LongTermTrend_V1199

ARCHIVEDhybrid

llmSimplified and strengthened entry: require either price above SMA50 with positive MACD or price above SMA200 with non-declining long-term slope; add breakout/volume confirmation and minimum volatility (vol_pctile>0.20); tightened distance to SMA50 and short-term momentum filter. Exit broadened to include short-term stop (ret_5d<-8%) and large deviation below SMA50, plus MACD negative. Added regime gates to avoid downtrend/cheap-bubble & very low-volatility regimes; reduced base position to 0.8 to lower risk.

Fitness

0.0804

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

LongTermTrend_V0886S0886 · gen 40ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.4599

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1199  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['MEDIUM_VOLATILITY', 'HIGH_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and macd_hist > 0.0) or (close > sma_200 and sma_200_slope > -0.001)) and (breakout_50 == 1 or rel_volume > 1.2) and vol_pctile > 0.2 and sma_20 < close and dist_sma_50 > -0.15 and (ret_20d > 0.03 or ret_5d > 0.02)):
    position = 0.8
if long and (macd_hist < 0.0 or ret_5d < -0.08 or dist_sma_50 < -0.35):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-3.4%	-1.2%	-1.6%	-2.5%
Total Return	-23.9%	-3.5%	-5.7%	-30.8%
Sharpe	-0.28	-0.01	-0.08	-0.16
Sortino	-0.12	-0.01	-0.03	-0.07
Calmar	-0.09	-0.07	-0.09	-0.06
Volatility	10.3%	14.1%	11.4%	11.5%
Max DD	-37.2%	-16.5%	-17.8%	-41.2%
Win Rate	40.6%	14.3%	33.3%	35.4%
Avg Win	3.1%	10.5%	6.4%	4.1%
Avg Loss	-3.4%	-2.2%	-3.9%	-3.3%
Payoff	0.91	4.76	1.63	1.26
Expectancy	-0.8%	-0.4%	-0.5%	-0.7%
Profit Factor	0.62	0.79	0.82	0.69
Trades	32	7	9	48
Avg Holding Days	6.0	9.6	7.4	6.8
Turnover	6.4	3.7	3.9	5.2
Exposure	6.4%	6.3%	4.9%	6.0%

Growth of $100

LongTermTrend_V1199 vs TSLA Buy & Hold

LongTermTrend_V1199 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	6.7%	1.02	-5.3%	4
2017	2.3%	0.73	-0.9%	3
2018	-6.2%	-0.29	-11.3%	10
2019	12.4%	1.25	-3.6%	3
2020	0.0%	0.00	0.0%	0
2021	-8.5%	-0.49	-14.7%	3
2022	-4.9%	-0.25	-12.8%	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	-5.8%	-1.26	1%
hidden test	EXPENSIVE	83	9.7%	1.70	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-0.5%	-0.03	9%
hidden test	LOW VOLATILITY	438	-0.0%	-0.76	0%
hidden test	MEDIUM VOLATILITY	250	-2.9%	-0.26	10%
hidden test	NORMAL	811	-2.1%	-0.17	6%
hidden test	SIDEWAYS	293	1.6%	0.13	7%
hidden test	UPTREND	371	0.7%	0.05	7%
train	DOWNTREND	518	0.2%	0.31	0%
train	EXPENSIVE	311	0.6%	0.74	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.6%	0.05	9%
train	LOW VOLATILITY	745	2.3%	0.68	1%
train	MEDIUM VOLATILITY	568	-14.1%	-1.15	10%
train	NORMAL	1,601	-3.8%	-0.33	8%
train	SIDEWAYS	592	-1.4%	-0.12	13%
train	UPTREND	902	-5.6%	-0.49	6%
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	-8.9%	-0.56	2%
validation	LOW VOLATILITY	183	-0.5%	-1.44	0%
validation	MEDIUM VOLATILITY	315	7.1%	0.43	13%
validation	NORMAL	474	-0.3%	-0.02	10%
validation	SIDEWAYS	206	5.4%	0.36	11%
validation	UPTREND	425	-3.0%	-0.19	6%

Trades (full period)

48 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-04-20	2026-04-21	$392.50	$386.42	-1.78%	2
2025-06-24	2025-06-26	$340.47	$325.78	-5.02%	3
2025-05-12	2025-05-15	$318.38	$342.82	12.95%	4
2025-03-26	2025-03-27	$272.06	$273.13	-4.62%	2
2024-09-06	2024-10-04	$210.73	$250.08	3.64%	21
2024-07-03	2024-07-22	$246.39	$251.51	2.72%	13
2023-09-12	2023-09-25	$267.48	$246.99	-8.60%	10
2023-07-05	2023-07-07	$282.48	$274.43	-1.09%	3
2023-02-10	2023-02-23	$196.89	$202.07	-2.53%	9
2022-08-16	2022-08-19	$306.56	$296.67	-1.83%	4
2022-08-02	2022-08-12	$300.59	$300.03	-2.97%	9
2022-03-21	2022-04-11	$307.05	$325.31	10.49%	16
2021-12-27	2022-01-11	$364.65	$354.80	-0.63%	12
2021-11-11	2021-11-12	$354.50	$344.47	-0.49%	2
2021-10-26	2021-11-10	$339.48	$355.98	-0.02%	12
2021-04-14	2021-04-29	$244.08	$225.67	-7.29%	12
2019-10-25	2019-11-21	$21.88	$23.66	13.74%	20
2019-10-15	2019-10-23	$17.19	$16.98	-0.58%	7
2019-09-12	2019-09-13	$16.39	$16.35	-0.56%	2
2018-12-14	2018-12-18	$24.38	$22.47	-6.20%	3
2018-12-11	2018-12-13	$24.45	$25.12	0.16%	3
2018-12-07	2018-12-10	$23.86	$24.34	-1.28%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.11%	2
2018-10-26	2018-11-21	$22.06	$22.55	8.12%	19
2018-08-03	2018-08-15	$23.21	$22.58	-0.48%	9
2018-06-12	2018-06-26	$22.85	$22.80	0.14%	11
2018-03-13	2018-03-15	$22.79	$21.71	-4.53%	3
2018-02-23	2018-03-06	$23.47	$21.88	-3.11%	8
2018-01-09	2018-01-29	$22.25	$23.30	1.38%	14
2017-12-12	2017-12-14	$22.74	$22.53	2.30%	3
2017-04-06	2017-04-07	$19.91	$20.17	0.84%	2
2017-03-15	2017-03-16	$17.05	$17.47	-0.86%	2
2016-12-28	2016-12-29	$14.65	$14.31	-0.08%	2
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2016-04-01	2016-04-04	$15.84	$16.47	2.56%	2
2016-03-21	2016-03-22	$15.89	$15.62	1.76%	2
2015-09-22	2015-09-28	$17.40	$16.56	-2.36%	5
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2014-10-29	2014-11-26	$15.87	$16.56	1.66%	21
2014-10-07	2014-10-08	$17.30	$17.29	-0.48%	2
2013-04-02	2013-04-10	$2.96	$2.79	-6.39%	7
2012-09-18	2012-09-21	$2.09	$2.00	-4.20%	4
2012-08-24	2012-08-29	$1.97	$1.89	-5.47%	4
2012-07-16	2012-07-23	$2.40	$2.04	-5.86%	6
2012-06-19	2012-07-03	$2.14	$2.04	-3.70%	11
2012-04-04	2012-04-05	$2.33	$2.30	-6.49%	2
2012-02-13	2012-02-15	$2.10	$2.24	5.15%	3