Strategy Zoo / S1307
LongTermTrend_V1307
ARCHIVEDhybridllmAdded regime gates to require UPTREND, LOW_VOLATILITY and NORMAL bubble to reduce overtrading; simplified and pruned entry signals (kept strong trend/breakout/macd/ret_20d triggers) and tightened macd_hist threshold to -1.5 to avoid weak momentum entries; improved exit to include macd_hist<0 OR price falling below sma_20 OR large drawdown to cut losses earlier; added volatility- and trend-slope-based position sizing (reduce size when vol_pctile>0.8 or sma_50_slope<0); lowered base_position from 1.0 to 0.8 to reduce risk and overfitting.
Fitness
0.4625
Generation
60
Complexity
18
Created
2026-10-08
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.0705; changed dist_sma_50 threshold -0.0774 -> -0.1429
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1307 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.04 or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.3)) and sma_20 < close and macd_hist > -1.5):
position = 0.8
if long and (macd_hist < 0.0 or sma_20 > close or drawdown < -0.25):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.5% | 62.2% | 7.5% | 16.5% |
| Total Return | 65.6% | 326.5% | 31.2% | 848.3% |
| Sharpe | 0.37 | 1.50 | 0.43 | 0.68 |
| Sortino | 0.39 | 1.77 | 0.46 | 0.74 |
| Calmar | 0.12 | 2.01 | 0.24 | 0.31 |
| Volatility | 26.5% | 36.8% | 22.4% | 28.0% |
| Max DD | -53.3% | -31.0% | -31.8% | -53.3% |
| Win Rate | 42.7% | 50.6% | 49.1% | 46.5% |
| Avg Win | 4.1% | 6.3% | 2.5% | 4.0% |
| Avg Loss | -2.3% | -2.4% | -2.0% | -2.2% |
| Payoff | 1.76 | 2.60 | 1.25 | 1.81 |
| Expectancy | 0.4% | 2.0% | 0.2% | 0.7% |
| Profit Factor | 1.31 | 2.66 | 1.21 | 1.57 |
| Trades | 220 | 89 | 173 | 482 |
| Avg Holding Days | 5.0 | 4.7 | 2.6 | 4.1 |
| Turnover | 44.2 | 47.5 | 74.1 | 52.4 |
| Exposure | 35.1% | 34.4% | 23.1% | 31.9% |
Growth of $100
LongTermTrend_V1307 vs TSLA Buy & Hold
LongTermTrend_V1307 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 | 9.0% | 0.68 | -11.1% | 18 |
| 2017 | 9.2% | 0.56 | -14.6% | 27 |
| 2018 | -22.9% | -0.98 | -29.8% | 20 |
| 2019 | -11.8% | -0.40 | -29.9% | 35 |
| 2020 | 248.4% | 2.68 | -31.0% | 33 |
| 2021 | 22.9% | 0.88 | -19.0% | 27 |
| 2022 | -10.6% | -0.41 | -24.6% | 28 |
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 | -0.8% | -0.04 | 17% |
| hidden test | EXPENSIVE | 83 | 72.5% | 1.98 | 37% |
| hidden test | EXTREME | 48 | 136.2% | 3.70 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 25.7% | 0.92 | 21% |
| hidden test | LOW VOLATILITY | 440 | 25.9% | 1.34 | 25% |
| hidden test | MEDIUM VOLATILITY | 250 | -35.1% | -1.68 | 22% |
| hidden test | NORMAL | 813 | -4.2% | -0.22 | 21% |
| hidden test | SIDEWAYS | 295 | -31.8% | -1.64 | 24% |
| hidden test | UPTREND | 371 | 50.6% | 1.91 | 27% |
| train | DOWNTREND | 518 | -29.8% | -1.62 | 15% |
| train | EXPENSIVE | 311 | 32.4% | 1.12 | 49% |
| train | EXTREME | 100 | 281.4% | 4.92 | 67% |
| train | HIGH VOLATILITY | 699 | 16.3% | 0.46 | 35% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.03 | 38% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.44 | 31% |
| train | NORMAL | 1,601 | -11.5% | -0.52 | 30% |
| train | SIDEWAYS | 592 | 3.6% | 0.15 | 36% |
| train | UPTREND | 902 | 36.7% | 1.15 | 47% |
| validation | DOWNTREND | 125 | 30.0% | 1.73 | 6% |
| validation | EXPENSIVE | 138 | 29.9% | 0.82 | 39% |
| validation | EXTREME | 144 | 221.2% | 3.65 | 59% |
| validation | HIGH VOLATILITY | 258 | 46.7% | 0.97 | 30% |
| validation | LOW VOLATILITY | 183 | 25.3% | 1.35 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 79.2% | 2.34 | 36% |
| validation | NORMAL | 474 | 11.9% | 0.48 | 26% |
| validation | SIDEWAYS | 206 | -7.5% | -0.29 | 28% |
| validation | UPTREND | 425 | 92.7% | 2.09 | 46% |
Trades (full period)
latest 100 of 483
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-06 | — | $380.68 | — | -0.27% | 2 | OPEN |
| 2026-09-21 | 2026-09-29 | $375.30 | $352.84 | -1.63% | 7 | |
| 2026-09-17 | 2026-09-18 | $366.20 | $364.27 | 1.65% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.58% | 2 | |
| 2026-09-09 | 2026-09-11 | $367.81 | $365.44 | -1.16% | 3 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -0.76% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.55% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 1.92% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.14% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 3.95% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -2.71% | 2 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -5.07% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 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 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 5.09% | 26 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 5.37% | 21 | |
| 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 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-11 | 2025-10-06 | $368.81 | $453.25 | 18.48% | 18 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.75% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.10% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.43% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.04% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.21% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-27 | 2025-05-29 | $362.89 | $358.43 | 4.00% | 3 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.24% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.51% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.10% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.33% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.56% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 1.75% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -2.86% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.10% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -5.97% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -4.62% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.57% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 13.06% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.32% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.60% | 2 | |
| 2024-11-08 | 2024-11-29 | $321.22 | $345.16 | 9.66% | 15 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 11.63% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.13% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -2.55% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.07% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 2.51% | 2 | |
| 2024-10-04 | 2024-10-07 | $250.08 | $240.83 | 2.97% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -2.95% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.03% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.21% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.02% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.43% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 3.50% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-21 | 2024-08-22 | $223.27 | $210.66 | 0.62% | 2 | |
| 2024-08-19 | 2024-08-20 | $222.72 | $221.10 | 2.28% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 3.95% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.07% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.08% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.23% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-21 | 2024-06-24 | $183.01 | $182.58 | 0.47% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.27% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -2.94% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.29% | 2 |