Strategy Zoo / S1436
LongTermTrend_V1436
ARCHIVEDhybridllmReduced base position to 0.8; added regime gates to avoid HIGH_VOLATILITY and EXTREME bubble states; simplified and strengthened entry to require positive long-term slope or short-term momentum with moderate volatility; added multiple protective exits (short-term and medium-term drawdown, and MACD-confirmed deterioration) to limit large drawdowns and improve robustness.
Fitness
0.2884
Generation
66
Complexity
21
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1436 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((sma_200_slope > 0.0 and ret_20d > 0.05 and cumret_252d > -0.1) or (sma_50_slope > 0.0 and ret_20d > 0.03 and momentum_60 > 0.0 and vol_pctile < 0.8) or ret_20d > 0.25):
position = 0.8
if long and (ret_5d < -0.05 or ret_20d < -0.08 or drawdown < -0.15 or (macd_hist < 0.0 and ret_5d < -0.02)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.8% | 29.5% | -11.8% | 0.7% |
| Total Return | -20.4% | 117.0% | -37.5% | 10.6% |
| Sharpe | -0.10 | 1.35 | -0.70 | 0.13 |
| Sortino | -0.07 | 1.22 | -0.44 | 0.09 |
| Calmar | -0.06 | 1.33 | -0.31 | 0.01 |
| Volatility | 16.0% | 20.7% | 16.0% | 17.1% |
| Max DD | -47.2% | -22.2% | -37.5% | -47.5% |
| Win Rate | 37.5% | 53.7% | 43.0% | 43.4% |
| Avg Win | 3.1% | 4.1% | 1.9% | 3.2% |
| Avg Loss | -2.3% | -1.9% | -2.2% | -2.2% |
| Payoff | 1.33 | 2.21 | 0.84 | 1.47 |
| Expectancy | -0.3% | 1.3% | -0.5% | 0.2% |
| Profit Factor | 0.80 | 2.57 | 0.63 | 1.13 |
| Trades | 112 | 67 | 93 | 272 |
| Avg Holding Days | 4.7 | 3.7 | 2.5 | 3.8 |
| Turnover | 22.5 | 35.7 | 39.6 | 29.5 |
| Exposure | 17.2% | 19.0% | 12.2% | 16.3% |
Growth of $100
LongTermTrend_V1436 vs TSLA Buy & Hold
LongTermTrend_V1436 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 | -4.7% | -0.49 | -10.0% | 9 |
| 2017 | 8.2% | 0.57 | -15.1% | 20 |
| 2018 | -10.8% | -0.87 | -15.6% | 5 |
| 2019 | -3.4% | -0.12 | -21.5% | 13 |
| 2020 | 66.4% | 2.62 | -6.3% | 7 |
| 2021 | 17.3% | 0.75 | -22.2% | 40 |
| 2022 | 7.9% | 0.58 | -11.6% | 20 |
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% | -1.15 | 1% |
| hidden test | EXPENSIVE | 83 | -19.0% | -0.70 | 37% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.4% | -0.51 | 1% |
| hidden test | LOW VOLATILITY | 442 | 9.6% | 0.64 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -52.8% | -2.60 | 17% |
| hidden test | NORMAL | 815 | -11.1% | -0.74 | 10% |
| hidden test | SIDEWAYS | 297 | -31.3% | -1.68 | 16% |
| hidden test | UPTREND | 371 | -2.1% | -0.11 | 18% |
| train | DOWNTREND | 518 | -2.5% | -0.46 | 1% |
| train | EXPENSIVE | 311 | 29.9% | 1.34 | 33% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -0.4% | -0.03 | 1% |
| train | LOW VOLATILITY | 745 | 8.3% | 0.52 | 32% |
| train | MEDIUM VOLATILITY | 568 | -15.9% | -0.89 | 18% |
| train | NORMAL | 1,601 | -8.4% | -0.56 | 15% |
| train | SIDEWAYS | 592 | -20.8% | -1.46 | 13% |
| train | UPTREND | 902 | 11.6% | 0.57 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 93.5% | 3.22 | 39% |
| validation | EXTREME | 144 | 30.6% | 2.27 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.5% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 24.5% | 1.71 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 58.3% | 2.03 | 28% |
| validation | NORMAL | 474 | 8.1% | 0.41 | 19% |
| validation | SIDEWAYS | 206 | 2.6% | 0.17 | 14% |
| validation | UPTREND | 425 | 48.5% | 1.91 | 27% |
Trades (full period)
latest 100 of 272
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-22 | 2026-06-02 | $426.01 | $423.74 | -0.51% | 7 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -5.81% | 3 | |
| 2025-10-14 | 2025-11-05 | $429.24 | $462.07 | 1.47% | 17 | |
| 2025-10-09 | 2025-10-13 | $435.54 | $435.90 | -4.75% | 3 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 3.78% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 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 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.99% | 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 | |
| 2025-08-15 | 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 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.89% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 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 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 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 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.82% | 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 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.64% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.33% | 2 | |
| 2023-04-14 | 2023-04-17 | $185.00 | $187.04 | -0.55% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -2.83% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.40% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -5.60% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.10% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 |