Strategy Zoo / S1311

LongTermTrend_V1311

ARCHIVEDhybrid

llmAdded regime gating to require UPTREND and non-extreme bubble (reduce trades in adverse macro states). Introduced volatility-based position scaling (vol_pctile >0.8 -> 0.5, >0.5 ->0.8) and a breakout scale-up (breakout_50 with high rel_volume -> full position). Replaced simple exit with a conservative multi-exit: exit on negative macd_hist OR close below sma_50 OR drawdown worse than -15% to limit large drawdowns.

Fitness
0.4273
Generation
60
Complexity
26
Created
2026-10-08

Lineage

Parents (1)
LongTermTrend_V0521S0521 · gen 24ARCHIVEDllm

entry = LongTermTrend_V0469 OR MACDMomentum_V0272

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1311  [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541) 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)))):
    position = 0.9
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.15):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR12.5%46.0%-6.6%13.4%
Total Return155.8%211.4%-22.5%533.9%
Sharpe0.571.14-0.150.57
Sortino0.601.23-0.140.59
Calmar0.281.23-0.170.30
Volatility26.6%40.3%24.8%29.5%
Max DD-44.8%-37.6%-38.9%-44.8%
Win Rate47.5%54.2%47.1%48.9%
Avg Win3.5%4.5%2.6%3.6%
Avg Loss-2.1%-2.8%-2.5%-2.4%
Payoff1.671.591.051.51
Expectancy0.5%1.1%-0.1%0.5%
Profit Factor1.511.880.941.45
Trades255131174560
Avg Holding Days3.63.22.33.1
Turnover57.678.683.868.5
Exposure30.5%34.8%21.6%29.1%

Growth of $100

LongTermTrend_V1311 vs TSLA Buy & Hold
LongTermTrend_V1311 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
YearCAGRSharpeMax DDTrades
201612.3%1.03-10.4%34
20177.3%0.45-11.8%32
2018-14.9%-0.56-21.6%17
201918.1%0.89-20.4%28
2020178.2%2.01-32.6%46
202116.8%0.68-20.8%51
2022-4.4%-0.11-21.0%32

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2781.7%0.0913%
hidden testEXPENSIVE8330.6%0.7339%
hidden testEXTREME4880.7%2.1139%
hidden testHIGH VOLATILITY254-27.0%-0.7922%
hidden testLOW VOLATILITY44025.4%1.3323%
hidden testMEDIUM VOLATILITY250-31.3%-1.4318%
hidden testNORMAL813-12.2%-0.5819%
hidden testSIDEWAYS295-24.1%-1.1322%
hidden testUPTREND3718.4%0.2728%
trainDOWNTREND518-2.8%-0.238%
trainEXPENSIVE31135.8%1.1451%
trainEXTREME100313.3%4.8775%
trainHIGH VOLATILITY69933.4%0.9530%
trainLOW VOLATILITY74514.2%0.7634%
trainMEDIUM VOLATILITY568-5.7%-0.2526%
trainNORMAL1,601-7.4%-0.3624%
trainSIDEWAYS5924.4%0.2326%
trainUPTREND90232.7%0.9346%
validationDOWNTREND12535.2%1.816%
validationEXPENSIVE13842.5%0.9543%
validationEXTREME144195.3%2.8464%
validationHIGH VOLATILITY25827.0%0.5031%
validationLOW VOLATILITY18321.0%1.1034%
validationMEDIUM VOLATILITY31576.1%2.1238%
validationNORMAL4741.6%0.0724%
validationSIDEWAYS206-15.9%-0.8820%
validationUPTREND42579.2%1.5551%

Trades (full period)

latest 100 of 561
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-0.77%1OPEN
2026-09-282026-09-29$357.45$352.84-3.72%2
2026-09-242026-09-25$377.94$372.11-0.70%2
2026-09-222026-09-23$378.90$380.120.68%2
2026-09-182026-09-21$364.27$375.30-0.65%2
2026-09-152026-09-16$356.58$358.08-0.78%2
2026-09-112026-09-14$365.44$358.970.29%2
2026-09-092026-09-10$367.81$363.56-0.27%2
2026-09-032026-09-04$376.37$354.084.70%2
2026-09-012026-09-02$356.09$357.01-3.08%2
2026-08-242026-08-25$348.95$350.25-3.63%2
2026-07-072026-07-08$402.90$394.06-3.79%2
2026-07-012026-07-06$425.30$419.77-5.97%3
2026-06-032026-06-04$423.70$418.45-0.19%2
2026-05-272026-06-02$440.36$423.74-3.84%5
2026-05-222026-05-26$426.01$433.591.58%2
2026-05-202026-05-21$417.26$417.852.75%2
2026-05-082026-05-19$428.35$404.11-0.54%8
2026-05-062026-05-07$398.73$411.791.98%2
2026-05-042026-05-05$392.51$389.370.21%2
2026-04-202026-04-21$392.50$386.42-2.00%2
2026-04-162026-04-17$388.90$400.62-0.88%2
2025-12-042025-12-30$454.53$454.432.46%18
2025-11-062025-11-07$445.91$429.52-3.32%2
2025-11-032025-11-05$468.37$462.07-2.59%3
2025-10-242025-10-27$433.72$452.42-3.24%2
2025-10-142025-10-15$429.24$435.15-1.55%2
2025-10-092025-10-10$435.54$413.49-0.83%2
2025-10-072025-10-08$433.09$438.69-4.18%2
2025-09-162025-10-06$421.62$453.254.20%15
2025-09-122025-09-15$395.94$410.046.43%2
2025-09-102025-09-11$347.79$368.810.03%2
2025-09-082025-09-09$346.40$346.97-1.32%2
2025-09-042025-09-05$338.53$350.841.02%2
2025-08-292025-09-02$333.87$329.36-3.33%2
2025-08-272025-08-28$349.60$345.98-0.71%2
2025-08-252025-08-26$346.60$351.671.56%2
2025-08-202025-08-21$323.90$320.11-1.66%2
2025-08-182025-08-19$335.16$329.311.07%2
2025-08-142025-08-15$335.58$330.56-1.19%2
2025-08-122025-08-13$340.84$339.380.30%2
2025-08-082025-08-11$329.65$339.031.88%2
2025-07-292025-07-30$321.20$319.04-1.39%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.50%2
2025-06-252025-06-26$327.55$325.78-3.59%2
2025-06-042025-06-05$332.05$284.70-3.37%2
2025-06-022025-06-03$342.69$344.27-1.16%2
2025-05-292025-05-30$358.43$346.460.21%2
2025-05-272025-05-28$362.89$356.906.06%2
2025-05-222025-05-23$341.04$339.341.55%2
2025-05-202025-05-21$343.82$334.620.27%2
2025-05-162025-05-19$349.98$342.091.70%2
2025-05-142025-05-15$347.68$342.823.48%2
2025-05-122025-05-13$318.38$334.075.89%2
2025-05-082025-05-09$284.82$298.262.62%2
2025-05-062025-05-07$275.35$276.22-1.76%2
2025-05-022025-05-05$287.21$280.261.96%2
2025-04-302025-05-01$282.16$280.52-3.22%2
2025-04-282025-04-29$285.88$292.030.11%2
2025-04-162025-04-17$241.55$241.37-4.62%2
2025-04-102025-04-11$252.40$252.31-6.72%2
2025-01-062025-01-07$411.05$394.36-0.05%2
2025-01-022025-01-03$379.28$410.44-5.65%2
2024-12-302024-12-31$417.41$403.84-3.15%2
2024-12-262024-12-27$454.13$431.66-1.77%2
2024-12-062024-12-24$389.22$462.2814.69%13
2024-12-042024-12-05$357.93$369.491.49%2
2024-12-022024-12-03$357.09$351.422.93%2
2024-11-272024-11-29$332.89$345.16-1.60%2
2024-11-222024-11-26$352.56$338.23-0.44%3
2024-11-202024-11-21$342.03$339.64-1.21%2
2024-11-182024-11-19$338.74$346.004.87%2
2024-11-142024-11-15$311.18$320.72-5.37%2
2024-11-122024-11-13$328.49$330.24-5.71%2
2024-11-082024-11-11$321.22$350.007.18%2
2024-11-062024-11-07$288.53$296.9113.08%2
2024-11-042024-11-05$242.84$251.44-2.40%2
2024-10-312024-11-01$249.85$248.98-2.87%2
2024-10-292024-10-30$259.52$257.55-1.20%2
2024-10-252024-10-28$269.19$262.512.83%2
2024-10-032024-10-04$240.66$250.08-3.20%2
2024-10-012024-10-02$258.02$249.02-1.42%2
2024-09-272024-09-30$260.46$261.632.03%2
2024-09-252024-09-26$257.02$254.220.79%2
2024-09-232024-09-24$250.00$254.274.25%2
2024-09-192024-09-20$243.92$238.256.44%2
2024-09-172024-09-18$227.87$227.200.25%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.60%2
2024-09-062024-09-09$210.73$216.27-7.77%2
2024-08-262024-08-27$213.21$209.21-3.08%2
2024-08-222024-08-23$210.66$220.32-5.26%2
2024-08-202024-08-21$221.10$223.27-0.83%2
2024-07-192024-07-22$239.20$251.51-3.80%2
2024-07-172024-07-18$248.50$249.23-3.00%2
2024-07-152024-07-16$252.64$256.561.42%2
2024-07-112024-07-12$241.03$248.23-7.77%2
2024-07-092024-07-10$262.33$263.263.16%2
2024-07-052024-07-08$251.52$252.941.69%2