Strategy Zoo / S1260
LongTermTrend_V1260
ARCHIVEDhybridllmSimplified and de-duplicated entry; require price above 50 or 200 SMA while long-term slope is positive, require 20d momentum and positive MACD histogram to reduce false entries. Added robust multi-condition exit: 20d loss threshold, price crossing below SMA50, or portfolio drawdown trigger to cut losers early. Added regime gates to avoid trading in high-volatility and clear downtrend/bubble extremes. Reduced base_position to 0.75 to lower risk exposure.
Fitness
0.3510
Generation
58
Complexity
15
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1260 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 or close > sma_50) and sma_200_slope > 0.0) and ret_20d > 0.04 and macd_hist > 0.0):
position = 0.75
if long and (ret_20d < -0.03 or close < sma_50 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.5% | 30.3% | -4.7% | 5.9% |
| Total Return | 22.2% | 121.2% | -16.4% | 131.1% |
| Sharpe | 0.24 | 1.35 | -0.26 | 0.43 |
| Sortino | 0.17 | 1.14 | -0.15 | 0.30 |
| Calmar | 0.10 | 1.32 | -0.21 | 0.15 |
| Volatility | 14.6% | 21.3% | 14.4% | 16.2% |
| Max DD | -25.2% | -22.9% | -21.9% | -38.7% |
| Win Rate | 43.8% | 53.8% | 30.8% | 43.1% |
| Avg Win | 5.8% | 17.0% | 4.7% | 9.2% |
| Avg Loss | -3.5% | -4.0% | -3.8% | -3.7% |
| Payoff | 1.67 | 4.24 | 1.24 | 2.51 |
| Expectancy | 0.6% | 7.3% | -1.2% | 1.9% |
| Profit Factor | 1.30 | 4.95 | 0.55 | 1.90 |
| Trades | 32 | 13 | 13 | 58 |
| Avg Holding Days | 13.1 | 17.7 | 12.9 | 14.3 |
| Turnover | 6.1 | 6.5 | 5.2 | 5.9 |
| Exposure | 14.8% | 21.5% | 12.3% | 15.6% |
Growth of $100
LongTermTrend_V1260 vs TSLA Buy & Hold
LongTermTrend_V1260 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 | -2.1% | -1.18 | -2.1% | 0 |
| 2017 | 12.3% | 0.80 | -10.0% | 10 |
| 2018 | -16.4% | -1.67 | -17.1% | 3 |
| 2019 | 7.1% | 1.31 | -2.8% | 0 |
| 2020 | 69.0% | 2.72 | -5.9% | 3 |
| 2021 | 38.3% | 1.43 | -18.7% | 8 |
| 2022 | -8.0% | -0.37 | -22.9% | 2 |
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 | -2.6% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 54.1% | 1.80 | 43% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.8% | -0.49 | 1% |
| hidden test | LOW VOLATILITY | 439 | 10.4% | 0.78 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.5% | -1.49 | 16% |
| hidden test | NORMAL | 812 | -9.9% | -0.82 | 10% |
| hidden test | SIDEWAYS | 294 | -13.3% | -0.78 | 19% |
| hidden test | UPTREND | 371 | 3.0% | 0.18 | 16% |
| train | DOWNTREND | 518 | -2.7% | -0.92 | 0% |
| train | EXPENSIVE | 311 | 32.3% | 1.52 | 26% |
| train | EXTREME | 100 | 8.7% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.8% | 0.67 | 1% |
| train | LOW VOLATILITY | 745 | 16.8% | 1.04 | 30% |
| train | MEDIUM VOLATILITY | 568 | -19.1% | -1.22 | 12% |
| train | NORMAL | 1,601 | -2.3% | -0.17 | 13% |
| train | SIDEWAYS | 592 | -8.4% | -0.69 | 11% |
| train | UPTREND | 902 | 15.1% | 0.78 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 100.7% | 3.39 | 36% |
| validation | EXTREME | 144 | 28.8% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -8.9% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 25.2% | 1.50 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 61.6% | 2.11 | 28% |
| validation | NORMAL | 474 | 7.7% | 0.38 | 23% |
| validation | SIDEWAYS | 206 | -12.0% | -0.61 | 22% |
| validation | UPTREND | 425 | 56.9% | 2.30 | 28% |
Trades (full period)
58 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.80% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.67% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.50% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 13.85% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.44% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -14.21% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.91% | 2 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.64% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.58% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.40% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.06% | 9 | |
| 2022-08-04 | 2022-08-29 | $308.63 | $284.82 | -4.78% | 18 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -3.38% | 26 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 32.19% | 71 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.59% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.20% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.67% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.81% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -8.58% | 13 | |
| 2021-01-12 | 2021-02-11 | $283.15 | $270.55 | -0.57% | 22 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 32.73% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 32.52% | 14 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -5.13% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 31.20% | 24 | |
| 2018-12-12 | 2018-12-19 | $24.44 | $22.20 | -6.24% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.48% | 2 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.58% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.97% | 10 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -6.67% | 8 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.60% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.97% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.76% | 8 | |
| 2017-05-15 | 2017-05-19 | $21.06 | $20.72 | -2.85% | 5 | |
| 2017-05-02 | 2017-05-10 | $21.26 | $21.68 | -0.45% | 7 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.89% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.65% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 9.01% | 42 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.64% | 6 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 2.56% | 53 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.73% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.82% | 30 | |
| 2014-06-16 | 2014-07-17 | $14.97 | $14.36 | 3.89% | 23 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.50% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.27% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.58% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 19.75% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -5.28% | 7 | |
| 2013-09-09 | 2013-10-22 | $10.71 | $11.44 | 2.62% | 32 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.86% | 4 | |
| 2013-02-04 | 2013-02-22 | $2.52 | $2.41 | -6.22% | 14 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 4.78% | 46 | |
| 2012-07-13 | 2012-07-20 | $2.28 | $2.12 | -1.03% | 6 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.82% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.47% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.07% | 38 |