Strategy Zoo / S1265
LongTermTrend_V1265
ARCHIVEDhybridllmReduced base position to 0.6 to limit drawdowns; added volatility gate (avoid HIGH_VOLATILITY) and bubble gate (only NORMAL) and restrict to UPTREND/SIDEWAYS; tightened trend/quality filters (sma_200_slope > -0.0015, cumret_252d > -0.15, dist_sma_50 > -0.05) to avoid weak regimes; require vol_pctile < 0.65 to avoid entering in high-volatility spikes; tightened entry MACD allowance (macd_hist > -0.5). Exit broadened to exit on negative MACD, drop below sma_50, or drawdown > 18% for better risk control.
Fitness
0.1228
Generation
58
Complexity
34
Created
2026-10-07
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1265 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((((close > sma_200 and sma_200_slope > -0.0015) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.15 and dist_sma_50 > -0.05) 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)))) and sma_20 < close and macd_hist > -0.5 and vol_pctile < 0.65):
position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.18):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.5% | 2.3% | 1.0% | -0.1% |
| Total Return | -11.7% | 7.0% | 3.9% | -1.7% |
| Sharpe | -0.09 | 0.26 | 0.15 | 0.05 |
| Sortino | -0.05 | 0.15 | 0.10 | 0.03 |
| Calmar | -0.05 | 0.19 | 0.04 | -0.00 |
| Volatility | 11.0% | 11.4% | 12.3% | 11.4% |
| Max DD | -30.9% | -12.2% | -24.2% | -30.9% |
| Win Rate | 38.5% | 37.5% | 31.3% | 36.5% |
| Avg Win | 2.7% | 4.5% | 5.1% | 3.5% |
| Avg Loss | -1.9% | -1.8% | -2.0% | -1.9% |
| Payoff | 1.45 | 2.48 | 2.57 | 1.83 |
| Expectancy | -0.1% | 0.5% | 0.2% | 0.1% |
| Profit Factor | 0.91 | 1.49 | 1.17 | 1.05 |
| Trades | 78 | 16 | 32 | 126 |
| Avg Holding Days | 5.2 | 8.6 | 6.3 | 5.9 |
| Turnover | 11.7 | 6.4 | 10.3 | 10.3 |
| Exposure | 9.8% | 9.6% | 10.7% | 10.0% |
Growth of $100
LongTermTrend_V1265 vs TSLA Buy & Hold
LongTermTrend_V1265 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 | -2.3% | -0.26 | -6.4% | 10 |
| 2017 | 7.7% | 1.14 | -3.3% | 7 |
| 2018 | -5.5% | -0.91 | -8.7% | 5 |
| 2019 | -5.9% | -0.29 | -14.9% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 4.4% | 0.35 | -12.2% | 11 |
| 2022 | 2.6% | 0.28 | -11.0% | 4 |
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 | -2.1% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.3% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 439 | 9.4% | 0.72 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.7% | 0.05 | 10% |
| hidden test | NORMAL | 812 | -0.6% | -0.04 | 12% |
| hidden test | SIDEWAYS | 294 | -21.2% | -1.54 | 19% |
| hidden test | UPTREND | 371 | 22.9% | 1.52 | 11% |
| train | DOWNTREND | 518 | -4.8% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 7.7% | 1.83 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.4% | 0.13 | 1% |
| train | LOW VOLATILITY | 745 | 6.0% | 0.56 | 18% |
| train | MEDIUM VOLATILITY | 568 | -12.9% | -1.12 | 10% |
| train | NORMAL | 1,601 | -2.7% | -0.22 | 12% |
| train | SIDEWAYS | 592 | -5.3% | -0.44 | 14% |
| train | UPTREND | 902 | 4.1% | 0.32 | 13% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.9% | 0.17 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 11.8% | 0.83 | 10% |
| validation | NORMAL | 474 | 4.6% | 0.32 | 15% |
| validation | SIDEWAYS | 206 | -2.5% | -0.19 | 14% |
| validation | UPTREND | 425 | 6.4% | 0.53 | 10% |
Trades (full period)
latest 100 of 126
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -2.56% | 5 | |
| 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 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 7.51% | 6 | |
| 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 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 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 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -2.39% | 3 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 20.27% | 18 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.67% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -1.92% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.52% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.55% | 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 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.10% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.20% | 9 | |
| 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 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.90% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.17% | 5 | |
| 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 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.16% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -2.96% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.16% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.47% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -3.80% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.18% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -4.82% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.44% | 2 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.27% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.52% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -0.98% | 3 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.45% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-04-27 | 2016-04-28 | $16.76 | $16.51 | -0.66% | 2 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.58% | 2 | |
| 2016-04-21 | 2016-04-22 | $16.55 | $16.92 | -0.52% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -1.66% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.51% | 2 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.18% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.42% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.50% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.92% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-07-15 | 2015-07-16 | $17.54 | $17.78 | -0.69% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-06-05 | 2015-06-08 | $16.61 | $17.09 | 0.67% | 2 | |
| 2015-06-03 | 2015-06-04 | $16.60 | $16.39 | 0.03% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.44% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 0.85% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.19% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 3.52% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.65% | 4 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.71% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -5.56% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.30% | 2 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 7.10% | 18 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 6.53% | 15 |