Strategy Zoo / S1289
LongTermTrend_V1289
ARCHIVEDhybridllmAdded robust regime gates (allow only up/sideways trend, non-high volatility, exclude extreme bubbles); introduced momentum confirmation (macd > macd_signal) and volatility filter (vol_pctile < 0.9) to reduce false entries; relaxed cumulative-return floor slightly and prevented buying after sharp 1-day drops; broadened exit rules to include fast 1-day losses, portfolio drawdown and volatility spikes; reduced base position to 0.7 to lower risk/exposure.
Fitness
0.1813
Generation
59
Complexity
18
Created
2026-10-08
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1289 [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 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_1d > -0.05 and cumret_252d > -0.4 and macd > macd_signal and vol_pctile < 0.9):
position = 0.7
if long and (ret_20d < -0.1003 or ret_1d < -0.06 or drawdown < -0.1 or vol_chg > 0.5):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.0% | 16.9% | -7.9% | -2.1% |
| Total Return | -39.2% | 59.8% | -26.6% | -27.2% |
| Sharpe | -0.46 | 1.00 | -0.68 | -0.10 |
| Sortino | -0.31 | 0.93 | -0.48 | -0.08 |
| Calmar | -0.12 | 1.15 | -0.24 | -0.04 |
| Volatility | 11.9% | 17.0% | 11.2% | 13.0% |
| Max DD | -48.8% | -14.8% | -33.3% | -48.8% |
| Win Rate | 39.9% | 51.8% | 41.5% | 43.1% |
| Avg Win | 1.8% | 2.5% | 1.7% | 2.0% |
| Avg Loss | -1.6% | -1.5% | -1.6% | -1.6% |
| Payoff | 1.12 | 1.70 | 1.02 | 1.24 |
| Expectancy | -0.2% | 0.6% | -0.3% | -0.1% |
| Profit Factor | 0.74 | 1.82 | 0.72 | 0.94 |
| Trades | 178 | 85 | 106 | 369 |
| Avg Holding Days | 2.7 | 2.5 | 2.2 | 2.5 |
| Turnover | 31.3 | 39.7 | 39.6 | 35.1 |
| Exposure | 10.7% | 11.5% | 9.4% | 10.6% |
Growth of $100
LongTermTrend_V1289 vs TSLA Buy & Hold
LongTermTrend_V1289 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 | -6.0% | -0.82 | -8.3% | 18 |
| 2017 | 0.9% | 0.13 | -9.2% | 32 |
| 2018 | -11.1% | -1.78 | -12.1% | 9 |
| 2019 | -2.1% | -0.21 | -9.7% | 15 |
| 2020 | 39.4% | 2.10 | -4.9% | 12 |
| 2021 | 7.3% | 0.45 | -14.8% | 50 |
| 2022 | -2.4% | -0.17 | -8.9% | 22 |
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 | -2.2% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | -19.1% | -1.12 | 13% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.6% | -0.21 | 1% |
| hidden test | LOW VOLATILITY | 440 | -3.7% | -0.32 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | -20.7% | -1.55 | 10% |
| hidden test | NORMAL | 813 | -6.9% | -0.64 | 10% |
| hidden test | SIDEWAYS | 295 | -20.2% | -1.64 | 14% |
| hidden test | UPTREND | 371 | -1.7% | -0.12 | 12% |
| train | DOWNTREND | 518 | -3.1% | -1.16 | 1% |
| train | EXPENSIVE | 311 | 20.4% | 1.25 | 18% |
| train | EXTREME | 100 | 8.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.8% | 0.67 | 1% |
| train | LOW VOLATILITY | 745 | -1.4% | -0.12 | 19% |
| train | MEDIUM VOLATILITY | 568 | -26.1% | -1.82 | 11% |
| train | NORMAL | 1,601 | -11.4% | -1.02 | 10% |
| train | SIDEWAYS | 592 | -20.6% | -1.73 | 11% |
| train | UPTREND | 902 | 3.0% | 0.20 | 16% |
| validation | DOWNTREND | 125 | -6.7% | -1.59 | 1% |
| validation | EXPENSIVE | 138 | 41.0% | 1.88 | 20% |
| validation | EXTREME | 144 | 26.8% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | 0.8% | 0.06 | 1% |
| validation | LOW VOLATILITY | 183 | 8.1% | 0.66 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 35.6% | 1.63 | 17% |
| validation | NORMAL | 474 | 7.1% | 0.43 | 12% |
| validation | SIDEWAYS | 206 | 3.9% | 0.28 | 13% |
| validation | UPTREND | 425 | 30.4% | 1.50 | 14% |
Trades (full period)
latest 100 of 369
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.64% | 2 | |
| 2026-05-28 | 2026-06-01 | $442.10 | $415.88 | -0.86% | 3 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.14% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -3.76% | 3 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.96% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.67% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.52% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.81% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.36% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.66% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.62% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.18% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.07% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2025-12-22 | 2026-01-05 | $488.73 | $451.67 | -6.46% | 9 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 2.27% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.00% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 2.94% | 5 | |
| 2025-12-03 | 2025-12-08 | $446.74 | $439.58 | 4.04% | 4 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.14% | 2 | |
| 2025-11-04 | 2025-11-07 | $444.26 | $429.52 | -3.46% | 4 | |
| 2025-09-29 | 2025-10-06 | $443.21 | $453.25 | -1.78% | 6 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -3.20% | 2 | |
| 2025-09-22 | 2025-09-24 | $434.21 | $442.79 | -0.17% | 3 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.62% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.84% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.03% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.36% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.19% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.44% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.85% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.48% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.29% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.49% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.01% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.72% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.11% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.58% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.62% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.31% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.79% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.11% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.26% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 4.44% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.09% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.23% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.69% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.10% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.35% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.99% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.94% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.54% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.53% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.32% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.82% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.79% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.50% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.87% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.25% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.80% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.14% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.16% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.64% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.24% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.92% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.10% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.17% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.46% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.08% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.70% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -0.97% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.39% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -3.68% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.22% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.07% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.61% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.26% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.96% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 |