LongTermTrend_V1306

ARCHIVEDhybrid

llm1) Added a clear uptrend regime gate and limited volatility to LOW/MEDIUM to avoid trading in adverse regimes. 2) Simplified and de-duplicated entry conditions, tightened sma_200_slope cutoff and allowed shorter 20d momentum entry. 3) Improved exit to include price under sma_50 and negative MACD histogram in addition to the 20d loss. 4) Introduced volatility-aware position sizing: full size on strong trend + low vol, reduced size when volatility is high or rising, and conservative sizing after large drawdowns. 5) Lowered base_position to 0.6 to reduce turnover and drawdown risk.

Fitness

0.4439

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

LongTermTrend_V1276S1276 · gen 58ELITEllm

changed sma_200_slope threshold 0.0 -> -0.0012

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1306  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (((close > sma_200 and sma_200_slope > -0.0005) or ret_20d > 0.08) and ret_20d > 0.03 and cumret_252d > -0.25):
    position = 0.6
if long and (ret_20d < -0.1003 or close < sma_50 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.4%	26.4%	0.3%	5.9%
Total Return	11.7%	101.8%	1.1%	132.0%
Sharpe	0.22	1.72	0.08	0.67
Sortino	0.09	1.37	0.03	0.32
Calmar	0.10	4.76	0.03	0.42
Volatility	7.6%	14.2%	6.6%	9.2%
Max DD	-13.9%	-5.5%	-11.1%	-13.9%
Win Rate	39.0%	66.7%	46.2%	48.7%
Avg Win	3.0%	5.6%	2.4%	4.2%
Avg Loss	-1.6%	-1.6%	-1.8%	-1.7%
Payoff	1.87	3.44	1.30	2.56
Expectancy	0.2%	3.2%	0.1%	1.2%
Profit Factor	1.19	6.88	1.12	2.43
Trades	41	24	13	78
Avg Holding Days	3.9	4.9	3.8	4.3
Turnover	6.2	9.6	4.2	6.4
Exposure	3.8%	7.4%	2.4%	4.2%

Growth of $100

LongTermTrend_V1306 vs TSLA Buy & Hold

LongTermTrend_V1306 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	0.0%	0.00	0.0%	0
2017	-3.0%	-0.24	-9.1%	22
2018	0.0%	0.00	0.0%	0
2019	5.7%	1.31	-2.3%	0
2020	90.4%	3.04	-5.4%	16
2021	5.8%	0.59	-5.5%	7
2022	0.0%	0.00	0.0%	0

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	1.9%	0.11	20%
hidden test	EXTREME	48	17.7%	0.93	10%
hidden test	HIGH VOLATILITY	254	-2.1%	-1.02	0%
hidden test	LOW VOLATILITY	440	11.2%	2.10	2%
hidden test	MEDIUM VOLATILITY	250	-15.7%	-1.50	5%
hidden test	NORMAL	813	-0.6%	-0.57	0%
hidden test	SIDEWAYS	295	0.0%	0.00	0%
hidden test	UPTREND	371	1.3%	0.12	6%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.4%	0.42	19%
train	EXTREME	100	23.1%	1.60	16%
train	HIGH VOLATILITY	699	-0.4%	-0.05	1%
train	LOW VOLATILITY	745	4.0%	0.63	6%
train	MEDIUM VOLATILITY	568	1.3%	0.15	5%
train	NORMAL	1,601	-0.8%	-0.69	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	3.8%	0.33	9%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	30.9%	1.33	27%
validation	EXTREME	144	98.5%	4.31	13%
validation	HIGH VOLATILITY	258	21.4%	1.90	1%
validation	LOW VOLATILITY	183	9.5%	1.10	4%
validation	MEDIUM VOLATILITY	315	35.5%	1.93	14%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	43.4%	2.30	13%

Trades (full period)

78 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-11-10	2025-11-11	$445.23	$439.62	2.07%	2
2025-11-06	2025-11-07	$445.91	$429.52	-2.22%	2
2025-11-03	2025-11-05	$468.37	$462.07	-1.70%	3
2025-10-29	2025-10-30	$461.51	$440.10	0.01%	2
2025-10-24	2025-10-27	$433.72	$452.42	-2.16%	2
2025-10-22	2025-10-23	$438.97	$448.98	-0.61%	2
2025-10-20	2025-10-21	$447.43	$442.60	0.99%	2
2025-10-13	2025-10-14	$435.90	$429.24	3.13%	2
2025-10-09	2025-10-10	$435.54	$413.49	-0.55%	2
2025-10-07	2025-10-08	$433.09	$438.69	-2.79%	2
2025-09-15	2025-10-06	$410.04	$453.25	5.09%	16
2025-05-28	2025-06-02	$356.90	$342.69	-2.84%	4
2024-12-11	2024-12-23	$424.77	$430.60	3.09%	9
2021-02-10	2021-02-11	$268.27	$270.55	-3.27%	2
2021-02-05	2021-02-08	$284.08	$287.81	0.04%	2
2021-02-03	2021-02-04	$284.90	$283.33	-1.36%	2
2021-02-01	2021-02-02	$279.94	$290.93	3.38%	2
2021-01-28	2021-01-29	$278.48	$264.51	-2.11%	2
2021-01-26	2021-01-27	$294.36	$288.05	0.04%	2
2021-01-05	2021-01-25	$245.04	$293.60	9.48%	14
2020-12-31	2021-01-04	$235.22	$243.26	0.82%	2
2020-12-29	2020-12-30	$222.00	$231.59	0.09%	2
2020-12-24	2020-12-28	$220.59	$221.23	1.35%	2
2020-12-18	2020-12-23	$231.67	$215.33	-1.45%	4
2020-11-19	2020-12-17	$166.42	$218.63	16.23%	20
2020-10-26	2020-10-27	$140.09	$141.56	-0.17%	2
2020-10-22	2020-10-23	$141.93	$140.21	0.33%	2
2020-10-13	2020-10-20	$148.88	$140.65	-1.65%	6
2020-08-31	2020-09-01	$166.11	$158.35	7.42%	2
2020-08-26	2020-08-27	$143.54	$149.25	3.73%	2
2020-07-02	2020-07-06	$80.58	$91.44	4.65%	2
2020-06-30	2020-07-01	$71.99	$74.64	4.07%	2
2020-06-26	2020-06-29	$63.98	$67.29	-1.72%	2
2020-06-03	2020-06-25	$58.86	$65.73	5.47%	17
2020-06-01	2020-06-02	$59.87	$58.77	4.41%	2
2020-05-28	2020-05-29	$53.72	$55.67	-1.17%	2
2019-12-17	2020-01-31	$25.27	$43.37	36.98%	31
2017-10-09	2017-10-10	$22.86	$23.71	-2.46%	2
2017-10-05	2017-10-06	$23.69	$23.79	-0.07%	2
2017-09-18	2017-09-25	$25.67	$23.00	-4.69%	6
2017-08-15	2017-08-18	$24.16	$23.16	-2.08%	4
2017-08-04	2017-08-07	$23.79	$23.68	1.58%	2
2017-06-30	2017-07-03	$24.11	$23.51	0.02%	2
2017-06-28	2017-06-29	$24.75	$24.05	1.35%	2
2017-06-05	2017-06-27	$23.15	$24.16	6.46%	17
2017-05-17	2017-05-18	$20.41	$20.87	-2.18%	2
2017-05-12	2017-05-16	$21.65	$21.13	-1.46%	3
2017-05-08	2017-05-09	$20.48	$21.42	-0.35%	2
2017-05-02	2017-05-04	$21.26	$19.70	-2.32%	3
2017-04-28	2017-05-01	$20.94	$21.52	0.94%	2
2017-04-26	2017-04-27	$20.68	$20.58	-0.81%	2
2017-04-24	2017-04-25	$20.54	$20.92	0.36%	2
2017-04-20	2017-04-21	$20.17	$20.37	-0.71%	2
2017-03-28	2017-04-04	$18.50	$20.25	6.10%	6
2017-02-23	2017-02-24	$17.07	$17.13	-3.96%	2
2017-02-09	2017-02-22	$17.95	$18.23	3.40%	9
2017-02-07	2017-02-08	$17.17	$17.47	-0.19%	2
2017-02-03	2017-02-06	$16.76	$17.18	-0.17%	2
2017-01-25	2017-01-31	$16.96	$16.80	-1.06%	5
2014-03-24	2014-03-25	$14.68	$14.70	-2.40%	2
2014-03-20	2014-03-21	$15.66	$15.26	-0.36%	2
2014-02-13	2014-02-26	$13.31	$16.87	15.66%	9
2013-10-17	2013-10-18	$12.19	$12.23	-0.37%	2
2013-10-15	2013-10-16	$12.26	$12.24	1.29%	2
2013-10-11	2013-10-14	$11.91	$11.98	1.88%	2
2013-10-09	2013-10-10	$11.25	$11.53	-2.16%	2
2013-10-07	2013-10-08	$12.20	$11.65	0.57%	2
2013-09-23	2013-10-04	$12.07	$12.07	-3.37%	10
2013-09-19	2013-09-20	$11.86	$12.23	4.10%	2
2013-09-17	2013-09-18	$11.08	$11.08	-0.25%	2
2013-09-13	2013-09-16	$11.04	$11.11	0.10%	2
2013-09-11	2013-09-12	$10.90	$11.00	-1.15%	2
2013-09-09	2013-09-10	$10.71	$11.09	-2.37%	2
2013-07-02	2013-07-17	$7.85	$8.02	-4.00%	11
2013-06-28	2013-07-01	$7.16	$7.81	-1.16%	2
2013-04-30	2013-05-08	$3.60	$3.72	0.66%	7
2013-02-14	2013-02-15	$2.55	$2.47	-0.40%	2
2013-01-24	2013-02-12	$2.47	$2.53	3.90%	14