Strategy Zoo / S1431
LongTermTrend_V1431
ARCHIVEDhybridllmSimplified entry to robust long-term trend + short-term momentum; tightened cumulative return filter; added volatility percentile gate and position scaling to reduce exposure in high-volatility periods; restricted regime gates to avoid trading in downtrends/high-volatility/extreme bubble regimes; strengthened exit to include MACD sign, break of 50 SMA, or material drawdown. Aim: reduce overfitting and drawdown, improve validation stability.
Fitness
0.3433
Generation
66
Complexity
15
Created
2026-10-10
Lineage
Parents (1)
changed macd_hist threshold 0.0 -> 1.0705; changed dist_sma_50 threshold -0.0774 -> -0.1429
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1431 [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_20 < close and (sma_200_slope > -0.0024 or ret_20d > 0.05) and cumret_252d > -0.15 and vol_pctile < 0.8):
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 | -4.1% | 38.7% | -7.1% | 2.7% |
| Total Return | -28.4% | 166.9% | -24.0% | 48.6% |
| Sharpe | -0.21 | 1.67 | -0.46 | 0.25 |
| Sortino | -0.16 | 1.70 | -0.35 | 0.20 |
| Calmar | -0.08 | 2.33 | -0.20 | 0.06 |
| Volatility | 14.9% | 20.9% | 13.9% | 16.1% |
| Max DD | -49.3% | -16.6% | -35.3% | -49.3% |
| Win Rate | 39.0% | 54.2% | 38.9% | 42.2% |
| Avg Win | 2.2% | 3.7% | 2.1% | 2.7% |
| Avg Loss | -1.7% | -1.5% | -1.7% | -1.7% |
| Payoff | 1.29 | 2.46 | 1.23 | 1.62 |
| Expectancy | -0.2% | 1.3% | -0.2% | 0.2% |
| Profit Factor | 0.82 | 2.92 | 0.79 | 1.18 |
| Trades | 195 | 83 | 108 | 386 |
| Avg Holding Days | 2.9 | 2.9 | 2.3 | 2.8 |
| Turnover | 39.2 | 44.3 | 46.0 | 41.9 |
| Exposure | 15.3% | 16.7% | 11.9% | 14.8% |
Growth of $100
LongTermTrend_V1431 vs TSLA Buy & Hold
LongTermTrend_V1431 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 | -9.5% | -1.04 | -14.4% | 23 |
| 2017 | 0.4% | 0.10 | -10.3% | 35 |
| 2018 | -12.7% | -1.19 | -16.4% | 10 |
| 2019 | -2.0% | -0.12 | -13.8% | 8 |
| 2020 | 76.7% | 2.76 | -6.9% | 11 |
| 2021 | 29.3% | 1.21 | -16.6% | 53 |
| 2022 | 5.5% | 0.46 | -10.5% | 17 |
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 | -1.8% | -1.08 | 0% |
| hidden test | EXPENSIVE | 83 | -55.7% | -2.61 | 26% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 10.7% | 1.37 | 1% |
| hidden test | LOW VOLATILITY | 442 | -5.4% | -0.35 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.4% | -1.59 | 14% |
| hidden test | NORMAL | 815 | -1.7% | -0.13 | 11% |
| hidden test | SIDEWAYS | 297 | -24.9% | -1.69 | 15% |
| hidden test | UPTREND | 371 | 5.1% | 0.28 | 18% |
| train | DOWNTREND | 518 | -5.5% | -1.04 | 0% |
| train | EXPENSIVE | 311 | 30.9% | 1.46 | 27% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 4.8% | 0.39 | 1% |
| train | LOW VOLATILITY | 745 | 6.1% | 0.39 | 26% |
| train | MEDIUM VOLATILITY | 568 | -24.8% | -1.45 | 19% |
| train | NORMAL | 1,601 | -10.5% | -0.76 | 14% |
| train | SIDEWAYS | 592 | -15.4% | -1.16 | 13% |
| train | UPTREND | 902 | 6.4% | 0.34 | 25% |
| validation | DOWNTREND | 125 | -0.3% | -2.02 | 0% |
| validation | EXPENSIVE | 138 | 99.2% | 3.45 | 33% |
| validation | EXTREME | 144 | 42.5% | 2.86 | 3% |
| validation | HIGH VOLATILITY | 258 | 3.9% | 0.27 | 1% |
| validation | LOW VOLATILITY | 183 | 12.0% | 0.85 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 73.6% | 2.68 | 24% |
| validation | NORMAL | 474 | 13.9% | 0.71 | 16% |
| validation | SIDEWAYS | 206 | 5.3% | 0.36 | 12% |
| validation | UPTREND | 425 | 59.6% | 2.30 | 24% |
Trades (full period)
latest 100 of 386
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.31% | 2 | |
| 2026-05-12 | 2026-05-18 | $433.45 | $409.99 | -4.24% | 5 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.67% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 5.56% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -3.87% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.28% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.34% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.63% | 11 | |
| 2025-09-17 | 2025-09-19 | $425.86 | $426.07 | -1.06% | 3 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 2.69% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.67% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.75% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.21% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.48% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.30% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.96% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 5.72% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -1.64% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.34% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.78% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.61% | 2 | |
| 2023-12-14 | 2023-12-15 | $251.05 | $253.50 | 3.77% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.50% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.93% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.91% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 4.74% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -3.98% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -2.55% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.35% | 2 | |
| 2023-10-09 | 2023-10-10 | $259.67 | $263.62 | -0.42% | 2 | |
| 2023-10-05 | 2023-10-06 | $260.05 | $260.53 | -0.50% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.11% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.77% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -5.00% | 2 |