Strategy Zoo / S1334
LongTermTrend_V1334
ARCHIVEDhybridllmSimplified and made entry more robust: require price above sma_50 and sma_50 above sma_200 (clean trend) plus one of macd_hist>0, ret_20d>5%, or breakout_20, and require rel_volume>1.0 to avoid weak breakouts. Added multi-condition exit: exit on macd_hist<0 OR price crossing below sma_50 OR drawdown>15% to limit large losses. Added regime gates to only trade in UPTREND and avoid high-volatility and extreme-bubble environments (volatility LOW/MEDIUM, bubble NORMAL/EXPENSIVE). Reduced base position to 0.8 to lower risk/exposure.
Fitness
0.3889
Generation
61
Complexity
14
Created
2026-10-08
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.2086
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1334 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (close > sma_50 and sma_50 > sma_200 and (macd_hist > 0.0 or ret_20d > 0.05 or breakout_20 == 1) and rel_volume > 1.0):
position = 0.8
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 | 3.7% | 27.3% | -13.3% | 3.5% |
| Total Return | 34.0% | 106.2% | -41.4% | 65.8% |
| Sharpe | 0.36 | 1.41 | -1.15 | 0.32 |
| Sortino | 0.19 | 0.99 | -0.48 | 0.17 |
| Calmar | 0.13 | 1.92 | -0.31 | 0.07 |
| Volatility | 12.5% | 18.2% | 11.8% | 13.7% |
| Max DD | -28.0% | -14.2% | -43.4% | -48.2% |
| Win Rate | 48.8% | 64.3% | 20.0% | 44.2% |
| Avg Win | 4.5% | 10.5% | 2.5% | 6.4% |
| Avg Loss | -3.3% | -2.5% | -3.9% | -3.4% |
| Payoff | 1.38 | 4.21 | 0.66 | 1.89 |
| Expectancy | 0.5% | 5.9% | -2.6% | 0.9% |
| Profit Factor | 1.32 | 7.58 | 0.16 | 1.49 |
| Trades | 43 | 14 | 20 | 77 |
| Avg Holding Days | 5.7 | 9.8 | 5.3 | 6.5 |
| Turnover | 8.7 | 7.5 | 8.5 | 8.4 |
| Exposure | 8.5% | 13.0% | 7.4% | 9.1% |
Growth of $100
LongTermTrend_V1334 vs TSLA Buy & Hold
LongTermTrend_V1334 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 | -2.6% | -0.63 | -3.7% | 2 |
| 2017 | 2.7% | 0.26 | -9.9% | 11 |
| 2018 | -5.0% | -0.96 | -6.1% | 3 |
| 2019 | 12.8% | 1.61 | -3.0% | 0 |
| 2020 | 63.7% | 2.53 | -6.4% | 4 |
| 2021 | 13.8% | 0.72 | -13.6% | 9 |
| 2022 | 10.5% | 0.90 | -8.5% | 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 | -25.2% | -1.42 | 15% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.1% | -0.12 | 1% |
| hidden test | LOW VOLATILITY | 440 | -6.7% | -0.63 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -38.1% | -2.46 | 9% |
| hidden test | NORMAL | 813 | -13.1% | -1.15 | 7% |
| hidden test | SIDEWAYS | 295 | -23.1% | -2.07 | 11% |
| hidden test | UPTREND | 371 | -16.0% | -1.00 | 10% |
| train | DOWNTREND | 518 | -1.7% | -1.00 | 0% |
| train | EXPENSIVE | 311 | 37.3% | 1.86 | 20% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.1% | 0.85 | 1% |
| train | LOW VOLATILITY | 745 | 13.4% | 1.09 | 16% |
| train | MEDIUM VOLATILITY | 568 | -14.3% | -1.07 | 8% |
| train | NORMAL | 1,601 | -2.3% | -0.21 | 7% |
| train | SIDEWAYS | 592 | -0.5% | -0.07 | 5% |
| train | UPTREND | 902 | 11.2% | 0.64 | 15% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 79.8% | 3.08 | 23% |
| validation | EXTREME | 144 | 19.8% | 1.85 | 1% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 26.2% | 2.16 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 54.4% | 2.16 | 19% |
| validation | NORMAL | 474 | 11.9% | 0.69 | 14% |
| validation | SIDEWAYS | 206 | 5.7% | 0.40 | 13% |
| validation | UPTREND | 425 | 43.1% | 1.95 | 17% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-09-17 | 2025-10-06 | $425.86 | $453.25 | 1.48% | 14 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -6.71% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 5.72% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-11 | 2023-10-17 | $262.99 | $254.85 | -3.10% | 5 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.34% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 3.35% | 9 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.29% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 34.96% | 14 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 40.01% | 26 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -2.90% | 10 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-06 | 2017-06-14 | $23.52 | $25.38 | 6.41% | 7 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.08% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 10.49% | 7 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.46% | 3 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -5.28% | 2 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.29% | 8 | |
| 2017-02-08 | 2017-02-09 | $17.47 | $17.95 | 1.27% | 2 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-23 | 2015-07-09 | $17.84 | $17.19 | -1.58% | 12 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -2.67% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.30% | 2 | |
| 2014-06-17 | 2014-07-07 | $15.44 | $14.84 | 1.53% | 14 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 19.03% | 8 | |
| 2013-10-09 | 2013-10-10 | $11.25 | $11.53 | -2.88% | 2 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.76% | 2 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.17% | 11 | |
| 2013-09-10 | 2013-09-11 | $11.09 | $10.90 | 2.66% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-21 | 2013-02-22 | $2.34 | $2.41 | -7.17% | 2 | |
| 2013-02-19 | 2013-02-20 | $2.62 | $2.57 | 4.67% | 2 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 7.21% | 17 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.49% | 2 | |
| 2012-12-24 | 2012-12-26 | $2.29 | $2.24 | 0.50% | 2 | |
| 2012-06-27 | 2012-07-03 | $2.13 | $2.04 | -3.22% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 2.76% | 2 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |