LongTermTrend_V1244

ARCHIVEDhybrid

llm1) Added an explicit uptrend regime gate and excluded high-volatility and bubble extremes to reduce regime mismatch. 2) Replaced noisy close>200sma check with smoother sma_50>sma_200 trend filter and kept a ret_20d breakout OR path for momentum entries. 3) Added MACD histogram momentum filter and a vol_pctile ceiling to avoid entering into extreme volatility. 4) Loosened long-term cumret threshold slightly and tightened short-term exit to ret_20d < -3% or negative 50-day slope for crisper exits. 5) Reduced base_position to 0.6 to lower drawdown risk while preserving exposure.

Fitness

0.1193

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

LongTermTrend_V1087S1087 · gen 50ARCHIVEDllm

entry from LongTermTrend_V0605, exit from PriceMomentum_V0828

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1244  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((sma_50 > sma_200 or ret_20d > 0.1) and ret_20d > 0.04 and cumret_252d > -0.25 and macd_hist > 0.0 and vol_pctile < 0.85):
    position = 0.6
if long and (ret_20d < -0.03 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.6%	-1.6%	2.2%	0.5%
Total Return	4.9%	-4.7%	8.3%	8.3%
Sharpe	0.12	-0.09	0.24	0.10
Sortino	0.06	-0.04	0.10	0.05
Calmar	0.05	-0.06	0.11	0.02
Volatility	7.6%	10.7%	11.5%	9.4%
Max DD	-12.7%	-28.4%	-19.5%	-28.4%
Win Rate	43.8%	20.0%	58.3%	45.5%
Avg Win	3.9%	22.8%	5.1%	5.7%
Avg Loss	-2.4%	-6.0%	-5.0%	-3.9%
Payoff	1.64	3.80	1.02	1.46
Expectancy	0.4%	-0.2%	0.9%	0.5%
Profit Factor	1.28	0.95	1.42	1.22
Trades	16	5	12	33
Avg Holding Days	14.8	16.6	8.3	12.7
Turnover	2.4	2.0	3.8	2.7
Exposure	6.6%	6.2%	5.6%	6.3%

Growth of $100

LongTermTrend_V1244 vs TSLA Buy & Hold

LongTermTrend_V1244 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	-4.8%	-0.72	-8.8%	3
2017	7.2%	2.04	-0.6%	2
2018	-8.6%	-1.85	-8.5%	2
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	19.5%	1.28	-10.3%	2
2022	-20.3%	-1.98	-20.2%	3

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	12.5%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-14.3%	-1.20	1%
hidden test	LOW VOLATILITY	439	5.6%	0.62	7%
hidden test	MEDIUM VOLATILITY	250	15.3%	1.06	7%
hidden test	NORMAL	812	2.0%	0.16	6%
hidden test	SIDEWAYS	294	-10.1%	-1.24	1%
hidden test	UPTREND	371	15.1%	0.90	14%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.2%	1.41	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	3.4%	0.60	0%
train	LOW VOLATILITY	745	5.6%	0.60	15%
train	MEDIUM VOLATILITY	568	-8.5%	-1.24	4%
train	NORMAL	1,601	0.7%	0.08	8%
train	SIDEWAYS	592	-2.8%	-1.11	1%
train	UPTREND	902	3.8%	0.34	14%
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	-7.1%	-1.00	0%
validation	LOW VOLATILITY	183	12.4%	1.41	16%
validation	MEDIUM VOLATILITY	315	-3.9%	-0.28	6%
validation	NORMAL	474	-1.6%	-0.12	10%
validation	SIDEWAYS	206	-14.9%	-1.59	1%
validation	UPTREND	425	5.4%	0.42	10%

Trades (full period)

33 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-0.98%	2
2025-12-15	2026-01-07	$475.31	$431.41	-3.43%	16
2025-07-31	2025-08-01	$308.27	$302.63	-2.14%	2
2025-06-02	2025-06-06	$342.69	$295.14	-10.95%	5
2025-05-22	2025-05-28	$341.04	$356.90	4.92%	4
2024-10-03	2024-10-14	$240.66	$219.16	-7.69%	8
2024-09-25	2024-09-26	$257.02	$254.22	0.53%	2
2024-09-23	2024-09-24	$250.00	$254.27	2.84%	2
2024-09-16	2024-09-20	$226.78	$238.25	3.45%	5
2024-09-04	2024-09-09	$219.41	$216.27	0.06%	4
2024-07-02	2024-07-12	$231.26	$248.23	8.84%	8
2023-06-02	2023-08-02	$213.97	$254.11	15.23%	42
2022-08-16	2022-08-22	$306.56	$289.91	-2.59%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.10%	2
2022-04-05	2022-04-27	$363.75	$293.84	-14.61%	16
2021-09-07	2021-11-10	$250.97	$355.98	22.77%	47
2021-08-05	2021-08-23	$238.21	$235.43	-2.66%	13
2018-12-12	2018-12-19	$24.44	$22.20	-5.00%	6
2018-02-01	2018-02-06	$23.28	$22.26	-3.73%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.10%	4
2017-01-05	2017-01-25	$15.12	$16.96	7.04%	14
2016-07-26	2016-08-23	$15.30	$14.99	-1.95%	21
2016-06-08	2016-06-09	$15.70	$15.29	0.70%	2
2016-04-05	2016-05-04	$17.03	$14.84	-3.61%	22
2015-05-11	2015-07-28	$15.97	$17.65	4.23%	55
2015-04-29	2015-05-01	$15.50	$15.07	-1.27%	3
2014-08-05	2014-09-16	$15.90	$17.38	3.93%	30
2014-06-23	2014-07-17	$15.81	$14.36	-3.30%	18
2013-03-27	2013-04-02	$2.54	$2.96	9.49%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.04%	16
2012-02-23	2012-04-10	$2.30	$2.16	-1.69%	33
2012-02-21	2012-02-22	$2.30	$2.28	-0.93%	2