LongTermTrend_V1332

ARCHIVEDhybrid

llmSimplified and regularized entry: require price above SMA50, positive SMA50 slope, moderate 20d momentum, positive MACD histogram, and not extreme volatility (vol_pctile < 0.85) to reduce overfitting and avoid choppy/high-vol markets. Stronger, multi-condition exits: exit on price dropping below SMA50, a portfolio-style drawdown threshold (drawdown > 12%), or short-term deterioration (ret_5d < -4%) to improve risk control. Added regime gates: only operate in UPTREND regime, avoid bubble/expensive regimes and very high volatility. Reduced base position to 0.6 to lower risk/turnover.

Fitness

0.3906

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

LongTermTrend_V1216S1216 · gen 56ELITEllm

entry from LongTermTrend_V0909, exit from PriceMomentum_V0690

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1332  [hybrid]
if flat and (close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.03 and macd_hist > 0.0 and vol_pctile < 0.85):
    position = 0.6
if long and (close < sma_50 or drawdown > 0.12 or ret_5d < -0.04):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	9.2%	24.2%	2.5%	10.4%
Total Return	101.8%	91.6%	9.7%	331.7%
Sharpe	0.65	1.09	0.25	0.68
Sortino	0.52	0.95	0.15	0.52
Calmar	0.33	0.70	0.13	0.26
Volatility	15.2%	22.0%	14.2%	16.6%
Max DD	-27.7%	-34.7%	-18.7%	-40.1%
Win Rate	48.3%	38.9%	44.4%	44.6%
Avg Win	9.3%	17.6%	7.4%	11.2%
Avg Loss	-3.6%	-4.0%	-4.4%	-4.0%
Payoff	2.58	4.42	1.66	2.82
Expectancy	2.6%	4.4%	0.8%	2.8%
Profit Factor	2.41	2.81	1.33	2.27
Trades	29	18	18	65
Avg Holding Days	17.4	12.3	9.9	14.1
Turnover	4.4	7.2	5.9	5.3
Exposure	14.5%	16.1%	10.2%	13.7%

Growth of $100

LongTermTrend_V1332 vs TSLA Buy & Hold

LongTermTrend_V1332 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	2.2%	0.37	-6.7%	2
2017	12.1%	0.92	-9.0%	6
2018	-8.4%	-1.46	-9.0%	3
2019	4.4%	0.34	-14.6%	3
2020	114.4%	2.54	-16.0%	6
2021	22.4%	1.23	-11.2%	4
2022	-27.3%	-3.40	-27.2%	8

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	28.9%	1.45	21%
hidden test	EXTREME	48	34.4%	1.75	14%
hidden test	HIGH VOLATILITY	254	-16.8%	-1.12	6%
hidden test	LOW VOLATILITY	440	23.6%	2.01	11%
hidden test	MEDIUM VOLATILITY	250	-11.4%	-0.68	13%
hidden test	NORMAL	813	-0.9%	-0.07	9%
hidden test	SIDEWAYS	295	-11.2%	-1.06	9%
hidden test	UPTREND	371	17.8%	0.87	19%
train	DOWNTREND	518	1.6%	0.74	1%
train	EXPENSIVE	311	15.1%	0.79	27%
train	EXTREME	100	119.0%	3.13	32%
train	HIGH VOLATILITY	699	17.6%	0.88	8%
train	LOW VOLATILITY	745	16.4%	1.37	25%
train	MEDIUM VOLATILITY	568	-8.1%	-0.69	9%
train	NORMAL	1,601	2.1%	0.19	11%
train	SIDEWAYS	592	-6.7%	-0.75	6%
train	UPTREND	902	25.6%	1.19	28%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	31.2%	1.35	25%
validation	EXTREME	144	120.7%	3.15	26%
validation	HIGH VOLATILITY	258	24.3%	0.87	10%
validation	LOW VOLATILITY	183	17.3%	1.44	21%
validation	MEDIUM VOLATILITY	315	27.8%	1.33	18%
validation	NORMAL	474	-7.4%	-0.58	10%
validation	SIDEWAYS	206	-12.2%	-1.95	3%
validation	UPTREND	425	48.7%	1.68	27%

Trades (full period)

66 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-10-07	—	$377.81	—	-0.51%	1	OPEN
2026-05-28	2026-06-05	$442.10	$391.00	-3.10%	7
2026-05-20	2026-05-21	$417.26	$417.85	1.83%	2
2026-05-14	2026-05-19	$443.30	$404.11	-4.91%	4
2025-12-12	2025-12-30	$458.96	$454.43	1.68%	12
2025-11-04	2025-11-10	$444.26	$445.23	-5.10%	5
2025-09-08	2025-10-09	$346.40	$435.54	14.58%	24
2025-08-25	2025-09-03	$346.60	$334.09	-1.98%	7
2025-05-16	2025-06-04	$349.98	$332.05	0.23%	13
2024-12-09	2024-12-24	$389.79	$462.28	6.38%	12
2024-09-11	2024-10-04	$228.13	$250.08	3.82%	18
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-08-22	2024-08-23	$210.66	$220.32	-3.51%	2
2024-07-19	2024-07-25	$239.20	$220.25	-8.10%	5
2024-06-18	2024-07-18	$184.86	$249.23	18.75%	21
2023-07-06	2023-07-21	$276.54	$260.02	-4.18%	12
2023-05-31	2023-06-27	$203.93	$250.21	11.59%	19
2023-04-03	2023-04-06	$194.77	$185.06	-6.54%	4
2023-02-10	2023-02-23	$196.89	$202.07	-1.81%	9
2022-09-20	2022-09-23	$308.73	$275.33	-4.12%	4
2022-08-16	2022-08-23	$306.56	$296.45	-3.92%	6
2022-08-11	2022-08-12	$286.63	$300.03	-1.69%	2
2022-08-02	2022-08-10	$300.59	$294.36	-2.89%	7
2022-04-08	2022-04-11	$341.83	$325.31	-1.92%	2
2022-04-05	2022-04-07	$363.75	$352.42	-5.38%	3
2022-01-13	2022-01-14	$343.85	$349.87	-4.17%	2
2022-01-04	2022-01-07	$383.20	$342.32	-6.97%	4
2021-09-01	2021-11-10	$244.70	$355.98	22.55%	50
2021-08-03	2021-08-18	$236.58	$229.66	-3.83%	12
2021-01-20	2021-02-01	$283.48	$279.94	-3.72%	9
2021-01-05	2021-01-19	$245.04	$281.52	7.88%	10
2020-11-19	2020-12-29	$166.42	$222.00	20.92%	27
2020-10-15	2020-10-21	$149.63	$140.88	-5.30%	5
2020-08-18	2020-09-04	$125.81	$139.44	6.77%	14
2020-07-02	2020-07-27	$80.58	$102.64	15.78%	17
2020-06-03	2020-06-29	$58.86	$67.29	5.41%	19
2019-12-17	2020-02-12	$25.27	$51.15	55.06%	39
2019-10-16	2019-11-04	$17.32	$21.16	12.75%	14
2019-09-12	2019-09-25	$16.39	$15.25	-5.95%	10
2019-07-22	2019-07-26	$17.05	$15.20	-6.85%	5
2018-12-11	2018-12-18	$24.45	$22.47	-2.84%	6
2018-03-14	2018-03-15	$21.78	$21.71	-2.79%	2
2018-01-22	2018-02-06	$23.44	$22.26	-3.00%	12
2017-09-18	2017-09-25	$25.67	$23.00	-4.69%	6
2017-08-04	2017-08-21	$23.79	$22.52	-0.01%	12
2017-05-31	2017-06-30	$22.73	$24.11	4.52%	23
2017-05-15	2017-05-18	$21.06	$20.87	-3.59%	4
2017-03-28	2017-05-05	$18.50	$20.56	5.58%	28
2016-12-28	2017-02-24	$14.65	$17.13	9.74%	40
2016-07-26	2016-08-29	$15.30	$14.35	-2.72%	25
2016-03-28	2016-04-14	$15.35	$16.79	6.88%	14
2015-12-30	2016-01-05	$15.87	$14.90	-3.58%	4
2015-07-21	2015-07-28	$17.78	$17.65	-6.41%	6
2015-04-14	2015-07-09	$13.83	$17.19	12.56%	61
2014-08-05	2014-09-16	$15.90	$17.38	3.93%	30
2014-06-23	2014-07-08	$15.81	$14.60	-1.88%	11
2014-01-24	2014-03-11	$11.64	$15.63	18.42%	32
2013-09-23	2013-10-04	$12.07	$12.07	-3.37%	10
2013-08-23	2013-09-10	$10.79	$11.09	1.29%	12
2013-07-02	2013-07-17	$7.85	$8.02	-4.00%	11
2013-04-30	2013-06-04	$3.60	$6.32	38.79%	25
2013-03-27	2013-04-09	$2.54	$2.70	6.40%	9
2013-01-24	2013-02-19	$2.47	$2.62	1.67%	18
2012-11-12	2013-01-10	$2.07	$2.24	6.48%	41
2012-08-24	2012-08-27	$1.97	$1.89	-2.52%	2
2012-02-23	2012-04-05	$2.30	$2.30	1.54%	31