Strategy Zoo / S1311
LongTermTrend_V1311
ARCHIVEDhybridllmAdded 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)
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 cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.5% | 46.0% | -6.6% | 13.4% |
| Total Return | 155.8% | 211.4% | -22.5% | 533.9% |
| Sharpe | 0.57 | 1.14 | -0.15 | 0.57 |
| Sortino | 0.60 | 1.23 | -0.14 | 0.59 |
| Calmar | 0.28 | 1.23 | -0.17 | 0.30 |
| Volatility | 26.6% | 40.3% | 24.8% | 29.5% |
| Max DD | -44.8% | -37.6% | -38.9% | -44.8% |
| Win Rate | 47.5% | 54.2% | 47.1% | 48.9% |
| Avg Win | 3.5% | 4.5% | 2.6% | 3.6% |
| Avg Loss | -2.1% | -2.8% | -2.5% | -2.4% |
| Payoff | 1.67 | 1.59 | 1.05 | 1.51 |
| Expectancy | 0.5% | 1.1% | -0.1% | 0.5% |
| Profit Factor | 1.51 | 1.88 | 0.94 | 1.45 |
| Trades | 255 | 131 | 174 | 560 |
| Avg Holding Days | 3.6 | 3.2 | 2.3 | 3.1 |
| Turnover | 57.6 | 78.6 | 83.8 | 68.5 |
| Exposure | 30.5% | 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
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | 12.3% | 1.03 | -10.4% | 34 |
| 2017 | 7.3% | 0.45 | -11.8% | 32 |
| 2018 | -14.9% | -0.56 | -21.6% | 17 |
| 2019 | 18.1% | 0.89 | -20.4% | 28 |
| 2020 | 178.2% | 2.01 | -32.6% | 46 |
| 2021 | 16.8% | 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
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 278 | 1.7% | 0.09 | 13% |
| hidden test | EXPENSIVE | 83 | 30.6% | 0.73 | 39% |
| hidden test | EXTREME | 48 | 80.7% | 2.11 | 39% |
| hidden test | HIGH VOLATILITY | 254 | -27.0% | -0.79 | 22% |
| hidden test | LOW VOLATILITY | 440 | 25.4% | 1.33 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -31.3% | -1.43 | 18% |
| hidden test | NORMAL | 813 | -12.2% | -0.58 | 19% |
| hidden test | SIDEWAYS | 295 | -24.1% | -1.13 | 22% |
| hidden test | UPTREND | 371 | 8.4% | 0.27 | 28% |
| train | DOWNTREND | 518 | -2.8% | -0.23 | 8% |
| train | EXPENSIVE | 311 | 35.8% | 1.14 | 51% |
| train | EXTREME | 100 | 313.3% | 4.87 | 75% |
| train | HIGH VOLATILITY | 699 | 33.4% | 0.95 | 30% |
| train | LOW VOLATILITY | 745 | 14.2% | 0.76 | 34% |
| train | MEDIUM VOLATILITY | 568 | -5.7% | -0.25 | 26% |
| train | NORMAL | 1,601 | -7.4% | -0.36 | 24% |
| train | SIDEWAYS | 592 | 4.4% | 0.23 | 26% |
| train | UPTREND | 902 | 32.7% | 0.93 | 46% |
| validation | DOWNTREND | 125 | 35.2% | 1.81 | 6% |
| validation | EXPENSIVE | 138 | 42.5% | 0.95 | 43% |
| validation | EXTREME | 144 | 195.3% | 2.84 | 64% |
| validation | HIGH VOLATILITY | 258 | 27.0% | 0.50 | 31% |
| validation | LOW VOLATILITY | 183 | 21.0% | 1.10 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 76.1% | 2.12 | 38% |
| validation | NORMAL | 474 | 1.6% | 0.07 | 24% |
| validation | SIDEWAYS | 206 | -15.9% | -0.88 | 20% |
| validation | UPTREND | 425 | 79.2% | 1.55 | 51% |
Trades (full period)
latest 100 of 561
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.77% | 1 | OPEN |
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -3.72% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.70% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.68% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.65% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.78% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.29% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.27% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 4.70% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.08% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.63% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.79% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.97% | 3 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.19% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.84% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.58% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.75% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.54% | 8 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.98% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.21% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.00% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.88% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.46% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.32% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.59% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.24% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.55% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.83% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.18% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 4.20% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.43% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.32% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.02% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.33% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.71% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.56% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.66% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.07% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.19% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.30% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.88% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.39% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.50% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.59% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.37% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.16% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.21% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.06% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.55% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.27% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.70% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.48% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.89% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.62% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.76% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 1.96% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.22% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.11% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -4.62% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -6.72% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -5.65% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.15% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.77% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.69% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.49% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 2.93% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.60% | 2 | |
| 2024-11-22 | 2024-11-26 | $352.56 | $338.23 | -0.44% | 3 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.21% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 4.87% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.37% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -5.71% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.18% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 13.08% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.40% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -2.87% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.20% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 2.83% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.20% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.42% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.03% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.79% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.25% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 6.44% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.25% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.60% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.08% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.26% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.83% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -3.80% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.00% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.42% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -7.77% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.16% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.69% | 2 |