Strategy Zoo / S1247
LongTermTrend_V1247
ARCHIVEDhybridllmSimplified and diversified entry: add a clear SMA50>SMA200 regime plus relaxed MACD filter and a separate breakout arm with lower vol spike threshold. Added multi-criteria exit: MACD fade OR per-trade drawdown OR short-term loss to protect capital. Introduced regime gates to avoid extreme bubbles/high-volatility periods and position sizing rules using vol_pctile and sma_200_slope to reduce exposure in turbulent or down-slope regimes.
Fitness
0.0702
Generation
57
Complexity
15
Created
2026-10-07
Lineage
Parents (1)
changed vol_chg threshold 0.0238 -> 0.2681
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1247 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((sma_50 > sma_200 and sma_200_slope > -0.001 and macd_hist > -0.005) or (breakout_50 == 1 and vol_chg > 0.12)):
position = 1.0
if long and (macd_hist < 0.0 or drawdown < -0.08 or ret_5d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -10.3% | 6.9% | 1.3% | -4.1% |
| Total Return | -58.0% | 22.2% | 4.9% | -46.2% |
| Sharpe | -0.57 | 0.46 | 0.16 | -0.18 |
| Sortino | -0.27 | 0.30 | 0.11 | -0.10 |
| Calmar | -0.17 | 0.37 | 0.05 | -0.07 |
| Volatility | 16.6% | 17.7% | 13.0% | 16.0% |
| Max DD | -60.5% | -18.8% | -24.1% | -62.5% |
| Win Rate | 45.3% | 48.3% | 48.6% | 46.9% |
| Avg Win | 2.0% | 2.6% | 2.2% | 2.2% |
| Avg Loss | -2.7% | -1.6% | -1.9% | -2.3% |
| Payoff | 0.76 | 1.63 | 1.16 | 0.98 |
| Expectancy | -0.5% | 0.4% | 0.1% | -0.2% |
| Profit Factor | 0.63 | 1.52 | 1.10 | 0.86 |
| Trades | 139 | 58 | 74 | 271 |
| Avg Holding Days | 2.5 | 2.3 | 2.2 | 2.4 |
| Turnover | 34.8 | 38.7 | 39.6 | 36.8 |
| Exposure | 10.3% | 10.1% | 9.4% | 10.1% |
Growth of $100
LongTermTrend_V1247 vs TSLA Buy & Hold
LongTermTrend_V1247 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 | -4.4% | -0.40 | -12.5% | 26 |
| 2017 | 5.0% | 0.76 | -5.2% | 13 |
| 2018 | -5.5% | -0.84 | -7.6% | 4 |
| 2019 | -8.4% | -0.49 | -14.1% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 10.5% | 0.52 | -18.8% | 41 |
| 2022 | -2.5% | -0.18 | -8.8% | 16 |
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 | -1.1% | -1.04 | 0% |
| hidden test | EXPENSIVE | 83 | 21.7% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 6.2% | 0.94 | 0% |
| hidden test | LOW VOLATILITY | 439 | 3.7% | 0.27 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.8% | -0.30 | 12% |
| hidden test | NORMAL | 812 | 0.2% | 0.02 | 11% |
| hidden test | SIDEWAYS | 294 | -12.3% | -0.76 | 16% |
| hidden test | UPTREND | 371 | 15.9% | 1.06 | 11% |
| train | DOWNTREND | 518 | -12.5% | -0.91 | 1% |
| train | EXPENSIVE | 311 | 11.2% | 1.64 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -8.1% | -0.45 | 1% |
| train | LOW VOLATILITY | 745 | -4.1% | -0.31 | 19% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -0.98 | 11% |
| train | NORMAL | 1,601 | -14.0% | -0.76 | 13% |
| train | SIDEWAYS | 592 | -13.5% | -0.71 | 13% |
| train | UPTREND | 902 | -5.0% | -0.31 | 14% |
| validation | DOWNTREND | 125 | -2.9% | -2.15 | 2% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 1.2% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | 6.0% | 0.44 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 15.2% | 0.78 | 12% |
| validation | NORMAL | 474 | 13.1% | 0.59 | 16% |
| validation | SIDEWAYS | 206 | -14.3% | -0.92 | 17% |
| validation | UPTREND | 425 | 22.4% | 1.07 | 9% |
Trades (full period)
latest 100 of 271
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 3.05% | 14 | |
| 2025-12-03 | 2025-12-09 | $446.74 | $445.17 | 2.21% | 5 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.49% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.41% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.78% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-11-15 | 2023-11-16 | $242.84 | $233.59 | 2.08% | 2 | |
| 2023-11-13 | 2023-11-14 | $223.71 | $237.41 | 4.02% | 2 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -5.66% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 1.13% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -5.26% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.31% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-04 | 2022-04-06 | $381.82 | $348.59 | 0.42% | 3 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.70% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-03-17 | 2022-03-18 | $290.53 | $301.80 | 3.53% | 2 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.32% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 1.59% | 2 | |
| 2022-02-18 | 2022-02-22 | $285.66 | $273.84 | -2.41% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.10% | 2 | |
| 2022-02-11 | 2022-02-14 | $286.67 | $291.92 | -5.12% | 2 | |
| 2022-02-09 | 2022-02-10 | $310.67 | $301.52 | 0.88% | 2 | |
| 2022-01-03 | 2022-01-04 | $399.93 | $383.20 | 13.32% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.08% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 |