% | 0.22 | 4% |
| validation | NORMAL | 474 | 8.7% | 0.64 | 11% |
| validation | SIDEWAYS | 206 | -8.8% | -1.41 | 1% |
| validation | UPTREND | 425 | 14.0% | 1.03 | 12% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.66% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 0.97% | 3 | |
| 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -7.15% | 3 | |
| 2021-09-01 | 2021-11-09 | $244.70 | $341.17 | 44.44% | 49 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.95% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -4.94% | 5 | |
| 2015-05-13 | 2015-07-09 | $16.21 | $17.19 | 3.26% | 40 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.18% | 9 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-21 | $2.35 | $2.34 | -2.66% | 6 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.56% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |