Strategy Zoo / S1327
LongTermTrend_V1327
ARCHIVEDhybridllmReduce exposure and remove redundant ret_20d stacking; add regime gates to only trade in uptrends and lower-to-medium volatility; replace brittle multiple ret_20d checks with a combined trend-or-breakout entry (200-day trend filter OR 20-day breakout momentum) plus RSI and distance-from-52w-high sanity checks; improve exits with SMA50 breakdown and clearer stop-loss (ret_20d < -5% or drawdown < -12%); add position scaling rules to cut size in high volatility or during drawdowns and to allow full size on strong breakout momentum.
Fitness
0.2846
Generation
61
Complexity
17
Created
2026-10-08
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1327 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or (breakout_20 > 0.0 and ret_20d > 0.03)) and rsi_14 < 70.0 and dist_52w_high < 0.5):
position = 0.7
if long and (close < sma_50 or ret_20d < -0.05 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.0% | 26.0% | -8.9% | 1.4% |
| Total Return | -14.8% | 99.9% | -29.4% | 22.7% |
| Sharpe | -0.07 | 1.27 | -0.72 | 0.17 |
| Sortino | -0.04 | 1.24 | -0.42 | 0.12 |
| Calmar | -0.06 | 1.22 | -0.27 | 0.03 |
| Volatility | 14.5% | 19.7% | 11.9% | 15.1% |
| Max DD | -34.8% | -21.2% | -33.1% | -41.7% |
| Win Rate | 40.0% | 41.2% | 37.7% | 39.8% |
| Avg Win | 2.4% | 5.1% | 1.6% | 3.2% |
| Avg Loss | -1.9% | -1.6% | -1.9% | -1.8% |
| Payoff | 1.24 | 3.27 | 0.88 | 1.77 |
| Expectancy | -0.2% | 1.2% | -0.5% | 0.2% |
| Profit Factor | 0.83 | 2.29 | 0.53 | 1.17 |
| Trades | 120 | 68 | 61 | 249 |
| Avg Holding Days | 4.0 | 3.5 | 2.8 | 3.7 |
| Turnover | 21.1 | 31.7 | 22.8 | 23.7 |
| Exposure | 13.3% | 15.6% | 8.3% | 12.5% |
Growth of $100
LongTermTrend_V1327 vs TSLA Buy & Hold
LongTermTrend_V1327 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 | -1.2% | -0.57 | -2.9% | 9 |
| 2017 | -2.2% | -0.06 | -14.4% | 23 |
| 2018 | -15.4% | -1.66 | -15.3% | 4 |
| 2019 | 18.2% | 2.31 | -2.6% | 5 |
| 2020 | 58.1% | 2.54 | -7.3% | 15 |
| 2021 | 23.0% | 0.89 | -21.2% | 41 |
| 2022 | 0.3% | 0.07 | -7.3% | 11 |
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 | 17.7% | 0.67 | 35% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.1% | -1.03 | 0% |
| hidden test | LOW VOLATILITY | 440 | -1.9% | -0.17 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.8% | -1.39 | 15% |
| hidden test | NORMAL | 813 | -11.8% | -1.21 | 6% |
| hidden test | SIDEWAYS | 295 | -6.7% | -1.64 | 2% |
| hidden test | UPTREND | 371 | -16.4% | -0.88 | 20% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 18.6% | 0.78 | 29% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -0.8% | -0.06 | 2% |
| train | LOW VOLATILITY | 745 | 9.2% | 0.68 | 21% |
| train | MEDIUM VOLATILITY | 568 | -14.6% | -0.89 | 17% |
| train | NORMAL | 1,601 | -5.3% | -0.44 | 11% |
| train | SIDEWAYS | 592 | -5.5% | -0.96 | 1% |
| train | UPTREND | 902 | 1.4% | 0.07 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 75.0% | 2.74 | 42% |
| validation | EXTREME | 144 | 37.2% | 2.85 | 2% |
| validation | HIGH VOLATILITY | 258 | 7.4% | 0.46 | 1% |
| validation | LOW VOLATILITY | 183 | 6.2% | 0.51 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 50.4% | 2.01 | 24% |
| validation | NORMAL | 474 | 6.7% | 0.36 | 12% |
| validation | SIDEWAYS | 206 | -1.5% | -1.41 | 0% |
| validation | UPTREND | 425 | 45.2% | 1.73 | 28% |
Trades (full period)
latest 100 of 249
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.64% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.18% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.78% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.54% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.48% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.57% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.39% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.29% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.45% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.13% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.87% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.34% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.65% | 2 | |
| 2025-10-14 | 2025-11-14 | $429.24 | $404.35 | -5.41% | 24 | |
| 2025-09-26 | 2025-10-13 | $440.40 | $435.90 | -1.64% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.01% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.16% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -3.42% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.13% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.16% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 1.57% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -2.25% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -0.85% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -6.28% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.13% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.90% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.05% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -2.15% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.74% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.27% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.95% | 2 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.18% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 5.24% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 2.46% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 0.96% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 4.99% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -2.12% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.80% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.22% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.63% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 2.12% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.52% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.24% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -3.06% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.61% | 2 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -1.03% | 2 | |
| 2021-12-27 | 2021-12-30 | $364.65 | $356.78 | 1.12% | 4 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 5.10% | 2 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.59% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -3.66% | 2 | |
| 2021-12-14 | 2021-12-15 | $319.50 | $325.33 | -0.71% | 2 | |
| 2021-12-10 | 2021-12-13 | $339.01 | $322.14 | 0.78% | 2 | |
| 2021-12-08 | 2021-12-09 | $356.32 | $334.60 | 1.00% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.55% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.80% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.34% | 2 | |
| 2021-11-23 | 2021-11-29 | $369.68 | $379.00 | -4.69% | 4 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 21.92% | 28 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.54% | 4 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 1.79% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.05% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.84% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -1.86% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.05% | 2 | |
| 2021-09-03 | 2021-09-07 | $244.52 | $250.97 | -0.03% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.29% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.73% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.13% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.08% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.72% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.23% | 2 |