Strategy Zoo / S1373
LongTermTrend_V1373
ARCHIVEDhybridllm1) Added regime gates: only allow UPTREND or SIDEWAYS, block HIGH_VOLATILITY and EXTREME bubble to reduce overfitting to stressed periods. 2) Simplified/regularized entry: removed overfit cumret guards, kept robust signals (200slope+price, 20d momentum, MACD+50, 50-breakout+relvol) and added dist_sma_20 > -8% to avoid buying deep pullbacks. 3) Improved exit: multi-condition exit (MACD < 0 OR price < SMA50 OR 5-day loss < -5%) for faster losses cut. 4) Position sizing rules: reduce size at higher volatility (vol_pctile>0.75 -> 50%, >0.5 -> 75%) to control drawdowns. Aim: better generalization and risk control while preserving trend capture.
Fitness
0.2800
Generation
63
Complexity
21
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_V1373 [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 > -0.0024) or ret_20d > 0.085 or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.5)) and dist_sma_20 > -0.08 and sma_20 < close):
position = 1.0
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 33.9% | -9.4% | 3.6% |
| Total Return | -0.9% | 140.3% | -30.9% | 69.6% |
| Sharpe | 0.10 | 1.23 | -0.29 | 0.27 |
| Sortino | 0.08 | 1.18 | -0.22 | 0.22 |
| Calmar | -0.00 | 1.33 | -0.22 | 0.07 |
| Volatility | 21.3% | 26.6% | 24.1% | 23.2% |
| Max DD | -49.5% | -25.5% | -43.3% | -49.5% |
| Win Rate | 36.6% | 54.4% | 29.2% | 38.6% |
| Avg Win | 4.3% | 5.9% | 6.4% | 5.4% |
| Avg Loss | -2.5% | -2.9% | -3.1% | -2.7% |
| Payoff | 1.74 | 2.05 | 2.06 | 1.99 |
| Expectancy | 0.0% | 1.9% | -0.3% | 0.4% |
| Profit Factor | 1.00 | 2.44 | 0.85 | 1.25 |
| Trades | 142 | 57 | 65 | 264 |
| Avg Holding Days | 4.2 | 4.5 | 4.5 | 4.4 |
| Turnover | 35.7 | 38.0 | 34.9 | 35.9 |
| Exposure | 23.5% | 26.7% | 24.1% | 24.3% |
Growth of $100
LongTermTrend_V1373 vs TSLA Buy & Hold
LongTermTrend_V1373 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 | -8.4% | -0.62 | -14.6% | 13 |
| 2017 | 10.3% | 0.58 | -12.8% | 25 |
| 2018 | -14.6% | -1.08 | -19.1% | 8 |
| 2019 | -4.0% | -0.00 | -24.2% | 7 |
| 2020 | 98.2% | 2.67 | -10.5% | 11 |
| 2021 | 23.0% | 0.82 | -25.5% | 33 |
| 2022 | -1.5% | 0.03 | -21.9% | 11 |
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 | -3.6% | -1.41 | 1% |
| hidden test | EXPENSIVE | 83 | -5.0% | -0.15 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.8% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 441 | 21.9% | 0.92 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -53.8% | -1.81 | 30% |
| hidden test | NORMAL | 814 | -7.5% | -0.32 | 24% |
| hidden test | SIDEWAYS | 296 | -38.6% | -1.49 | 37% |
| hidden test | UPTREND | 371 | 15.9% | 0.52 | 31% |
| train | DOWNTREND | 518 | -8.1% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 41.9% | 1.57 | 34% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.2% | 0.45 | 2% |
| train | LOW VOLATILITY | 745 | 15.1% | 0.73 | 42% |
| train | MEDIUM VOLATILITY | 568 | -23.5% | -1.02 | 27% |
| train | NORMAL | 1,601 | -6.2% | -0.30 | 23% |
| train | SIDEWAYS | 592 | -15.7% | -0.73 | 26% |
| train | UPTREND | 902 | 19.7% | 0.75 | 35% |
| validation | DOWNTREND | 125 | -0.4% | -2.02 | 0% |
| validation | EXPENSIVE | 138 | 115.9% | 3.22 | 41% |
| validation | EXTREME | 144 | 53.1% | 2.86 | 3% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 3.4% | 0.16 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 83.3% | 2.33 | 36% |
| validation | NORMAL | 474 | 2.3% | 0.09 | 30% |
| validation | SIDEWAYS | 206 | -23.9% | -1.03 | 28% |
| validation | UPTREND | 425 | 69.9% | 2.23 | 34% |
Trades (full period)
latest 100 of 265
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -1.59% | 2 | OPEN |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.63% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 6.87% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 26.72% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -2.28% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -4.14% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 35.14% | 18 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.39% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.89% | 10 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-02 | 2022-08-10 | $300.59 | $294.36 | -4.88% | 7 | |
| 2022-03-18 | 2022-04-11 | $301.80 | $325.31 | 17.43% | 17 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -4.81% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.10% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-27 | 2022-01-03 | $364.65 | $399.93 | -1.15% | 6 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.48% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 28.98% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 2.36% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-06-24 | 2021-07-08 | $226.61 | $217.60 | -2.01% | 10 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -3.16% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.24% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -3.21% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -1.09% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -6.87% | 6 |