Strategy Zoo / S1245
LongTermTrend_V1245
ARCHIVEDhybridllmReduced position size to 60% to lower drawdown risk; added volatility filter (vol_pctile < 0.85) to avoid trading in extreme volatility; simplified and consolidated entry rules into two clean branches (breakout + momentum, or trend continuation) with relaxed cumret requirement; improved exits by combining MACD sell with explicit drawdown (>12%) and near-52w-high take-profit (dist_52w_high > 0.98); added regime gates to avoid downtrend/high-volatility/extreme-bubble regimes.
Fitness
0.1225
Generation
57
Complexity
21
Created
2026-10-07
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1245 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (vol_pctile < 0.85 and ((breakout_50 == 1 and rel_volume > 1.2 and macd_hist > 0.0 and close > sma_50) or ((close > sma_200 or ret_20d > 0.05) and sma_200_slope > -0.0024 and cumret_252d > 0.03))):
position = 0.6
if long and (macd_hist < 0.0 or drawdown > 0.12 or dist_52w_high > 0.98):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.7% | 5.1% | -5.0% | -2.3% |
| Total Return | -25.9% | 16.0% | -17.5% | -29.1% |
| Sharpe | -0.21 | 0.37 | -0.32 | -0.09 |
| Sortino | -0.15 | 0.36 | -0.23 | -0.07 |
| Calmar | -0.11 | 0.27 | -0.17 | -0.07 |
| Volatility | 13.5% | 17.6% | 13.4% | 14.4% |
| Max DD | -33.8% | -19.0% | -30.2% | -33.9% |
| Win Rate | 42.8% | 44.1% | 35.9% | 41.6% |
| Avg Win | 2.0% | 3.0% | 2.7% | 2.4% |
| Avg Loss | -1.8% | -1.9% | -1.9% | -1.8% |
| Payoff | 1.15 | 1.61 | 1.41 | 1.31 |
| Expectancy | -0.1% | 0.3% | -0.3% | -0.1% |
| Profit Factor | 0.86 | 1.27 | 0.79 | 0.93 |
| Trades | 159 | 68 | 64 | 291 |
| Avg Holding Days | 3.7 | 4.1 | 4.3 | 3.9 |
| Turnover | 23.9 | 27.2 | 20.5 | 23.7 |
| Exposure | 12.8% | 16.6% | 13.3% | 13.7% |
Growth of $100
LongTermTrend_V1245 vs TSLA Buy & Hold
LongTermTrend_V1245 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 | -7.0% | -0.97 | -10.8% | 11 |
| 2017 | 13.1% | 1.54 | -5.6% | 18 |
| 2018 | -5.4% | -0.58 | -10.2% | 10 |
| 2019 | -0.7% | 0.02 | -9.1% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.5% | 0.63 | -18.8% | 45 |
| 2022 | -5.4% | -0.28 | -14.6% | 22 |
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 | -6.3% | -1.98 | 1% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -3.5% | -0.43 | 1% |
| hidden test | LOW VOLATILITY | 439 | -7.5% | -0.56 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.7% | 0.04 | 12% |
| hidden test | NORMAL | 812 | -7.6% | -0.54 | 15% |
| hidden test | SIDEWAYS | 294 | -21.6% | -1.42 | 23% |
| hidden test | UPTREND | 371 | 11.0% | 0.68 | 15% |
| train | DOWNTREND | 518 | -8.2% | -0.98 | 1% |
| train | EXPENSIVE | 311 | 13.1% | 1.48 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -2.0% | -0.13 | 1% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.41 | 21% |
| train | MEDIUM VOLATILITY | 568 | -13.6% | -0.92 | 17% |
| train | NORMAL | 1,601 | -6.1% | -0.42 | 16% |
| train | SIDEWAYS | 592 | -9.3% | -0.59 | 16% |
| train | UPTREND | 902 | 4.5% | 0.31 | 18% |
| validation | DOWNTREND | 125 | -15.7% | -2.65 | 2% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 14.2% | 0.89 | 1% |
| validation | LOW VOLATILITY | 183 | 6.7% | 0.46 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 0.0% | 0.00 | 20% |
| validation | NORMAL | 474 | 10.3% | 0.47 | 26% |
| validation | SIDEWAYS | 206 | -2.7% | -0.14 | 29% |
| validation | UPTREND | 425 | 17.4% | 0.93 | 15% |
Trades (full period)
latest 100 of 291
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.05% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.56% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.05% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.78% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.54% | 3 | |
| 2026-03-10 | 2026-03-16 | $399.24 | $395.56 | -1.23% | 5 | |
| 2026-03-05 | 2026-03-09 | $405.55 | $398.68 | -1.48% | 3 | |
| 2026-02-25 | 2026-03-04 | $417.40 | $405.94 | -2.60% | 6 | |
| 2026-02-11 | 2026-02-24 | $428.27 | $409.38 | -3.72% | 9 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 0.79% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.39% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.32% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -2.19% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -0.71% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.16% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.27% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.19% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.41% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.49% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -2.60% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -1.67% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 4.60% | 22 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.75% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.29% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.56% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.10% | 2 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 7.51% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.22% | 2 | |
| 2025-07-17 | 2025-08-01 | $319.41 | $302.63 | -2.50% | 12 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -2.78% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.23% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -2.50% | 2 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -3.32% | 8 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 13.31% | 11 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -1.84% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.49% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.23% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.67% | 11 | |
| 2023-11-08 | 2023-12-14 | $222.11 | $251.05 | 4.63% | 26 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -2.98% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -1.77% | 9 | |
| 2023-07-24 | 2023-07-25 | $269.06 | $265.28 | 1.96% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -5.96% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.63% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.37% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.17% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.01% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.17% | 2 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 7.51% | 16 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -2.28% | 10 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -1.74% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.49% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.46% | 5 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.19% | 9 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 2.74% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.54% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 1.82% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-18 | 2022-04-11 | $301.80 | $325.31 | 10.41% | 17 | |
| 2022-03-10 | 2022-03-14 | $279.43 | $255.46 | -4.59% | 3 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -2.32% | 5 | |
| 2022-02-15 | 2022-02-23 | $307.48 | $254.68 | -3.79% | 6 | |
| 2022-02-08 | 2022-02-14 | $307.33 | $291.92 | -3.24% | 5 | |
| 2022-02-04 | 2022-02-07 | $307.77 | $302.45 | 2.05% | 2 | |
| 2022-02-02 | 2022-02-03 | $301.89 | $297.05 | -1.77% | 2 | |
| 2022-01-26 | 2022-01-27 | $312.47 | $276.37 | 1.12% | 2 | |
| 2022-01-24 | 2022-01-25 | $310.00 | $306.13 | -1.00% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-27 | 2022-01-04 | $364.65 | $383.20 | 7.38% | 7 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 4.37% | 2 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.22% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -3.13% | 2 | |
| 2021-12-14 | 2021-12-15 | $319.50 | $325.33 | -0.61% | 2 | |
| 2021-12-10 | 2021-12-13 | $339.01 | $322.14 | 0.67% | 2 | |
| 2021-12-08 | 2021-12-09 | $356.32 | $334.60 | 0.86% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.47% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.69% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.29% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.95% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 17.18% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 |