Strategy Zoo / S1459
LongTermTrend_V1459
ARCHIVEDhybridllmAdded regime gates to avoid downtrends, high volatility, and bubble states; simplified and diversified entry signals to include SMA-200 breakouts, 20d momentum and 50-day trend confirmation; tightened long-term cumulative-return filter; replaced single tight 20d-exit with multi-condition exit (large 20d loss, break below SMA-50, or sizable drawdown); introduced volatility- and drawdown-based position sizing (scale up in low-volatility strong momentum, scale down in high vol or after drawdown) and reduced base position to lower tail risk.
Fitness
0.0894
Generation
67
Complexity
20
Created
2026-10-10
Lineage
Parents (1)
changed ret_1d threshold -0.0578 -> -0.0437
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1459 [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) or (ret_20d > 0.05 and ret_1d > -0.05) or (sma_50_slope > 0.0 and dist_sma_50 > 0.0)) and cumret_252d > -0.3 and ret_1d > -0.05):
position = 0.8
if long and (ret_20d < -0.05 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.6% | -3.4% | -10.3% | -4.2% |
| Total Return | -12.1% | -9.9% | -33.4% | -47.2% |
| Sharpe | -0.00 | -0.08 | -0.53 | -0.15 |
| Sortino | -0.00 | -0.07 | -0.46 | -0.12 |
| Calmar | -0.04 | -0.11 | -0.21 | -0.07 |
| Volatility | 17.7% | 19.6% | 17.5% | 18.1% |
| Max DD | -39.3% | -30.9% | -47.8% | -57.4% |
| Win Rate | 45.1% | 43.1% | 42.2% | 43.6% |
| Avg Win | 2.2% | 2.6% | 1.9% | 2.2% |
| Avg Loss | -1.8% | -2.0% | -1.8% | -1.8% |
| Payoff | 1.19 | 1.28 | 1.08 | 1.17 |
| Expectancy | -0.0% | -0.0% | -0.2% | -0.1% |
| Profit Factor | 0.98 | 0.97 | 0.78 | 0.91 |
| Trades | 184 | 109 | 166 | 459 |
| Avg Holding Days | 3.7 | 2.5 | 2.2 | 2.9 |
| Turnover | 36.9 | 58.1 | 71.0 | 49.9 |
| Exposure | 19.6% | 17.1% | 17.3% | 18.5% |
Growth of $100
LongTermTrend_V1459 vs TSLA Buy & Hold
LongTermTrend_V1459 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 | -13.5% | -1.30 | -17.9% | 26 |
| 2017 | 4.2% | 0.40 | -12.2% | 25 |
| 2018 | -7.6% | -0.53 | -13.0% | 3 |
| 2019 | 16.7% | 1.50 | -7.6% | 14 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 1.9% | 0.21 | -25.3% | 66 |
| 2022 | -11.6% | -0.51 | -19.2% | 42 |
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 | -7.7% | -1.84 | 1% |
| hidden test | EXPENSIVE | 83 | 16.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.8% | -1.18 | 1% |
| hidden test | LOW VOLATILITY | 442 | -0.2% | -0.01 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.9% | -0.97 | 17% |
| hidden test | NORMAL | 815 | -12.4% | -0.67 | 20% |
| hidden test | SIDEWAYS | 297 | -25.7% | -1.31 | 28% |
| hidden test | UPTREND | 371 | 2.6% | 0.12 | 21% |
| train | DOWNTREND | 518 | -13.6% | -1.07 | 1% |
| train | EXPENSIVE | 311 | 22.3% | 1.76 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -5.9% | -0.35 | 1% |
| train | LOW VOLATILITY | 745 | 13.3% | 0.78 | 34% |
| train | MEDIUM VOLATILITY | 568 | -10.3% | -0.52 | 24% |
| train | NORMAL | 1,601 | -4.4% | -0.23 | 24% |
| train | SIDEWAYS | 592 | -1.5% | -0.08 | 19% |
| train | UPTREND | 902 | 8.8% | 0.44 | 31% |
| validation | DOWNTREND | 125 | -11.3% | -2.08 | 1% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -16.0% | -1.18 | 1% |
| validation | LOW VOLATILITY | 183 | -7.8% | -0.44 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 13.9% | 0.57 | 20% |
| validation | NORMAL | 474 | -2.5% | -0.10 | 27% |
| validation | SIDEWAYS | 206 | -32.1% | -1.39 | 26% |
| validation | UPTREND | 425 | 16.1% | 0.79 | 18% |
Trades (full period)
latest 100 of 460
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | — | $382.70 | — | 1.56% | 1 | OPEN |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -3.69% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -4.79% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.42% | 2 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.30% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -2.56% | 2 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -6.34% | 4 | |
| 2026-05-20 | 2026-06-02 | $417.26 | $423.74 | 2.20% | 9 | |
| 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 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.93% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.56% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.23% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.24% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.32% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.35% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.41% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.35% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.64% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.18% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.76% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -2.92% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -0.95% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.21% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.16% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.35% | 2 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.20% | 4 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.65% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.47% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.63% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.33% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.51% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.15% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.00% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.39% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.74% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -5.47% | 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 | |
| 2025-09-03 | 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 | |
| 2025-08-19 | 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 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.30% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 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 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.70% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -3.70% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -2.59% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 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 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.18% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.35% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.18% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.82% | 2 | |
| 2024-06-06 | 2024-06-07 | $177.94 | $177.48 | 1.18% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -0.85% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.48% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.51% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 0.84% | 2 | |
| 2024-01-04 | 2024-01-05 | $237.93 | $237.49 | -0.33% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.18% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 |