Strategy Zoo / S1241
LongTermTrend_V1241
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-bubble environments; tightened medium-term and 1-day drawdown filters; incorporated volatility percentile and momentum filter to avoid high-volatility, low-momentum entries; allowed breakout-based entry path in addition to 200-day trend; improved exit with SMA50 gap and high RSI overbought rule; reduced base position to 0.8 to lower risk.
Fitness
0.0682
Generation
57
Complexity
20
Created
2026-10-07
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1241 [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 (breakout_20 > 0.0 and ret_20d > 0.05) or ret_20d > 0.1) and vol_pctile < 0.75 and ret_1d > -0.05 and cumret_252d > -0.3 and momentum_60 > 0.0):
position = 0.8
if long and (ret_20d < -0.1003 or dist_sma_50 < -0.03 or rsi_14 > 80.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.8% | -1.1% | -11.6% | -6.9% |
| Total Return | -42.9% | -3.2% | -37.1% | -65.2% |
| Sharpe | -0.33 | 0.05 | -0.50 | -0.29 |
| Sortino | -0.22 | 0.03 | -0.37 | -0.20 |
| Calmar | -0.12 | -0.04 | -0.27 | -0.10 |
| Volatility | 17.0% | 20.2% | 20.5% | 18.6% |
| Max DD | -56.2% | -29.8% | -43.9% | -67.6% |
| Win Rate | 34.9% | 45.8% | 41.3% | 39.1% |
| Avg Win | 4.9% | 7.6% | 4.1% | 5.2% |
| Avg Loss | -3.8% | -5.9% | -4.3% | -4.3% |
| Payoff | 1.31 | 1.29 | 0.95 | 1.21 |
| Expectancy | -0.7% | 0.3% | -0.8% | -0.6% |
| Profit Factor | 0.70 | 1.10 | 0.67 | 0.78 |
| Trades | 63 | 24 | 46 | 133 |
| Avg Holding Days | 8.7 | 7.8 | 6.2 | 7.7 |
| Turnover | 12.6 | 12.8 | 19.7 | 14.5 |
| Exposure | 19.4% | 17.4% | 20.4% | 19.3% |
Growth of $100
LongTermTrend_V1241 vs TSLA Buy & Hold
LongTermTrend_V1241 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 | -19.8% | -1.73 | -25.8% | 4 |
| 2017 | 17.6% | 1.59 | -9.2% | 9 |
| 2018 | -18.6% | -1.58 | -19.3% | 3 |
| 2019 | 0.7% | 0.14 | -19.2% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 16.4% | 0.69 | -23.3% | 19 |
| 2022 | -24.9% | -1.42 | -29.7% | 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 | -1.2% | -0.95 | 0% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -25.3% | -1.48 | 2% |
| hidden test | LOW VOLATILITY | 439 | 7.8% | 0.39 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.6% | -1.08 | 24% |
| hidden test | NORMAL | 812 | -15.4% | -0.71 | 24% |
| hidden test | SIDEWAYS | 294 | -53.1% | -2.29 | 30% |
| hidden test | UPTREND | 371 | 16.9% | 0.67 | 28% |
| train | DOWNTREND | 518 | -4.6% | -1.13 | 1% |
| train | EXPENSIVE | 311 | 9.9% | 1.76 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -3.8% | -0.25 | 1% |
| train | LOW VOLATILITY | 745 | 13.8% | 0.83 | 36% |
| train | MEDIUM VOLATILITY | 568 | -33.2% | -1.73 | 20% |
| train | NORMAL | 1,601 | -8.9% | -0.47 | 24% |
| train | SIDEWAYS | 592 | -33.4% | -2.09 | 13% |
| train | UPTREND | 902 | 12.2% | 0.56 | 34% |
| 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 | -2.7% | -0.17 | 1% |
| validation | LOW VOLATILITY | 183 | 23.5% | 1.28 | 42% |
| validation | MEDIUM VOLATILITY | 315 | -9.1% | -0.38 | 16% |
| validation | NORMAL | 474 | 1.5% | 0.06 | 28% |
| validation | SIDEWAYS | 206 | -22.0% | -1.08 | 21% |
| validation | UPTREND | 425 | 12.4% | 0.54 | 21% |
Trades (full period)
latest 100 of 133
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-11 | 2026-06-10 | $445.00 | $381.59 | -5.97% | 22 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-23 | 2026-01-27 | $449.06 | $430.90 | -2.68% | 3 | |
| 2026-01-12 | 2026-01-16 | $448.96 | $437.50 | -1.31% | 5 | |
| 2025-11-28 | 2026-01-08 | $430.17 | $435.80 | 0.87% | 28 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.15% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.00% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.39% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.74% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -5.47% | 2 | |
| 2025-08-27 | 2025-09-15 | $349.60 | $410.04 | 9.88% | 13 | |
| 2025-08-19 | 2025-08-21 | $329.31 | $320.11 | -2.85% | 3 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -4.42% | 4 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -4.18% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.94% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-06-18 | 2024-07-03 | $184.86 | $246.39 | 18.26% | 11 | |
| 2023-11-14 | 2024-01-12 | $237.41 | $218.89 | 1.27% | 41 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -8.60% | 10 | |
| 2023-09-06 | 2023-09-11 | $251.92 | $273.58 | -2.65% | 4 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 1.98% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.81% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.10% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 5.70% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.42% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.43% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.04% | 2 | |
| 2023-08-04 | 2023-08-10 | $253.86 | $245.34 | -5.46% | 5 | |
| 2023-06-23 | 2023-08-03 | $256.60 | $259.32 | -3.11% | 29 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.44% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.68% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.09% | 2 | |
| 2023-05-31 | 2023-06-08 | $203.93 | $234.86 | 9.05% | 7 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -13.68% | 9 | |
| 2022-08-03 | 2022-09-01 | $307.40 | $277.16 | -6.75% | 22 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-03-29 | 2022-04-27 | $366.52 | $293.84 | -16.02% | 21 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-22 | 2022-01-04 | $336.29 | $383.20 | 21.76% | 9 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.96% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.30% | 2 | |
| 2021-12-07 | 2021-12-14 | $350.58 | $319.50 | -3.48% | 6 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -13.23% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.58% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 2.59% | 3 | |
| 2021-06-23 | 2021-10-19 | $218.86 | $288.09 | 30.64% | 83 | |
| 2021-06-03 | 2021-06-04 | $190.95 | $199.68 | -4.42% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.33% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.18% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -4.03% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 4.92% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 4.78% | 2 | |
| 2021-02-19 | 2021-02-23 | $260.43 | $232.95 | -7.56% | 3 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.91% | 10 | |
| 2019-07-23 | 2019-07-26 | $17.34 | $15.20 | -8.48% | 4 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -7.21% | 18 | |
| 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 | |
| 2017-10-27 | 2017-10-30 | $21.39 | $21.34 | -1.46% | 2 | |
| 2017-10-25 | 2017-10-26 | $21.72 | $21.74 | -2.88% | 2 | |
| 2017-10-10 | 2017-10-24 | $23.71 | $22.49 | -1.51% | 11 | |
| 2017-09-29 | 2017-10-05 | $22.74 | $23.69 | 3.45% | 5 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.13% | 4 | |
| 2017-03-10 | 2017-03-17 | $16.25 | $17.43 | 5.42% | 6 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 4 | |
| 2016-12-28 | 2017-01-24 | $14.65 | $16.97 | 10.44% | 18 | |
| 2016-08-01 | 2016-08-31 | $15.33 | $14.13 | -8.20% | 23 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -4.82% | 4 | |
| 2016-04-01 | 2016-05-05 | $15.84 | $14.10 | -2.56% | 25 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.63% | 4 | |
| 2015-08-19 | 2015-08-21 | $17.02 | $15.38 | -5.86% | 3 | |
| 2015-04-28 | 2015-08-07 | $15.37 | $16.17 | 5.13% | 72 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-17 | 2014-12-02 | $16.93 | $15.43 | -8.56% | 11 | |
| 2014-10-29 | 2014-10-30 | $15.87 | $15.91 | -1.70% | 2 | |
| 2014-10-27 | 2014-10-28 | $14.78 | $16.18 | -4.77% | 2 | |
| 2014-10-23 | 2014-10-24 | $15.69 | $15.68 | 1.29% | 2 | |
| 2014-10-21 | 2014-10-22 | $15.69 | $15.41 | 1.53% | 2 | |
| 2014-10-17 | 2014-10-20 | $15.17 | $15.36 | 0.24% | 2 | |
| 2014-10-15 | 2014-10-16 | $15.31 | $15.09 | 0.77% | 2 |