Strategy Zoo / S1372
LongTermTrend_V1372
ARCHIVEDhybridllmAdded regime gates to require UPTREND and avoid HIGH volatility; tightened trend/momentum entry by increasing ret_20d trigger and requiring a recent 20-day breakout; added a volatility percentile gate to avoid buying into high-volatility regimes; replaced fragile single-point exit with a multi-condition exit (20d stop-loss, fall below sma_50, negative macd_hist, or significant drawdown); reduced base position to 0.7 to lower portfolio risk.
Fitness
0.4959
Generation
63
Complexity
16
Created
2026-10-09
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1372 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.08) and ret_1d > -0.05 and cumret_252d > -0.6 and ret_20d > 0.03 and vol_pctile < 0.7 and breakout_20 > 0.0):
position = 0.7
if long and (ret_20d < -0.05 or close < sma_50 or macd_hist < 0.0 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.7% | 44.5% | 5.1% | 13.2% |
| Total Return | 67.3% | 201.6% | 20.6% | 521.0% |
| Sharpe | 0.48 | 1.50 | 0.40 | 0.75 |
| Sortino | 0.35 | 1.39 | 0.28 | 0.59 |
| Calmar | 0.24 | 2.68 | 0.24 | 0.48 |
| Volatility | 16.2% | 26.9% | 15.4% | 18.8% |
| Max DD | -27.3% | -16.6% | -21.4% | -27.3% |
| Win Rate | 37.5% | 50.0% | 37.5% | 40.4% |
| Avg Win | 7.3% | 14.6% | 7.8% | 10.1% |
| Avg Loss | -2.5% | -2.7% | -3.0% | -2.7% |
| Payoff | 2.87 | 5.47 | 2.57 | 3.74 |
| Expectancy | 1.1% | 6.0% | 1.0% | 2.5% |
| Profit Factor | 1.72 | 5.47 | 1.54 | 2.54 |
| Trades | 48 | 22 | 24 | 94 |
| Avg Holding Days | 9.7 | 11.3 | 8.3 | 9.8 |
| Turnover | 8.5 | 10.3 | 9.0 | 8.9 |
| Exposure | 14.9% | 20.9% | 13.0% | 15.6% |
Growth of $100
LongTermTrend_V1372 vs TSLA Buy & Hold
LongTermTrend_V1372 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 | 8.9% | 0.97 | -6.3% | 5 |
| 2017 | 18.3% | 1.29 | -10.7% | 11 |
| 2018 | -5.6% | -0.97 | -6.4% | 4 |
| 2019 | 11.9% | 0.93 | -9.9% | 1 |
| 2020 | 132.8% | 2.39 | -15.7% | 9 |
| 2021 | 22.9% | 1.08 | -11.9% | 9 |
| 2022 | 2.6% | 0.24 | -10.6% | 4 |
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 | -10.1% | -1.26 | 4% |
| hidden test | EXPENSIVE | 83 | 41.3% | 1.99 | 22% |
| hidden test | EXTREME | 48 | 39.6% | 1.73 | 15% |
| hidden test | HIGH VOLATILITY | 254 | -3.0% | -0.20 | 6% |
| hidden test | LOW VOLATILITY | 441 | 21.5% | 1.46 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.5% | -0.67 | 13% |
| hidden test | NORMAL | 814 | 0.6% | 0.04 | 12% |
| hidden test | SIDEWAYS | 296 | 1.8% | 0.12 | 18% |
| hidden test | UPTREND | 371 | 21.9% | 1.11 | 16% |
| train | DOWNTREND | 518 | 3.4% | 0.43 | 5% |
| train | EXPENSIVE | 311 | 19.1% | 0.92 | 25% |
| train | EXTREME | 100 | 124.2% | 2.82 | 31% |
| train | HIGH VOLATILITY | 699 | 7.4% | 0.36 | 6% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.51 | 24% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.46 | 13% |
| train | NORMAL | 1,601 | -1.7% | -0.16 | 12% |
| train | SIDEWAYS | 592 | -8.3% | -0.66 | 11% |
| train | UPTREND | 902 | 20.8% | 0.98 | 23% |
| validation | DOWNTREND | 125 | 13.1% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 55.7% | 2.07 | 25% |
| validation | EXTREME | 144 | 131.7% | 2.87 | 32% |
| validation | HIGH VOLATILITY | 258 | 29.0% | 0.87 | 12% |
| validation | LOW VOLATILITY | 183 | 16.2% | 1.39 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 63.7% | 2.32 | 27% |
| validation | NORMAL | 474 | 8.2% | 0.48 | 16% |
| validation | SIDEWAYS | 206 | 4.8% | 0.34 | 14% |
| validation | UPTREND | 425 | 65.7% | 1.92 | 29% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-29 | $380.12 | $352.84 | -4.11% | 5 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.28% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.39% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -2.82% | 2 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.88% | 10 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -2.63% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.74% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 11.37% | 17 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -3.62% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.06% | 9 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 10.25% | 16 | |
| 2024-12-10 | 2024-12-24 | $400.99 | $462.28 | 7.30% | 11 | |
| 2024-09-24 | 2024-10-04 | $254.27 | $250.08 | -2.73% | 9 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 15.02% | 17 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.24% | 12 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.95% | 3 | |
| 2023-05-19 | 2023-06-27 | $180.14 | $250.21 | 24.35% | 26 | |
| 2023-02-09 | 2023-02-23 | $207.32 | $202.07 | -0.11% | 10 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 3.85% | 16 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -8.10% | 4 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 22.27% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.62% | 9 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.63% | 14 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.43% | 11 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 13.72% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.72% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 27.56% | 21 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -4.79% | 4 | |
| 2020-08-27 | 2020-09-08 | $149.25 | $110.07 | -1.82% | 8 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 21.47% | 18 | |
| 2020-06-09 | 2020-06-25 | $62.71 | $65.73 | 0.84% | 13 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 5.15% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.05% | 2 | |
| 2019-12-13 | 2020-02-26 | $23.89 | $51.92 | 77.49% | 50 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.67% | 18 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.12% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.10% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.37% | 11 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.59% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.08% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.03% | 12 | |
| 2017-06-06 | 2017-06-27 | $23.52 | $24.16 | 5.92% | 16 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.60% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -0.80% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-21 | $18.50 | $20.37 | 8.19% | 18 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 3.96% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.22% | 2 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 17.37% | 34 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.89% | 2 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.29% | 11 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.04% | 8 | |
| 2016-03-15 | 2016-04-01 | $14.56 | $15.84 | 4.63% | 13 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -4.98% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.33% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.41% | 11 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.22% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.32% | 2 | |
| 2015-04-09 | 2015-05-22 | $14.01 | $16.52 | 12.43% | 32 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.43% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.02% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.36% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.20% | 15 | |
| 2014-06-17 | 2014-07-07 | $15.44 | $14.84 | 1.36% | 14 | |
| 2014-02-14 | 2014-03-11 | $13.22 | $15.63 | 13.60% | 17 | |
| 2014-01-24 | 2014-02-06 | $11.64 | $11.89 | -2.80% | 10 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -1.87% | 11 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -4.75% | 11 | |
| 2013-06-28 | 2013-07-01 | $7.16 | $7.81 | -1.35% | 2 | |
| 2013-04-30 | 2013-06-04 | $3.60 | $6.32 | 45.89% | 25 | |
| 2013-01-29 | 2013-02-14 | $2.53 | $2.55 | 0.66% | 13 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 4.61% | 28 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -10.75% | 7 | |
| 2012-07-16 | 2012-07-23 | $2.40 | $2.04 | -5.12% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -3.21% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.10% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.23% | 10 |