Strategy Zoo / S1355
LongTermTrend_V1355
ARCHIVEDhybridllmSimplified and regularized entry: require above SMA50 with rising long-term trend or a breakout confirmed by volume, plus modest 20d momentum and avoid extreme vol. Replaced fragile duplicated short-term thresholds. Exit generalized to multi-criteria: larger stop-loss (ret_20d < -7%), trend break (close < SMA50), or portfolio drawdown limit (< -15%). Added regime gates to require UPTREND and avoid high-volatility/extreme-bubble states. Reduced base position to 0.6 to lower risk and improve generalization.
Fitness
0.2862
Generation
62
Complexity
16
Created
2026-10-09
Lineage
Parents (1)
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1355 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((dist_sma_50 > 0.0 and sma_200_slope > 0.0) or (breakout_20 > 0.5 and volume_breakout > 0.5)) and ret_20d > 0.03 and vol_pctile < 0.9):
position = 0.6
if long and (ret_20d < -0.07 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.9% | 22.7% | -6.5% | 1.0% |
| Total Return | -21.0% | 84.6% | -22.2% | 15.5% |
| Sharpe | -0.17 | 1.39 | -0.55 | 0.14 |
| Sortino | -0.12 | 1.25 | -0.29 | 0.10 |
| Calmar | -0.07 | 1.09 | -0.28 | 0.02 |
| Volatility | 12.7% | 15.6% | 11.1% | 13.0% |
| Max DD | -40.2% | -20.8% | -23.4% | -40.2% |
| Win Rate | 35.1% | 49.1% | 38.8% | 40.3% |
| Avg Win | 2.5% | 4.2% | 1.4% | 3.0% |
| Avg Loss | -2.0% | -1.4% | -1.7% | -1.7% |
| Payoff | 1.27 | 2.95 | 0.82 | 1.74 |
| Expectancy | -0.4% | 1.3% | -0.5% | 0.2% |
| Profit Factor | 0.69 | 2.84 | 0.52 | 1.17 |
| Trades | 74 | 53 | 49 | 176 |
| Avg Holding Days | 6.9 | 4.4 | 3.4 | 5.3 |
| Turnover | 11.2 | 21.2 | 15.7 | 14.3 |
| Exposure | 13.8% | 14.4% | 7.6% | 12.3% |
Growth of $100
LongTermTrend_V1355 vs TSLA Buy & Hold
LongTermTrend_V1355 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 | 1.7% | 0.30 | -5.7% | 7 |
| 2017 | -4.0% | -0.22 | -10.7% | 15 |
| 2018 | -14.8% | -1.65 | -14.8% | 4 |
| 2019 | 5.2% | 0.61 | -9.1% | 1 |
| 2020 | 58.5% | 2.86 | -5.6% | 5 |
| 2021 | 12.6% | 0.70 | -17.0% | 36 |
| 2022 | 1.2% | 0.20 | -8.1% | 12 |
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 | 0.2% | 0.09 | 1% |
| hidden test | EXPENSIVE | 83 | 21.2% | 0.94 | 32% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -4.7% | -0.50 | 0% |
| hidden test | LOW VOLATILITY | 441 | 4.3% | 0.46 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.8% | -1.74 | 11% |
| hidden test | NORMAL | 814 | -9.2% | -0.96 | 6% |
| hidden test | SIDEWAYS | 296 | -12.4% | -1.00 | 9% |
| hidden test | UPTREND | 371 | -5.7% | -0.41 | 11% |
| train | DOWNTREND | 518 | -2.5% | -0.54 | 2% |
| train | EXPENSIVE | 311 | 19.4% | 1.04 | 25% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 0.5% | 0.05 | 1% |
| train | LOW VOLATILITY | 745 | 8.3% | 0.64 | 24% |
| train | MEDIUM VOLATILITY | 568 | -19.2% | -1.31 | 16% |
| train | NORMAL | 1,601 | -6.9% | -0.60 | 12% |
| train | SIDEWAYS | 592 | -10.0% | -0.98 | 9% |
| train | UPTREND | 902 | 3.2% | 0.19 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 81.3% | 3.35 | 33% |
| validation | EXTREME | 144 | 28.4% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 13.7% | 1.22 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 49.8% | 2.31 | 22% |
| validation | NORMAL | 474 | 2.2% | 0.17 | 13% |
| validation | SIDEWAYS | 206 | -2.5% | -0.35 | 8% |
| validation | UPTREND | 425 | 39.7% | 1.98 | 22% |
Trades (full period)
latest 100 of 176
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -4.77% | 4 | |
| 2026-05-20 | 2026-06-02 | $417.26 | $423.74 | 1.67% | 9 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.29% | 8 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.32% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.14% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.20% | 15 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -0.76% | 44 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.06% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.74% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -0.79% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.20% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.25% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.16% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.23% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.01% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.58% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.46% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.70% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.68% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.32% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.37% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 2.68% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.21% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -3.71% | 10 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.92% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.78% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -3.83% | 8 | |
| 2021-09-22 | 2021-11-10 | $250.65 | $355.98 | 22.14% | 36 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.15% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.12% | 5 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 0.80% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.11% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.18% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.11% | 2 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.59% | 2 | |
| 2021-07-19 | 2021-07-20 | $215.41 | $220.17 | 0.07% | 2 | |
| 2021-07-15 | 2021-07-16 | $216.87 | $214.74 | -0.38% | 2 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -1.62% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.26% | 2 | |
| 2021-07-07 | 2021-07-08 | $214.88 | $217.60 | -1.48% | 2 | |
| 2021-07-02 | 2021-07-06 | $226.30 | $219.86 | -0.03% | 2 | |
| 2021-06-30 | 2021-07-01 | $226.57 | $225.97 | -0.21% | 2 | |
| 2021-06-28 | 2021-06-29 | $229.57 | $226.92 | 1.38% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 2.00% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.00% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 0.60% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -2.09% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.25% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.04% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -2.49% | 2 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -1.67% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 25.60% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 25.43% | 14 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.40% | 3 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -2.87% | 7 |