Strategy Zoo / S1242
LongTermTrend_V1242
ARCHIVEDhybridllmSimplified and strengthened entry momentum + trend signals (use sma_50 & slope or 20d momentum), added short-term breakout/5d filter, required recent 252d cumulative loss not too extreme, added a volatility percentiler cap to avoid extreme vols; broadened exits to include shallower 20d stop (-8%), close below sma_50, or large drawdown; added regime gates to allow only UPTREND/SIDEWAYS, avoid HIGH_VOLATILITY and non-normal bubble states; reduced base position to 0.8 for risk control.
Fitness
0.0507
Generation
57
Complexity
19
Created
2026-10-07
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1242 [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_50 and sma_50_slope > 0.0) or ret_20d > 0.08) and (breakout_20 > 0.0 or ret_5d > 0.02) and cumret_252d > -0.3) and vol_pctile < 0.85):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.9% | -1.9% | 2.0% | -2.6% |
| Total Return | -32.8% | -5.7% | 7.6% | -31.9% |
| Sharpe | -0.35 | -0.08 | 0.24 | -0.16 |
| Sortino | -0.19 | -0.04 | 0.15 | -0.09 |
| Calmar | -0.11 | -0.06 | 0.12 | -0.05 |
| Volatility | 12.3% | 13.3% | 10.4% | 12.0% |
| Max DD | -46.0% | -30.5% | -16.9% | -48.5% |
| Win Rate | 37.3% | 37.5% | 47.3% | 40.6% |
| Avg Win | 2.1% | 2.5% | 2.2% | 2.2% |
| Avg Loss | -2.0% | -1.6% | -1.6% | -1.8% |
| Payoff | 1.04 | 1.56 | 1.32 | 1.23 |
| Expectancy | -0.5% | -0.1% | 0.2% | -0.2% |
| Profit Factor | 0.62 | 0.93 | 1.19 | 0.84 |
| Trades | 75 | 40 | 55 | 170 |
| Avg Holding Days | 4.6 | 2.9 | 2.5 | 3.5 |
| Turnover | 15.0 | 21.3 | 23.5 | 18.5 |
| Exposure | 10.6% | 7.8% | 6.8% | 9.1% |
Growth of $100
LongTermTrend_V1242 vs TSLA Buy & Hold
LongTermTrend_V1242 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 | -3.5% | -0.37 | -8.9% | 11 |
| 2017 | -2.6% | -0.41 | -4.8% | 12 |
| 2018 | -14.3% | -1.80 | -15.2% | 4 |
| 2019 | 10.4% | 1.43 | -1.8% | 8 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.5% | 0.37 | -18.2% | 23 |
| 2022 | -10.6% | -0.92 | -17.6% | 17 |
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 | -0.2% | -1.74 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 5.0% | 0.94 | 0% |
| hidden test | LOW VOLATILITY | 439 | -3.1% | -0.25 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | 9.7% | 0.90 | 7% |
| hidden test | NORMAL | 812 | 2.9% | 0.26 | 8% |
| hidden test | SIDEWAYS | 294 | -15.1% | -1.41 | 9% |
| hidden test | UPTREND | 371 | 18.3% | 1.36 | 10% |
| train | DOWNTREND | 518 | -2.0% | -0.71 | 0% |
| train | EXPENSIVE | 311 | 7.1% | 1.35 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.7% | -0.08 | 0% |
| train | LOW VOLATILITY | 745 | 5.2% | 0.39 | 21% |
| train | MEDIUM VOLATILITY | 568 | -20.9% | -1.48 | 10% |
| train | NORMAL | 1,601 | -6.7% | -0.49 | 13% |
| train | SIDEWAYS | 592 | -9.5% | -0.91 | 8% |
| train | UPTREND | 902 | -2.1% | -0.13 | 18% |
| 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 | -16.1% | -1.39 | 1% |
| validation | LOW VOLATILITY | 183 | 14.2% | 1.40 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 2.3% | 0.15 | 9% |
| validation | NORMAL | 474 | -1.7% | -0.10 | 12% |
| validation | SIDEWAYS | 206 | -14.6% | -1.43 | 7% |
| validation | UPTREND | 425 | 5.2% | 0.32 | 11% |
Trades (full period)
latest 100 of 170
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-06-17 | 2026-06-18 | $396.38 | $400.49 | -1.80% | 2 | |
| 2026-06-15 | 2026-06-16 | $411.15 | $404.66 | 0.77% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -4.24% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.63% | 21 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.67% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-06-03 | 2024-06-04 | $176.29 | $174.77 | -0.96% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.61% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.30% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-09-16 | 2022-09-19 | $303.35 | $309.07 | -0.27% | 2 | |
| 2022-09-14 | 2022-09-15 | $302.61 | $303.75 | 2.71% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.10% | 2 | |
| 2022-09-08 | 2022-09-09 | $289.26 | $299.68 | 1.41% | 2 | |
| 2022-08-19 | 2022-08-22 | $296.67 | $289.91 | -1.80% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -0.83% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.32% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.73% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -6.82% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.72% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-04-04 | 2022-04-07 | $381.82 | $352.42 | -2.97% | 4 | |
| 2022-03-29 | 2022-04-01 | $366.52 | $361.53 | -1.20% | 4 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2021-12-27 | 2021-12-31 | $364.65 | $352.26 | 0.10% | 5 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -5.35% | 4 | |
| 2021-10-08 | 2021-11-10 | $261.83 | $355.98 | 22.85% | 24 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.04% | 5 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-09-03 | 2021-09-07 | $244.52 | $250.97 | -0.03% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.34% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.97% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.15% | 2 | |
| 2021-07-30 | 2021-08-02 | $229.07 | $236.56 | 1.00% | 2 | |
| 2021-07-01 | 2021-07-02 | $225.97 | $226.30 | -0.37% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.08% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.67% | 2 | |
| 2021-04-27 | 2021-04-28 | $234.91 | $231.47 | -3.78% | 2 | |
| 2021-04-19 | 2021-04-20 | $238.21 | $239.66 | -2.88% | 2 | |
| 2021-04-15 | 2021-04-16 | $246.28 | $246.59 | 0.56% | 2 | |
| 2019-12-11 | 2019-12-17 | $23.51 | $25.27 | 7.29% | 5 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -1.69% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.42% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.49% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.38% | 2 |