Strategy Zoo / S1264
LongTermTrend_V1264
ARCHIVEDhybridllmAdded regime gates to trade only in UPTREND / LOW_VOLATILITY / NORMAL bubble to reduce overfitting and avoid high-volatility periods. Simplified entry by removing a redundant short-term ret_20d threshold while keeping the strong trend and breakout signals. Strengthened exit to include closing below sma_50 in addition to MACD histogram negative to cut losses faster. Introduced volatility-based position sizing (reduce size when vol_pctile > 0.75, increase when vol_pctile < 0.40) and lowered base_position to 0.8 to reduce overall risk.
Fitness
0.3107
Generation
58
Complexity
21
Created
2026-10-07
Lineage
Parents (1)
swapped indicator rel_volume -> vol_chg
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1264 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and vol_chg > 0.0238) or (macd_hist > 0.0 and sma_50 > sma_200))):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.7% | 45.2% | -1.2% | 11.0% |
| Total Return | 56.0% | 206.0% | -4.3% | 367.6% |
| Sharpe | 0.34 | 1.07 | 0.11 | 0.48 |
| Sortino | 0.40 | 1.37 | 0.12 | 0.58 |
| Calmar | 0.10 | 0.97 | -0.02 | 0.20 |
| Volatility | 28.6% | 44.1% | 29.2% | 32.5% |
| Max DD | -56.0% | -46.4% | -46.6% | -56.0% |
| Win Rate | 42.7% | 48.3% | 37.0% | 42.9% |
| Avg Win | 3.4% | 5.0% | 4.5% | 4.2% |
| Avg Loss | -2.1% | -3.0% | -2.5% | -2.4% |
| Payoff | 1.64 | 1.68 | 1.81 | 1.75 |
| Expectancy | 0.3% | 0.9% | 0.1% | 0.4% |
| Profit Factor | 1.22 | 1.57 | 1.07 | 1.31 |
| Trades | 356 | 178 | 154 | 688 |
| Avg Holding Days | 3.8 | 3.5 | 3.9 | 3.7 |
| Turnover | 71.4 | 94.9 | 65.8 | 74.8 |
| Exposure | 40.3% | 46.3% | 37.2% | 40.8% |
Growth of $100
LongTermTrend_V1264 vs TSLA Buy & Hold
LongTermTrend_V1264 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 | 17.0% | 1.17 | -13.1% | 26 |
| 2017 | -8.2% | -0.25 | -28.6% | 71 |
| 2018 | -16.9% | -0.70 | -21.7% | 17 |
| 2019 | 19.5% | 0.78 | -22.5% | 14 |
| 2020 | 280.7% | 2.49 | -40.1% | 62 |
| 2021 | -11.1% | -0.17 | -44.6% | 78 |
| 2022 | -10.0% | -0.23 | -29.9% | 36 |
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 | -16.4% | -0.71 | 22% |
| hidden test | EXPENSIVE | 83 | 58.8% | 1.37 | 59% |
| hidden test | EXTREME | 48 | 146.3% | 3.45 | 53% |
| hidden test | HIGH VOLATILITY | 254 | 22.0% | 0.58 | 40% |
| hidden test | LOW VOLATILITY | 439 | 20.4% | 0.94 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -46.6% | -1.55 | 37% |
| hidden test | NORMAL | 812 | -11.1% | -0.42 | 34% |
| hidden test | SIDEWAYS | 294 | -28.8% | -1.12 | 41% |
| hidden test | UPTREND | 371 | 43.0% | 1.22 | 46% |
| train | DOWNTREND | 518 | -13.4% | -0.90 | 15% |
| train | EXPENSIVE | 311 | 32.3% | 0.91 | 58% |
| train | EXTREME | 100 | 286.2% | 5.00 | 68% |
| train | HIGH VOLATILITY | 699 | 14.2% | 0.38 | 37% |
| train | LOW VOLATILITY | 745 | 19.1% | 0.97 | 45% |
| train | MEDIUM VOLATILITY | 568 | -8.4% | -0.33 | 38% |
| train | NORMAL | 1,601 | -12.1% | -0.51 | 35% |
| train | SIDEWAYS | 592 | -7.4% | -0.28 | 42% |
| train | UPTREND | 902 | 33.9% | 0.97 | 54% |
| validation | DOWNTREND | 125 | 4.0% | 0.20 | 11% |
| validation | EXPENSIVE | 138 | 51.0% | 1.00 | 54% |
| validation | EXTREME | 144 | 249.2% | 3.87 | 65% |
| validation | HIGH VOLATILITY | 258 | 50.0% | 0.85 | 41% |
| validation | LOW VOLATILITY | 183 | 19.8% | 0.89 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 60.3% | 1.54 | 48% |
| validation | NORMAL | 474 | -15.6% | -0.49 | 38% |
| validation | SIDEWAYS | 206 | -34.6% | -0.92 | 43% |
| validation | UPTREND | 425 | 99.2% | 1.93 | 59% |
Trades (full period)
latest 100 of 688
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.05% | 8 | |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.35% | 7 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.76% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -2.70% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.05% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 2.59% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 1.75% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.14% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.09% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.42% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.05% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -1.89% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.76% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -2.92% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -0.95% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.27% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.47% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.53% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.47% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 5.56% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.21% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 5.30% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -1.89% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -1.66% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.31% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -1.80% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 2.83% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 3.29% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 1.66% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -1.02% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 1.81% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 0.94% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-28 | 2025-07-30 | $325.59 | $319.04 | 1.15% | 3 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.24% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -4.43% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.69% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-06-23 | 2025-06-24 | $348.68 | $340.47 | 6.42% | 2 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.28% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.78% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -1.95% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 4.38% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 15.93% | 26 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -4.11% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.15% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.97% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -4.08% | 2 | |
| 2025-04-04 | 2025-04-07 | $239.43 | $233.29 | -8.49% | 2 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 4.10% | 2 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.49% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.15% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 2.64% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 4.05% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -3.70% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 2.97% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -3.33% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -1.88% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.53% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.55% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 4.46% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -5.23% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -2.87% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.02% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -4.29% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.14% | 2 |