Strategy Zoo / S1348
LongTermTrend_V1348
ARCHIVEDhybridllm1) Added regime gates: allow entries only in UPTREND or SIDEWAYS, avoid HIGH_VOLATILITY and EXTREME bubble states to reduce overfitting in adverse regimes. 2) Simplified entry logic into three robust pathways (long-term trend above SMA200 with non-negative slope; momentum via MACD+SMA50; breakout with elevated relative volume) plus requirement close > SMA20 to avoid weak setups. 3) Reworked exit to be more robust: MACD flip OR price below SMA50 OR a hard drawdown stop (12%). 4) Introduced volatility-aware position sizing rules (reduce size when vol_pctile>0.75, full size when vol_pctile<=0.25) and a cap near 52-week highs. 5) Reduced base_position from 1.0 to 0.8 to temper leverage and turnover.
Fitness
0.3211
Generation
62
Complexity
19
Created
2026-10-09
Lineage
Parents (1)
swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1348 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > -0.001) or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.3)) and sma_20 < close):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.2% | 30.3% | -6.7% | 3.8% |
| Total Return | -1.3% | 121.0% | -22.8% | 72.4% |
| Sharpe | 0.07 | 1.34 | -0.27 | 0.29 |
| Sortino | 0.06 | 1.28 | -0.21 | 0.24 |
| Calmar | -0.00 | 1.54 | -0.18 | 0.09 |
| Volatility | 17.1% | 21.3% | 19.1% | 18.6% |
| Max DD | -41.4% | -19.6% | -38.0% | -41.4% |
| Win Rate | 36.2% | 52.9% | 28.3% | 37.7% |
| Avg Win | 3.5% | 5.4% | 5.4% | 4.6% |
| Avg Loss | -2.0% | -2.2% | -2.5% | -2.2% |
| Payoff | 1.74 | 2.43 | 2.16 | 2.10 |
| Expectancy | -0.0% | 1.8% | -0.3% | 0.4% |
| Profit Factor | 0.99 | 2.73 | 0.85 | 1.27 |
| Trades | 141 | 51 | 60 | 252 |
| Avg Holding Days | 4.3 | 5.0 | 4.7 | 4.6 |
| Turnover | 28.4 | 27.2 | 25.8 | 27.4 |
| Exposure | 18.9% | 21.4% | 19.0% | 19.5% |
Growth of $100
LongTermTrend_V1348 vs TSLA Buy & Hold
LongTermTrend_V1348 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 | -6.7% | -0.62 | -11.8% | 13 |
| 2017 | 8.6% | 0.58 | -10.3% | 25 |
| 2018 | -11.7% | -1.08 | -15.5% | 8 |
| 2019 | -2.6% | -0.00 | -19.6% | 7 |
| 2020 | 73.8% | 2.67 | -8.4% | 11 |
| 2021 | 26.3% | 1.05 | -17.6% | 30 |
| 2022 | 0.6% | 0.12 | -16.6% | 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 | -2.9% | -1.41 | 1% |
| hidden test | EXPENSIVE | 83 | -4.0% | -0.15 | 32% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 441 | 15.2% | 0.80 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -37.2% | -1.60 | 23% |
| hidden test | NORMAL | 814 | -5.5% | -0.29 | 19% |
| hidden test | SIDEWAYS | 296 | -26.9% | -1.32 | 29% |
| hidden test | UPTREND | 371 | 10.7% | 0.44 | 25% |
| train | DOWNTREND | 518 | -6.5% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 33.5% | 1.57 | 28% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.3% | 0.45 | 1% |
| train | LOW VOLATILITY | 745 | 12.1% | 0.73 | 33% |
| train | MEDIUM VOLATILITY | 568 | -20.4% | -1.10 | 22% |
| train | NORMAL | 1,601 | -5.5% | -0.33 | 18% |
| train | SIDEWAYS | 592 | -14.0% | -0.81 | 21% |
| train | UPTREND | 902 | 15.8% | 0.75 | 28% |
| validation | DOWNTREND | 125 | -0.3% | -2.02 | 0% |
| validation | EXPENSIVE | 138 | 96.2% | 3.33 | 34% |
| validation | EXTREME | 144 | 42.5% | 2.86 | 3% |
| validation | HIGH VOLATILITY | 258 | -6.6% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 5.3% | 0.31 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 71.2% | 2.47 | 29% |
| validation | NORMAL | 474 | 4.8% | 0.24 | 23% |
| validation | SIDEWAYS | 206 | -7.8% | -0.41 | 23% |
| validation | UPTREND | 425 | 54.9% | 2.19 | 27% |
Trades (full period)
latest 100 of 253
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -1.27% | 2 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -3.41% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.97% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 5.56% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -3.87% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.28% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.34% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 21.08% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 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 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 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 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.74% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -3.98% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.37% | 9 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 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 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-18 | 2022-04-11 | $301.80 | $325.31 | 13.91% | 17 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.08% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -3.85% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.08% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.98% | 2 | |
| 2021-12-27 | 2022-01-03 | $364.65 | $399.93 | -0.92% | 6 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.39% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 23.06% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 1.92% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 0.92% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.53% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.19% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -2.57% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -0.87% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.79% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.37% | 2 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 0.89% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.60% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.98% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 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 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 16.09% | 5 |