Strategy Zoo / S1391
LongTermTrend_V1391
ARCHIVEDhybridllmAdded regime gates to restrict to uptrends and low/medium volatility; added volatility-spike veto (not vol_chg > 0.35) to avoid entries into sudden vol bursts; required short/medium trend alignment (sma_50>sma_200 OR positive sma_200_slope); strengthened exit logic to include price falling below sma_50 and a drawdown-based bail (drawdown > 12%); reduced base position to 0.8 to lower risk.
Fitness
0.3497
Generation
64
Complexity
35
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_V1391 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close and not vol_chg > 0.35 and (sma_50 > sma_200 or sma_200_slope > 0.0)):
position = 0.8
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 | 2.3% | 27.3% | -6.2% | 4.8% |
| Total Return | 19.8% | 106.3% | -21.4% | 98.7% |
| Sharpe | 0.23 | 1.17 | -0.38 | 0.36 |
| Sortino | 0.14 | 1.10 | -0.23 | 0.26 |
| Calmar | 0.10 | 1.39 | -0.22 | 0.12 |
| Volatility | 14.8% | 22.9% | 14.4% | 16.7% |
| Max DD | -22.7% | -19.7% | -28.0% | -41.1% |
| Win Rate | 31.1% | 47.6% | 25.0% | 35.4% |
| Avg Win | 6.5% | 6.6% | 6.1% | 7.0% |
| Avg Loss | -2.6% | -2.2% | -3.2% | -2.6% |
| Payoff | 2.51 | 2.98 | 1.91 | 2.66 |
| Expectancy | 0.2% | 2.0% | -0.9% | 0.8% |
| Profit Factor | 1.14 | 2.71 | 0.64 | 1.46 |
| Trades | 61 | 42 | 24 | 127 |
| Avg Holding Days | 6.3 | 5.6 | 7.1 | 6.3 |
| Turnover | 12.3 | 22.4 | 10.2 | 13.8 |
| Exposure | 13.4% | 20.4% | 12.4% | 14.6% |
Growth of $100
LongTermTrend_V1391 vs TSLA Buy & Hold
LongTermTrend_V1391 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 | 7.3% | 1.12 | -3.5% | 1 |
| 2017 | 8.1% | 0.61 | -14.3% | 13 |
| 2018 | -1.9% | -0.24 | -6.2% | 2 |
| 2019 | 5.9% | 0.62 | -6.4% | 1 |
| 2020 | 89.4% | 2.46 | -8.4% | 14 |
| 2021 | 7.7% | 0.42 | -19.7% | 23 |
| 2022 | 1.1% | 0.14 | -15.1% | 3 |
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 | -1.1% | -0.40 | 1% |
| hidden test | EXPENSIVE | 83 | 35.6% | 1.56 | 21% |
| hidden test | EXTREME | 48 | 5.3% | 0.24 | 10% |
| hidden test | HIGH VOLATILITY | 254 | 2.2% | 0.21 | 1% |
| hidden test | LOW VOLATILITY | 441 | 10.5% | 0.68 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -41.1% | -2.63 | 12% |
| hidden test | NORMAL | 814 | -10.2% | -0.82 | 12% |
| hidden test | SIDEWAYS | 296 | -26.1% | -1.59 | 21% |
| hidden test | UPTREND | 371 | 7.9% | 0.45 | 14% |
| train | DOWNTREND | 518 | -6.7% | -1.00 | 3% |
| train | EXPENSIVE | 311 | 22.9% | 1.01 | 22% |
| train | EXTREME | 100 | 35.6% | 1.86 | 20% |
| train | HIGH VOLATILITY | 699 | 2.0% | 0.15 | 1% |
| train | LOW VOLATILITY | 745 | 14.8% | 1.02 | 24% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.60 | 15% |
| train | NORMAL | 1,601 | -2.4% | -0.20 | 11% |
| train | SIDEWAYS | 592 | -1.1% | -0.09 | 12% |
| train | UPTREND | 902 | 12.1% | 0.64 | 20% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 25.3% | 0.90 | 32% |
| validation | EXTREME | 144 | 116.3% | 4.01 | 17% |
| validation | HIGH VOLATILITY | 258 | 19.0% | 1.07 | 2% |
| validation | LOW VOLATILITY | 183 | 5.6% | 0.35 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 45.4% | 1.56 | 30% |
| validation | NORMAL | 474 | -0.1% | -0.00 | 18% |
| validation | SIDEWAYS | 206 | -5.1% | -0.31 | 17% |
| validation | UPTREND | 425 | 50.0% | 1.77 | 28% |
Trades (full period)
latest 100 of 127
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.40% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-09 | 2025-10-06 | $346.97 | $453.25 | 18.86% | 20 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-13 | 2024-12-23 | $436.23 | $430.60 | 0.53% | 7 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -4.43% | 8 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2023-12-18 | 2024-01-02 | $252.08 | $248.42 | -1.71% | 10 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-04 | 2022-08-12 | $308.63 | $300.03 | -5.54% | 7 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 8.97% | 15 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-28 | 2021-07-12 | $229.57 | $228.57 | -1.92% | 10 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.53% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.19% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -2.57% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -0.87% | 2 | |
| 2021-04-16 | 2021-04-29 | $246.59 | $225.67 | -4.95% | 10 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.79% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.37% | 2 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 0.89% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.60% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.98% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-06 | 2021-01-25 | $251.99 | $293.60 | 11.99% | 13 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.09% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.12% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.79% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-25 | 2020-12-17 | $191.33 | $218.63 | 9.61% | 16 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -3.24% | 3 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.21% | 6 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 9.89% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.97% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 6.20% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.29% | 2 | |
| 2020-06-04 | 2020-06-25 | $57.63 | $65.73 | 7.02% | 16 | |
| 2020-05-29 | 2020-06-01 | $55.67 | $59.87 | 2.74% | 2 | |
| 2020-05-27 | 2020-05-28 | $54.68 | $53.72 | -0.03% | 2 | |
| 2019-12-16 | 2020-01-31 | $25.43 | $43.37 | 59.48% | 32 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.00% | 17 | |
| 2017-12-14 | 2017-12-27 | $22.53 | $20.78 | -5.30% | 9 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-13 | 2017-10-17 | $23.70 | $23.72 | -1.30% | 3 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -3.44% | 8 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 8.65% | 17 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-03 | 2017-05-04 | $20.73 | $19.70 | -2.13% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 13.40% | 8 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -3.59% | 2 | |
| 2017-02-16 | 2017-02-22 | $17.93 | $18.23 | -0.82% | 4 | |
| 2016-12-15 | 2017-02-02 | $13.17 | $16.77 | 19.78% | 33 | |
| 2016-07-25 | 2016-08-09 | $15.33 | $15.27 | 1.26% | 12 | |
| 2015-12-21 | 2016-01-05 | $15.50 | $14.90 | -2.56% | 10 | |
| 2015-12-04 | 2015-12-14 | $15.36 | $14.57 | -5.56% | 7 | |
| 2015-09-23 | 2015-09-29 | $17.40 | $16.44 | -3.99% | 5 | |
| 2015-06-25 | 2015-07-09 | $17.92 | $17.19 | -3.19% | 10 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.13% | 8 | |
| 2015-02-23 | 2015-02-24 | $13.82 | $13.61 | -3.76% | 2 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.87% | 4 | |
| 2014-11-13 | 2014-11-24 | $16.78 | $16.45 | -2.16% | 8 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.95% | 3 | |
| 2014-09-09 | 2014-09-12 | $18.57 | $18.61 | -0.67% | 4 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 8.69% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-06 | 2014-06-11 | $13.88 | $13.63 | -1.94% | 4 | |
| 2014-06-04 | 2014-06-05 | $13.60 | $13.79 | -0.53% | 2 | |
| 2014-05-27 | 2014-06-03 | $14.10 | $13.66 | -1.16% | 6 | |
| 2014-05-22 | 2014-05-23 | $13.66 | $13.82 | 2.02% | 2 |