Strategy Zoo / S1458
LongTermTrend_V1458
ARCHIVEDhybridllmSimplified and strengthened entry rules into two robust branches (trend-following above 200 SMA + momentum; breakout with recent momentum and controlled volatility) to reduce overfitting. Added multi-condition exit (20d loss, close below SMA50, or portfolio drawdown) to limit large declines. Added regime gates to restrict trading to non-high-volatility and non-extreme-bubble regimes. Reduced base_position to 0.75 to lower leverage/exposure.
Fitness
0.1575
Generation
67
Complexity
17
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1458 [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 ret_20d > 0.05) or (breakout_20 > 0.0 and ret_5d > 0.02 and vol_pctile < 0.8) or ret_20d > 0.25):
position = 0.75
if long and (ret_20d < -0.02 or close < sma_50 or drawdown > 0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.2% | 5.0% | -2.6% | -0.3% |
| Total Return | -9.2% | 15.9% | -9.6% | -4.8% |
| Sharpe | -0.01 | 0.38 | -0.07 | 0.06 |
| Sortino | -0.01 | 0.23 | -0.04 | 0.04 |
| Calmar | -0.03 | 0.24 | -0.10 | -0.01 |
| Volatility | 14.6% | 16.7% | 17.4% | 15.8% |
| Max DD | -41.0% | -20.9% | -27.1% | -41.0% |
| Win Rate | 35.3% | 45.5% | 39.1% | 38.2% |
| Avg Win | 6.1% | 8.0% | 7.4% | 6.9% |
| Avg Loss | -3.5% | -3.2% | -5.0% | -4.0% |
| Payoff | 1.72 | 2.46 | 1.48 | 1.74 |
| Expectancy | -0.1% | 1.9% | -0.1% | 0.2% |
| Profit Factor | 0.94 | 2.05 | 0.95 | 1.08 |
| Trades | 34 | 11 | 23 | 68 |
| Avg Holding Days | 12.4 | 15.5 | 9.2 | 11.8 |
| Turnover | 6.4 | 5.5 | 9.4 | 7.0 |
| Exposure | 14.5% | 15.9% | 15.1% | 14.9% |
Growth of $100
LongTermTrend_V1458 vs TSLA Buy & Hold
LongTermTrend_V1458 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 | -11.2% | -1.25 | -12.8% | 5 |
| 2017 | 11.6% | 1.68 | -4.1% | 2 |
| 2018 | -13.2% | -1.21 | -14.4% | 3 |
| 2019 | 4.0% | 0.29 | -14.8% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 17.9% | 0.85 | -17.1% | 8 |
| 2022 | -1.8% | -0.00 | -20.9% | 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 | -2.6% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 32.1% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -18.9% | -1.13 | 2% |
| hidden test | LOW VOLATILITY | 442 | 13.5% | 0.82 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -9.0% | -0.46 | 14% |
| hidden test | NORMAL | 815 | -4.6% | -0.25 | 17% |
| hidden test | SIDEWAYS | 297 | -27.4% | -1.45 | 23% |
| hidden test | UPTREND | 371 | 21.0% | 0.96 | 20% |
| train | DOWNTREND | 518 | -4.8% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 6.1% | 1.29 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.6% | 0.04 | 1% |
| train | LOW VOLATILITY | 745 | 15.4% | 1.01 | 29% |
| train | MEDIUM VOLATILITY | 568 | -21.4% | -1.47 | 13% |
| train | NORMAL | 1,601 | -1.4% | -0.08 | 18% |
| train | SIDEWAYS | 592 | -13.2% | -0.85 | 15% |
| train | UPTREND | 902 | 11.1% | 0.63 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -6.1% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 24.7% | 1.65 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 5.8% | 0.27 | 16% |
| validation | NORMAL | 474 | 10.1% | 0.48 | 25% |
| validation | SIDEWAYS | 206 | -9.3% | -0.46 | 24% |
| validation | UPTREND | 425 | 15.7% | 0.91 | 17% |
Trades (full period)
69 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | 0.33% | 3 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -5.76% | 2 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.80% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.67% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.85% | 19 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 12.06% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.44% | 9 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -13.61% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.16% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.91% | 2 | |
| 2024-09-24 | 2024-10-14 | $254.27 | $219.16 | -9.83% | 15 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.30% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.48% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 16.73% | 11 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -2.50% | 3 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.64% | 29 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.32% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.27% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.00% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.50% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.06% | 9 | |
| 2023-05-31 | 2023-08-02 | $203.93 | $254.11 | 21.91% | 44 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -8.13% | 4 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.35% | 20 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.12% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.79% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -0.89% | 6 | |
| 2021-08-02 | 2021-11-10 | $236.56 | $355.98 | 35.43% | 72 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.59% | 22 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.20% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.67% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 0.81% | 2 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -3.95% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -8.58% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.53% | 17 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 12.34% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.01% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.60% | 5 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -2.43% | 14 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.25% | 3 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -7.00% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.97% | 10 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 11.65% | 19 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -0.95% | 2 | |
| 2016-07-29 | 2016-08-18 | $15.65 | $14.90 | -2.53% | 15 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.10% | 3 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.65% | 21 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.40% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -4.76% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.64% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.81% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 6.94% | 64 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.73% | 5 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.16% | 10 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 6.59% | 31 | |
| 2014-06-16 | 2014-07-16 | $14.97 | $14.48 | 4.76% | 22 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.50% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.27% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.58% | 5 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 12.59% | 5 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.18% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.09% | 3 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 5.04% | 45 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.94% | 4 | |
| 2012-07-06 | 2012-07-20 | $2.07 | $2.12 | 2.46% | 11 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.82% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.47% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.07% | 38 |