Strategy Zoo / S1308
LongTermTrend_V1308
ARCHIVEDhybridllmSimplified and regularized entry: require SMA50> SMA200 and price> SMA50, plus MACD momentum or breakout with moderate vol increase; tightened slope filter. Added robust multi-condition exit (MACD flip OR 5d pullback OR 12% drawdown) to limit large declines. Introduced regime gates to allow only up/sideways markets and low/medium volatility and avoid extreme bubble states. Added position scaling rules: reduce size near 52w highs and when volatility percentile is medium/high. These structural changes aim to improve robustness and reduce overfitting.
Fitness
0.4334
Generation
60
Complexity
16
Created
2026-10-08
Lineage
Parents (1)
changed vol_chg threshold 0.0238 -> 0.2681
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1308 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (sma_50 > sma_200 and close > sma_50 and (macd_hist > 0.0 or (breakout_50 == 1 and vol_chg > 0.15)) and sma_200_slope > -0.0005):
position = 1.0
if long and (macd_hist < 0.0 or ret_5d < -0.05 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.6% | 41.2% | -4.4% | 8.9% |
| Total Return | 43.6% | 181.6% | -15.6% | 251.4% |
| Sharpe | 0.37 | 1.50 | -0.23 | 0.57 |
| Sortino | 0.22 | 1.24 | -0.11 | 0.36 |
| Calmar | 0.16 | 2.08 | -0.18 | 0.31 |
| Volatility | 15.5% | 25.1% | 15.0% | 17.8% |
| Max DD | -29.1% | -19.8% | -24.6% | -29.1% |
| Win Rate | 36.6% | 52.6% | 41.7% | 41.7% |
| Avg Win | 7.9% | 15.1% | 2.2% | 10.1% |
| Avg Loss | -3.3% | -3.2% | -3.8% | -3.4% |
| Payoff | 2.35 | 4.74 | 0.57 | 2.99 |
| Expectancy | 0.8% | 6.4% | -1.3% | 2.2% |
| Profit Factor | 1.36 | 5.27 | 0.41 | 2.14 |
| Trades | 41 | 19 | 12 | 72 |
| Avg Holding Days | 6.6 | 8.0 | 9.9 | 7.7 |
| Turnover | 10.4 | 12.7 | 6.4 | 9.8 |
| Exposure | 12.1% | 17.6% | 11.3% | 13.0% |
Growth of $100
LongTermTrend_V1308 vs TSLA Buy & Hold
LongTermTrend_V1308 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 | -1.9% | -0.59 | -2.0% | 1 |
| 2017 | 6.2% | 0.43 | -12.7% | 14 |
| 2018 | -4.1% | -0.63 | -7.6% | 2 |
| 2019 | 16.2% | 1.61 | -3.8% | 0 |
| 2020 | 68.8% | 2.13 | -11.1% | 6 |
| 2021 | 25.6% | 0.95 | -19.8% | 11 |
| 2022 | 13.1% | 0.90 | -10.6% | 1 |
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 | -9.3% | -0.46 | 18% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.3% | -0.11 | 1% |
| hidden test | LOW VOLATILITY | 440 | 2.2% | 0.17 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.4% | -0.75 | 15% |
| hidden test | NORMAL | 813 | -3.0% | -0.20 | 11% |
| hidden test | SIDEWAYS | 295 | -10.7% | -0.57 | 19% |
| hidden test | UPTREND | 371 | -0.1% | -0.01 | 13% |
| train | DOWNTREND | 518 | -1.0% | -0.77 | 0% |
| train | EXPENSIVE | 311 | 46.4% | 1.88 | 27% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 13.6% | 0.95 | 1% |
| train | LOW VOLATILITY | 745 | 10.5% | 0.66 | 22% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.62 | 12% |
| train | NORMAL | 1,601 | -2.6% | -0.19 | 10% |
| train | SIDEWAYS | 592 | 4.0% | 0.35 | 10% |
| train | UPTREND | 902 | 10.7% | 0.50 | 20% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 106.6% | 3.01 | 35% |
| validation | EXTREME | 144 | 38.4% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | 1.3% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | 22.9% | 1.51 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 75.8% | 2.28 | 27% |
| validation | NORMAL | 474 | 17.3% | 0.74 | 17% |
| validation | SIDEWAYS | 206 | 5.3% | 0.31 | 15% |
| validation | UPTREND | 425 | 64.3% | 2.06 | 24% |
Trades (full period)
72 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-17 | 2025-10-06 | $425.86 | $453.25 | 1.74% | 14 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 9.46% | 6 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 26.78% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-06-24 | 2021-07-08 | $226.61 | $217.60 | -2.01% | 10 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -6.87% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -5.88% | 6 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.05% | 4 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.65% | 5 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 24.46% | 6 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.82% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 45.05% | 14 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 51.83% | 26 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.46% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 10.40% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 16.94% | 8 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -2.68% | 4 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.27% | 2 | |
| 2016-08-02 | 2016-08-09 | $15.15 | $15.27 | -1.87% | 6 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -1.09% | 4 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 8.14% | 28 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 26.72% | 9 | |
| 2014-01-03 | 2014-01-10 | $9.97 | $9.71 | -1.91% | 6 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.95% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 15.80% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.87% | 2 | |
| 2012-06-29 | 2012-07-02 | $2.09 | $2.03 | -0.58% | 2 | |
| 2012-06-27 | 2012-06-28 | $2.13 | $2.09 | 0.91% | 2 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 5.91% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.73% | 10 |