Strategy Zoo / S1390
LongTermTrend_V1390
ARCHIVEDhybridllmSimplified and de-noised entry logic into two clear branches (long-term trend and momentum breakout); added conservative regime gates to avoid trading in high-volatility or bubbly conditions; lowered base_position to 0.6 and added position scaling rules to cut size in high volatility and increase to full size on strong breakouts; improved exit to include price under SMA50 and a drawdown stop to reduce large declines. Aims to reduce overfitting and drawdown while keeping upside.
Fitness
0.0668
Generation
64
Complexity
20
Created
2026-10-09
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1390 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_200 and sma_200_slope > 0.0 and cumret_252d > 0.15 and dist_sma_50 > -0.1) or (macd_hist > 0.0 and (close > sma_50 or (breakout_50 == 1 and rel_volume > 1.5)))):
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 | -4.2% | -0.5% | -6.1% | -4.0% |
| Total Return | -29.3% | -1.5% | -20.9% | -44.9% |
| Sharpe | -0.36 | 0.03 | -0.53 | -0.30 |
| Sortino | -0.25 | 0.03 | -0.37 | -0.22 |
| Calmar | -0.11 | -0.02 | -0.29 | -0.08 |
| Volatility | 10.5% | 13.9% | 10.7% | 11.3% |
| Max DD | -39.7% | -22.2% | -21.0% | -49.5% |
| Win Rate | 42.6% | 43.7% | 43.6% | 43.1% |
| Avg Win | 1.3% | 1.8% | 1.3% | 1.4% |
| Avg Loss | -1.2% | -1.4% | -1.3% | -1.3% |
| Payoff | 1.05 | 1.32 | 0.98 | 1.10 |
| Expectancy | -0.2% | 0.0% | -0.2% | -0.1% |
| Profit Factor | 0.78 | 1.02 | 0.76 | 0.84 |
| Trades | 202 | 103 | 117 | 422 |
| Avg Holding Days | 2.6 | 2.3 | 2.2 | 2.4 |
| Turnover | 30.4 | 41.2 | 37.4 | 34.4 |
| Exposure | 9.6% | 10.7% | 8.8% | 9.6% |
Growth of $100
LongTermTrend_V1390 vs TSLA Buy & Hold
LongTermTrend_V1390 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 | -3.3% | -0.55 | -5.4% | 15 |
| 2017 | 1.5% | 0.21 | -9.2% | 28 |
| 2018 | -11.4% | -1.49 | -14.2% | 8 |
| 2019 | 1.8% | 0.29 | -5.5% | 13 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -13.1% | -0.62 | -22.2% | 74 |
| 2022 | 5.0% | 0.48 | -8.8% | 28 |
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 | -1.9% | -1.40 | 0% |
| hidden test | EXPENSIVE | 83 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.6% | -0.80 | 1% |
| hidden test | LOW VOLATILITY | 441 | -3.1% | -0.29 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -9.3% | -0.72 | 9% |
| hidden test | NORMAL | 814 | -9.2% | -0.83 | 10% |
| hidden test | SIDEWAYS | 296 | -17.3% | -1.37 | 15% |
| hidden test | UPTREND | 371 | 0.7% | 0.06 | 10% |
| train | DOWNTREND | 518 | -6.4% | -1.30 | 1% |
| train | EXPENSIVE | 311 | 15.0% | 1.60 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.9% | 0.20 | 1% |
| train | LOW VOLATILITY | 745 | -0.9% | -0.09 | 16% |
| train | MEDIUM VOLATILITY | 568 | -14.5% | -1.15 | 12% |
| train | NORMAL | 1,601 | -7.7% | -0.70 | 12% |
| train | SIDEWAYS | 592 | -5.5% | -0.45 | 11% |
| train | UPTREND | 902 | -1.2% | -0.10 | 14% |
| validation | DOWNTREND | 125 | -0.4% | -2.48 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 2.9% | 0.26 | 1% |
| validation | LOW VOLATILITY | 183 | -6.4% | -0.53 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 2.4% | 0.14 | 13% |
| validation | NORMAL | 474 | 0.7% | 0.04 | 17% |
| validation | SIDEWAYS | 206 | -5.0% | -0.35 | 15% |
| validation | UPTREND | 425 | 3.3% | 0.21 | 12% |
Trades (full period)
latest 100 of 422
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.57% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -4.05% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.13% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 0.95% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.04% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -0.98% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -3.17% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.44% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.70% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.17% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.17% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.18% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -1.74% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.01% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.05% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.10% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.02% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.07% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.31% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.25% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.38% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.75% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.29% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.56% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.02% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.68% | 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 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.17% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 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 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.30% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.02% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 2.77% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.26% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.19% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 3.06% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.31% | 2 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.38% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 0.63% | 2 | |
| 2024-01-04 | 2024-01-05 | $237.93 | $237.49 | -0.25% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.13% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.85% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.67% | 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 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.04% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.21% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 3.55% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -2.98% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.55% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.06% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 0.79% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 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 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 |