Strategy Zoo / S1369
LongTermTrend_V1369
ARCHIVEDhybridllmAdded volatility and drawdown entry filters to avoid entering in high-volatility or already-declined regimes; tightened sma_200_slope to require non-negative long-term slope; lowered breakout rel_volume threshold to allow higher-quality breakouts; enhanced exit by adding close < sma_50 and a drawdown stop (drawdown > 12%); restricted regime gates to avoid downtrend/high-volatility/extreme-bubble periods; reduced base_position to 60% to lower peak drawdown and overfitting risk.
Fitness
0.1062
Generation
63
Complexity
33
Created
2026-10-09
Lineage
Parents (1)
changed sma_200_slope threshold -0.0024 -> -0.0003; changed cumret_252d threshold -0.1997 -> 0.2888
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1369 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (vol_pctile < 0.75 and drawdown < 0.18 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))))):
position = 0.6
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 | 0.4% | -0.8% | 1.3% | 0.4% |
| Total Return | 3.6% | -2.3% | 5.0% | 6.3% |
| Sharpe | 0.09 | -0.01 | 0.17 | 0.09 |
| Sortino | 0.06 | -0.00 | 0.11 | 0.06 |
| Calmar | 0.02 | -0.05 | 0.06 | 0.02 |
| Volatility | 10.6% | 11.9% | 12.3% | 11.3% |
| Max DD | -24.0% | -16.9% | -23.0% | -24.5% |
| Win Rate | 41.4% | 37.9% | 34.4% | 38.7% |
| Avg Win | 3.3% | 2.9% | 5.0% | 3.6% |
| Avg Loss | -2.1% | -1.8% | -2.2% | -2.1% |
| Payoff | 1.55 | 1.63 | 2.31 | 1.76 |
| Expectancy | 0.1% | -0.0% | 0.3% | 0.1% |
| Profit Factor | 1.10 | 0.99 | 1.21 | 1.11 |
| Trades | 58 | 29 | 32 | 119 |
| Avg Holding Days | 6.3 | 5.6 | 6.2 | 6.1 |
| Turnover | 8.7 | 11.6 | 10.4 | 9.7 |
| Exposure | 9.1% | 10.6% | 10.7% | 9.8% |
Growth of $100
LongTermTrend_V1369 vs TSLA Buy & Hold
LongTermTrend_V1369 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 | 0.6% | 0.12 | -4.3% | 5 |
| 2017 | 7.9% | 1.17 | -3.3% | 7 |
| 2018 | -4.7% | -0.79 | -7.9% | 3 |
| 2019 | -2.1% | -0.06 | -14.9% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -1.4% | -0.00 | -16.1% | 20 |
| 2022 | -0.8% | -0.01 | -14.0% | 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 | -2.1% | -1.37 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.5% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 441 | 10.0% | 0.77 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.2% | -0.25 | 10% |
| hidden test | NORMAL | 814 | -0.2% | -0.02 | 12% |
| hidden test | SIDEWAYS | 296 | -19.2% | -1.35 | 20% |
| hidden test | UPTREND | 371 | 22.1% | 1.49 | 11% |
| train | DOWNTREND | 518 | -4.8% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 7.7% | 1.83 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.33 | 1% |
| train | LOW VOLATILITY | 745 | 8.9% | 0.86 | 17% |
| train | MEDIUM VOLATILITY | 568 | -12.3% | -1.08 | 9% |
| train | NORMAL | 1,601 | -0.2% | -0.02 | 11% |
| train | SIDEWAYS | 592 | -6.0% | -0.50 | 13% |
| train | UPTREND | 902 | 9.0% | 0.74 | 11% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 1.4% | 0.12 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 4.9% | 0.33 | 11% |
| validation | NORMAL | 474 | -0.1% | -0.01 | 17% |
| validation | SIDEWAYS | 206 | -7.9% | -0.59 | 15% |
| validation | UPTREND | 425 | 3.7% | 0.29 | 11% |
Trades (full period)
latest 100 of 120
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.96% | 2 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.78% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 7.51% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -1.98% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.14% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 20.27% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.31% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.67% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -1.92% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.52% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.10% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.20% | 9 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.49% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.37% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.19% | 9 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.09% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.05% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.03% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.90% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.17% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -1.95% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -2.60% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 17.18% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.02% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.16% | 12 | |
| 2021-07-21 | 2021-07-22 | $218.43 | $216.42 | -0.59% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.71% | 2 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -2.96% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.16% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.53% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.65% | 2 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.19% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.47% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 9.89% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.18% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -4.82% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.52% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.76% | 10 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -0.79% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.45% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.18% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.42% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.50% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -2.92% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 3.52% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.65% | 4 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.71% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -5.56% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.30% | 2 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 7.10% | 18 | |
| 2014-07-14 | 2014-07-15 | $15.11 | $14.64 | 2.24% | 2 | |
| 2014-07-10 | 2014-07-11 | $14.63 | $14.54 | -1.09% | 2 | |
| 2014-07-08 | 2014-07-09 | $14.60 | $14.87 | -1.09% | 2 |