Strategy Zoo / S1432
LongTermTrend_V1432
ARCHIVEDhybridllmAdded momentum and volatility filters to primary trend entry (macd_hist>0, vol_pctile<0.75) to avoid entering into weak or high-volatility moves; added a momentum-breakout alternate entry (breakout_20 plus high short-term return) gated by vol_pctile; strengthened exits to include larger short-term loss, negative momentum, break of sma_50, and excessive drawdown to reduce large drawdowns; enabled regime gating to require UPTREND and low volatility; reduced base_position to 0.8 to lower risk.
Fitness
0.4821
Generation
66
Complexity
19
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1432 [hybrid]
if flat and ((((close > sma_200 or ret_20d > 0.1) and ret_20d > 0.05 and sma_200_slope > 0.0) and macd_hist > 0.0 and vol_pctile < 0.75) or (breakout_20 > 0.5 and ret_20d > 0.2657 and vol_pctile < 0.9)):
position = 0.8
if long and (ret_20d < -0.05 or macd_hist < 0.0 or close < sma_50 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.3% | 40.9% | 13.1% | 18.6% |
| Total Return | 170.3% | 180.0% | 59.0% | 1131.4% |
| Sharpe | 0.73 | 1.23 | 0.80 | 0.88 |
| Sortino | 0.59 | 1.16 | 0.58 | 0.71 |
| Calmar | 0.49 | 1.75 | 0.59 | 0.69 |
| Volatility | 19.6% | 32.1% | 17.2% | 22.2% |
| Max DD | -27.1% | -23.4% | -22.4% | -27.1% |
| Win Rate | 48.8% | 50.0% | 50.0% | 49.5% |
| Avg Win | 10.1% | 13.2% | 7.5% | 10.7% |
| Avg Loss | -3.6% | -3.4% | -2.7% | -3.3% |
| Payoff | 2.80 | 3.93 | 2.73 | 3.22 |
| Expectancy | 3.1% | 4.9% | 2.4% | 3.6% |
| Profit Factor | 2.67 | 3.93 | 2.73 | 3.15 |
| Trades | 43 | 26 | 22 | 91 |
| Avg Holding Days | 11.4 | 10.2 | 8.9 | 10.6 |
| Turnover | 8.7 | 13.9 | 9.4 | 9.9 |
| Exposure | 18.3% | 25.4% | 14.7% | 18.8% |
Growth of $100
LongTermTrend_V1432 vs TSLA Buy & Hold
LongTermTrend_V1432 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 | 6.1% | 0.70 | -8.2% | 2 |
| 2017 | 16.7% | 1.06 | -12.6% | 9 |
| 2018 | -14.0% | -1.22 | -17.4% | 5 |
| 2019 | 14.5% | 0.97 | -14.3% | 2 |
| 2020 | 163.2% | 2.29 | -16.9% | 8 |
| 2021 | 19.0% | 0.83 | -18.4% | 13 |
| 2022 | -11.0% | -0.65 | -14.3% | 5 |
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 | 14.4% | 1.22 | 4% |
| hidden test | EXPENSIVE | 83 | 46.2% | 1.98 | 26% |
| hidden test | EXTREME | 48 | 51.1% | 1.89 | 22% |
| hidden test | HIGH VOLATILITY | 254 | 18.7% | 0.93 | 12% |
| hidden test | LOW VOLATILITY | 442 | 22.2% | 1.36 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.9% | -0.39 | 11% |
| hidden test | NORMAL | 815 | 8.3% | 0.53 | 13% |
| hidden test | SIDEWAYS | 297 | -2.7% | -0.16 | 21% |
| hidden test | UPTREND | 371 | 26.6% | 1.30 | 18% |
| train | DOWNTREND | 518 | 4.6% | 0.73 | 4% |
| train | EXPENSIVE | 311 | 24.4% | 0.99 | 33% |
| train | EXTREME | 100 | 201.1% | 3.90 | 48% |
| train | HIGH VOLATILITY | 699 | 23.8% | 0.90 | 16% |
| train | LOW VOLATILITY | 745 | 16.6% | 1.23 | 23% |
| train | MEDIUM VOLATILITY | 568 | -0.3% | -0.02 | 15% |
| train | NORMAL | 1,601 | 0.7% | 0.05 | 14% |
| train | SIDEWAYS | 592 | -0.7% | -0.04 | 17% |
| train | UPTREND | 902 | 29.8% | 1.15 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 47.7% | 1.67 | 27% |
| validation | EXTREME | 144 | 165.8% | 2.87 | 49% |
| validation | HIGH VOLATILITY | 258 | 39.8% | 0.94 | 21% |
| validation | LOW VOLATILITY | 183 | 17.2% | 1.11 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 52.0% | 1.78 | 28% |
| validation | NORMAL | 474 | -1.4% | -0.07 | 18% |
| validation | SIDEWAYS | 206 | 5.0% | 0.24 | 21% |
| validation | UPTREND | 425 | 67.6% | 1.69 | 35% |
Trades (full period)
91 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-05 | 2026-05-21 | $389.37 | $417.85 | 4.93% | 13 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -2.46% | 10 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 11.72% | 16 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 8.42% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 2.42% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.43% | 2 | |
| 2024-11-25 | 2024-11-29 | $338.59 | $345.16 | -4.63% | 4 | |
| 2024-07-03 | 2024-07-22 | $246.39 | $251.51 | 2.72% | 13 | |
| 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 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.62% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-01 | 2023-06-27 | $207.52 | $250.21 | 14.30% | 18 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 19.98% | 19 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-01 | 2022-08-12 | $297.28 | $300.03 | -2.93% | 10 | |
| 2022-03-22 | 2022-04-11 | $331.33 | $325.31 | 8.97% | 15 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 25.59% | 22 | |
| 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 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -2.56% | 10 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -2.79% | 10 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 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 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.86% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 21.91% | 20 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -3.38% | 3 | |
| 2020-08-21 | 2020-09-08 | $136.67 | $110.07 | 3.70% | 12 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 21.05% | 17 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 5.58% | 18 | |
| 2020-04-20 | 2020-05-14 | $49.76 | $53.56 | 4.15% | 19 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 82.63% | 48 | |
| 2019-10-28 | 2019-11-21 | $21.85 | $23.66 | 5.71% | 19 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.65% | 18 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -4.11% | 4 | |
| 2018-11-05 | 2018-11-21 | $22.76 | $22.55 | 0.13% | 13 | |
| 2018-06-19 | 2018-06-26 | $23.50 | $22.80 | -8.35% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.61% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.04% | 12 | |
| 2017-06-02 | 2017-06-27 | $22.66 | $24.16 | 8.52% | 18 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-03-28 | 2017-04-21 | $18.50 | $20.37 | 9.37% | 18 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.29% | 8 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 15.10% | 29 | |
| 2016-04-07 | 2016-04-14 | $17.15 | $16.79 | -3.43% | 6 | |
| 2016-03-10 | 2016-04-01 | $13.68 | $15.84 | 7.88% | 16 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.13% | 8 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.87% | 4 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 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 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 16.98% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 6.41% | 16 | |
| 2013-12-27 | 2014-01-10 | $10.07 | $9.71 | -4.26% | 10 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 1.70% | 12 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 107.06% | 48 | |
| 2013-02-04 | 2013-02-14 | $2.52 | $2.55 | 0.17% | 9 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 5.24% | 28 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -2.29% | 7 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -3.70% | 11 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-14 | 2012-02-29 | $2.21 | $2.23 | 5.72% | 11 |