Strategy Zoo / S1221
LongTermTrend_V1221
ARCHIVEDhybridllmReplaced slow 200-SMA gate with faster 50-SMA + slope to improve responsiveness; tightened exit with multi-condition stop (large 20d loss, close below SMA50, or drawdown) to reduce deep drawdowns; added regime gates (UPTREND, LOW_VOLATILITY, NORMAL bubble) to avoid bad market regimes; introduced volatility-based position sizing (reduce size when vol_pctile>0.7, full size on low vol or strong momentum) and lowered base position to 0.8.
Fitness
0.6475
Generation
56
Complexity
12
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1221 [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997):
position = 0.8
if long and (ret_20d < -0.05 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.7% | 77.2% | 7.7% | 26.4% |
| Total Return | 319.6% | 456.0% | 31.8% | 3047.9% |
| Sharpe | 0.82 | 1.62 | 0.41 | 0.94 |
| Sortino | 0.86 | 1.73 | 0.37 | 0.94 |
| Calmar | 0.39 | 2.79 | 0.27 | 0.53 |
| Volatility | 25.8% | 40.3% | 26.2% | 29.5% |
| Max DD | -50.2% | -27.6% | -28.2% | -50.2% |
| Win Rate | 35.9% | 41.2% | 27.3% | 34.6% |
| Avg Win | 20.0% | 39.7% | 14.4% | 26.9% |
| Avg Loss | -4.5% | -4.6% | -3.2% | -4.1% |
| Payoff | 4.49 | 8.66 | 4.55 | 6.59 |
| Expectancy | 4.3% | 13.7% | 1.6% | 6.6% |
| Profit Factor | 2.51 | 6.06 | 1.71 | 3.49 |
| Trades | 39 | 17 | 22 | 78 |
| Avg Holding Days | 21.9 | 24.6 | 15.7 | 21.4 |
| Turnover | 7.9 | 9.1 | 9.6 | 8.5 |
| Exposure | 34.5% | 42.4% | 29.1% | 34.8% |
Growth of $100
LongTermTrend_V1221 vs TSLA Buy & Hold
LongTermTrend_V1221 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 | 15.0% | 1.10 | -11.9% | 3 |
| 2017 | 19.7% | 0.98 | -18.6% | 4 |
| 2018 | -24.0% | -1.11 | -26.0% | 8 |
| 2019 | 20.8% | 0.88 | -22.2% | 3 |
| 2020 | 360.0% | 2.92 | -27.6% | 4 |
| 2021 | 40.2% | 1.33 | -22.5% | 5 |
| 2022 | -16.7% | -0.63 | -21.3% | 8 |
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 | -15.4% | -1.01 | 16% |
| hidden test | EXPENSIVE | 83 | 69.8% | 1.84 | 60% |
| hidden test | EXTREME | 48 | 156.3% | 3.47 | 55% |
| hidden test | HIGH VOLATILITY | 254 | -8.2% | -0.25 | 27% |
| hidden test | LOW VOLATILITY | 439 | 38.6% | 1.95 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -18.6% | -0.65 | 32% |
| hidden test | NORMAL | 812 | -3.8% | -0.17 | 24% |
| hidden test | SIDEWAYS | 294 | 1.1% | 0.06 | 23% |
| hidden test | UPTREND | 371 | 38.2% | 1.08 | 44% |
| train | DOWNTREND | 518 | 1.2% | 0.15 | 6% |
| train | EXPENSIVE | 311 | 50.8% | 1.62 | 57% |
| train | EXTREME | 100 | 322.7% | 5.47 | 78% |
| train | HIGH VOLATILITY | 699 | 47.8% | 1.41 | 32% |
| train | LOW VOLATILITY | 745 | 27.6% | 1.45 | 43% |
| train | MEDIUM VOLATILITY | 568 | -19.7% | -0.91 | 26% |
| train | NORMAL | 1,601 | -3.3% | -0.16 | 27% |
| train | SIDEWAYS | 592 | -18.2% | -0.94 | 24% |
| train | UPTREND | 902 | 58.6% | 1.69 | 58% |
| validation | DOWNTREND | 125 | 42.4% | 2.59 | 6% |
| validation | EXPENSIVE | 138 | 42.6% | 0.97 | 52% |
| validation | EXTREME | 144 | 278.7% | 4.18 | 75% |
| validation | HIGH VOLATILITY | 258 | 82.3% | 1.53 | 39% |
| validation | LOW VOLATILITY | 183 | 3.6% | 0.17 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 87.3% | 2.45 | 43% |
| validation | NORMAL | 474 | 7.1% | 0.29 | 30% |
| validation | SIDEWAYS | 206 | -29.8% | -1.23 | 27% |
| validation | UPTREND | 425 | 118.2% | 2.37 | 61% |
Trades (full period)
79 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | 2.68% | 20 | OPEN |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.76% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.53% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.17% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.32% | 24 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 14.70% | 59 | |
| 2025-04-30 | 2025-06-06 | $282.16 | $295.14 | -1.80% | 27 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -4.11% | 2 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 31.35% | 45 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -2.94% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 8.63% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.45% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-05-24 | 2023-08-02 | $182.90 | $254.11 | 31.58% | 48 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -8.87% | 4 | |
| 2022-07-19 | 2022-08-31 | $245.53 | $275.61 | 12.29% | 32 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 3.46% | 2 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -9.42% | 25 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.11% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.61% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.58% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 47.24% | 84 | |
| 2021-06-29 | 2021-07-26 | $226.92 | $219.21 | -5.41% | 19 | |
| 2021-04-19 | 2021-04-30 | $238.21 | $236.48 | -6.95% | 10 | |
| 2021-04-06 | 2021-04-07 | $230.54 | $223.66 | -0.09% | 2 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 50.29% | 57 | |
| 2020-10-07 | 2020-10-29 | $141.77 | $136.94 | -1.64% | 17 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 14.91% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 92.26% | 83 | |
| 2019-10-16 | 2020-03-05 | $17.32 | $48.30 | 138.70% | 97 | |
| 2019-09-27 | 2019-10-07 | $16.14 | $15.85 | -3.83% | 7 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-16 | 2019-08-13 | $16.83 | $15.67 | -7.74% | 21 | |
| 2018-10-29 | 2018-12-20 | $22.32 | $21.03 | 0.50% | 37 | |
| 2018-08-28 | 2018-08-29 | $20.79 | $20.33 | -2.02% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -10.18% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -5.58% | 18 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.48% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.25% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.53% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.04% | 12 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 16.71% | 70 | |
| 2016-12-21 | 2017-03-09 | $13.85 | $16.33 | 14.34% | 53 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.31% | 27 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 14.71% | 43 | |
| 2015-12-01 | 2015-12-14 | $15.81 | $14.57 | -4.75% | 10 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-04-13 | 2015-07-28 | $13.99 | $17.65 | 15.76% | 75 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-08-05 | 2014-09-23 | $15.90 | $16.69 | 3.86% | 35 | |
| 2014-06-17 | 2014-07-17 | $15.44 | $14.36 | -2.74% | 22 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-01-16 | 2014-03-26 | $11.40 | $14.20 | 26.97% | 48 | |
| 2013-12-24 | 2014-01-14 | $10.09 | $10.75 | -2.44% | 14 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.27% | 2 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -2.51% | 2 | |
| 2013-07-01 | 2013-10-23 | $7.81 | $10.97 | 46.59% | 81 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 126.21% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.89% | 21 | |
| 2012-11-09 | 2013-01-14 | $2.02 | $2.22 | 4.02% | 44 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -3.36% | 2 | |
| 2012-07-16 | 2012-07-24 | $2.40 | $1.99 | -8.54% | 7 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -3.70% | 11 | |
| 2012-02-06 | 2012-04-10 | $2.12 | $2.16 | 5.22% | 45 |