Strategy Zoo / S1261
LongTermTrend_V1261
ARCHIVEDhybridllmAdded regime gates to run only in UPTREND and non-high volatility, restrict to normal bubble; lowered base_position to 0.6 to reduce drawdown; added volatility-based position scaling (heavy cut or skip when vol_pctile > 0.95 or >0.7); added a breakout_20 + rel_volume entry leg to capture strong lower-timeframe breakouts; improved exits with a short-term ret_5d stop and a MACD + price-below-SMA50 exit to cut losses earlier.
Fitness
0.1030
Generation
58
Complexity
36
Created
2026-10-07
Lineage
Parents (1)
entry from LongTermTrend_V0521, exit from PriceMomentum_V0817
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1261 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)) or (breakout_20 == 1 and rel_volume > 1.2 and close > sma_50))):
position = 0.6
if long and (ret_20d < -0.0017 or ret_20d < -0.025 or ret_5d < -0.04 or (macd_hist < 0.0 and close < sma_50)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.2% | -1.9% | 2.5% | 0.1% |
| Total Return | -1.3% | -5.7% | 9.6% | 1.9% |
| Sharpe | 0.02 | -0.14 | 0.27 | 0.06 |
| Sortino | 0.01 | -0.07 | 0.10 | 0.03 |
| Calmar | -0.01 | -0.07 | 0.16 | 0.00 |
| Volatility | 8.0% | 10.2% | 11.2% | 9.4% |
| Max DD | -16.5% | -28.9% | -15.2% | -28.9% |
| Win Rate | 44.7% | 18.8% | 60.0% | 43.2% |
| Avg Win | 2.5% | 9.5% | 3.2% | 3.4% |
| Avg Loss | -2.0% | -2.4% | -3.5% | -2.4% |
| Payoff | 1.25 | 3.98 | 0.93 | 1.43 |
| Expectancy | 0.0% | -0.2% | 0.6% | 0.1% |
| Profit Factor | 1.01 | 0.92 | 1.40 | 1.09 |
| Trades | 38 | 16 | 20 | 74 |
| Avg Holding Days | 7.2 | 6.8 | 5.0 | 6.5 |
| Turnover | 5.7 | 6.4 | 6.4 | 6.0 |
| Exposure | 7.0% | 7.3% | 5.2% | 6.6% |
Growth of $100
LongTermTrend_V1261 vs TSLA Buy & Hold
LongTermTrend_V1261 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 | -1.6% | -0.24 | -5.8% | 4 |
| 2017 | 10.5% | 2.31 | -1.0% | 7 |
| 2018 | -3.7% | -0.69 | -4.9% | 2 |
| 2019 | 2.8% | 0.72 | -0.9% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 16.4% | 1.06 | -13.8% | 6 |
| 2022 | -19.1% | -2.44 | -20.8% | 10 |
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 | 25.5% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.0% | -1.48 | 1% |
| hidden test | LOW VOLATILITY | 439 | 12.1% | 1.40 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 9.7% | 0.73 | 7% |
| hidden test | NORMAL | 812 | 1.0% | 0.08 | 6% |
| hidden test | SIDEWAYS | 294 | -16.6% | -1.63 | 1% |
| hidden test | UPTREND | 371 | 21.0% | 1.36 | 12% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.5% | 1.79 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.4% | 0.22 | 0% |
| train | LOW VOLATILITY | 745 | 4.1% | 0.45 | 15% |
| train | MEDIUM VOLATILITY | 568 | -6.7% | -0.85 | 5% |
| train | NORMAL | 1,601 | -1.3% | -0.15 | 9% |
| train | SIDEWAYS | 592 | -3.2% | -1.23 | 1% |
| train | UPTREND | 902 | 2.4% | 0.21 | 15% |
| 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 | -4.9% | -0.66 | 0% |
| validation | LOW VOLATILITY | 183 | 4.3% | 0.42 | 20% |
| validation | MEDIUM VOLATILITY | 315 | -1.9% | -0.16 | 5% |
| validation | NORMAL | 474 | -2.3% | -0.18 | 12% |
| validation | SIDEWAYS | 206 | -12.8% | -2.12 | 1% |
| validation | UPTREND | 425 | 3.6% | 0.28 | 12% |
Trades (full period)
74 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.61% | 16 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 0.93% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -1.33% | 3 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.04% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.33% | 3 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-02 | 2025-06-04 | $342.69 | $332.05 | -0.50% | 3 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 3.88% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 8.84% | 8 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.09% | 3 | |
| 2023-06-30 | 2023-07-21 | $261.77 | $260.02 | 1.35% | 15 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 9.52% | 17 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -2.89% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.54% | 2 | |
| 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 | |
| 2022-04-19 | 2022-04-21 | $342.72 | $336.26 | -1.71% | 3 | |
| 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.38% | 3 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.24% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -0.99% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.42% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.69% | 6 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 25.61% | 56 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -3.93% | 10 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | 0.05% | 13 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.54% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -0.96% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.06% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.02% | 2 | |
| 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 | 2016-08-16 | $15.30 | $14.91 | -1.25% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-15 | 2016-05-02 | $16.97 | $16.12 | -2.75% | 12 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.76% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | -0.11% | 9 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 4.61% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.27% | 3 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.19% | 2 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 5.33% | 31 | |
| 2014-07-31 | 2014-08-01 | $14.89 | $15.55 | -1.59% | 2 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.00% | 2 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.48% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 0.97% | 2 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -1.88% | 11 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 2013-03-12 | 2013-03-15 | $2.61 | $2.35 | -3.57% | 4 | |
| 2013-03-08 | 2013-03-11 | $2.56 | $2.61 | 0.26% | 2 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -6.45% | 3 | |
| 2013-02-15 | 2013-02-19 | $2.47 | $2.62 | -2.05% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.26% | 2 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -2.18% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.04% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.28% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |