Strategy Zoo / S1461
LongTermTrend_V1461
ARCHIVEDhybridllmAdded conservative regime gates (allow only UPTREND/SIDEWAYS and non-EXTREME bubble, restrict to LOW/MEDIUM vol); simplified and strengthened entry to require either long-term price strength (close>200sma), a rising 50sma regime, or strong 20d momentum; tightened short-term entry filter (ret_1d > -3%) and improved drawdown/cumret guards; improved exits to include larger 20d and 1d drawdowns and an absolute drawdown cutoff; added volatility-based position scaling to reduce size in higher volatility.
Fitness
0.0661
Generation
67
Complexity
17
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1461 [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 or (sma_50 > sma_200 and sma_50_slope > 0.0) or ret_20d > 0.08) and ret_1d > -0.03 and cumret_252d > -0.3 and drawdown < 0.35):
position = 1.0
if long and (ret_20d < -0.03 or ret_1d < -0.08 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.9% | 3.3% | -13.9% | -6.8% |
| Total Return | -43.6% | 10.3% | -42.9% | -64.5% |
| Sharpe | -0.18 | 0.26 | -0.40 | -0.14 |
| Sortino | -0.13 | 0.21 | -0.32 | -0.11 |
| Calmar | -0.10 | 0.08 | -0.25 | -0.09 |
| Volatility | 23.9% | 29.3% | 27.7% | 26.1% |
| Max DD | -69.0% | -40.1% | -56.6% | -73.5% |
| Win Rate | 43.9% | 41.9% | 32.9% | 40.0% |
| Avg Win | 3.6% | 6.9% | 4.7% | 4.5% |
| Avg Loss | -3.4% | -3.9% | -3.1% | -3.4% |
| Payoff | 1.06 | 1.77 | 1.52 | 1.33 |
| Expectancy | -0.3% | 0.6% | -0.5% | -0.2% |
| Profit Factor | 0.83 | 1.28 | 0.75 | 0.89 |
| Trades | 123 | 43 | 79 | 245 |
| Avg Holding Days | 5.7 | 6.2 | 4.7 | 5.4 |
| Turnover | 30.8 | 28.7 | 42.1 | 33.2 |
| Exposure | 28.7% | 29.4% | 30.5% | 29.3% |
Growth of $100
LongTermTrend_V1461 vs TSLA Buy & Hold
LongTermTrend_V1461 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 | -31.2% | -1.79 | -38.1% | 18 |
| 2017 | 22.1% | 1.59 | -9.8% | 18 |
| 2018 | -18.6% | -1.20 | -22.9% | 4 |
| 2019 | 0.0% | 0.14 | -26.2% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 35.6% | 1.00 | -30.6% | 22 |
| 2022 | -28.3% | -0.89 | -30.9% | 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 | -11.2% | -2.01 | 2% |
| hidden test | EXPENSIVE | 83 | 42.5% | 2.42 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -25.0% | -1.12 | 2% |
| hidden test | LOW VOLATILITY | 442 | -7.4% | -0.27 | 45% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.4% | -0.10 | 33% |
| hidden test | NORMAL | 815 | -17.2% | -0.59 | 35% |
| hidden test | SIDEWAYS | 297 | -63.5% | -1.93 | 46% |
| hidden test | UPTREND | 371 | 31.0% | 0.96 | 40% |
| train | DOWNTREND | 518 | -17.9% | -1.11 | 2% |
| train | EXPENSIVE | 311 | 15.2% | 2.05 | 3% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -8.9% | -0.38 | 2% |
| train | LOW VOLATILITY | 745 | 17.5% | 0.76 | 50% |
| train | MEDIUM VOLATILITY | 568 | -27.2% | -1.07 | 33% |
| train | NORMAL | 1,601 | -8.3% | -0.31 | 36% |
| train | SIDEWAYS | 592 | -28.4% | -1.10 | 33% |
| train | UPTREND | 902 | 19.3% | 0.74 | 41% |
| validation | DOWNTREND | 125 | -14.2% | -2.08 | 2% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -6.7% | -0.31 | 2% |
| validation | LOW VOLATILITY | 183 | 19.3% | 0.77 | 62% |
| validation | MEDIUM VOLATILITY | 315 | 12.5% | 0.34 | 33% |
| validation | NORMAL | 474 | 12.1% | 0.33 | 47% |
| validation | SIDEWAYS | 206 | -31.4% | -0.83 | 50% |
| validation | UPTREND | 425 | 32.9% | 1.15 | 27% |
Trades (full period)
latest 100 of 245
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -3.28% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 3.95% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 1.60% | 6 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -6.84% | 2 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 16.22% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-28 | 2025-08-04 | $325.59 | $309.26 | -4.44% | 6 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-09 | 2025-07-10 | $295.88 | $309.87 | -0.85% | 2 | |
| 2025-06-03 | 2025-06-06 | $344.27 | $295.14 | -17.09% | 4 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -4.63% | 2 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -8.76% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-08-30 | 2024-09-09 | $214.11 | $216.27 | 1.96% | 6 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 22.50% | 11 | |
| 2024-01-25 | 2024-01-26 | $182.63 | $183.25 | -12.31% | 2 | |
| 2024-01-23 | 2024-01-24 | $209.14 | $207.83 | -0.04% | 2 | |
| 2024-01-19 | 2024-01-22 | $212.19 | $208.80 | -0.05% | 2 | |
| 2024-01-17 | 2024-01-18 | $215.55 | $211.88 | -2.18% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-29 | 2023-10-02 | $250.22 | $251.60 | 1.36% | 2 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -3.08% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 2 | |
| 2023-08-18 | 2023-08-21 | $215.49 | $231.28 | -1.90% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-07-24 | 2023-08-02 | $269.06 | $254.11 | 0.21% | 8 | |
| 2023-05-31 | 2023-07-21 | $203.93 | $260.02 | 30.43% | 36 | |
| 2023-02-28 | 2023-03-08 | $205.71 | $182.00 | -9.78% | 7 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -9.20% | 8 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -3.28% | 20 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 4.57% | 2 | |
| 2022-05-02 | 2022-05-03 | $300.98 | $303.08 | 3.49% | 2 | |
| 2022-04-28 | 2022-04-29 | $292.50 | $290.25 | -0.65% | 2 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -4.81% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-02-22 | 2022-02-23 | $273.84 | $254.68 | -4.33% | 2 | |
| 2022-02-17 | 2022-02-18 | $292.12 | $285.66 | -5.29% | 2 | |
| 2022-02-15 | 2022-02-16 | $307.48 | $307.80 | 5.12% | 2 | |
| 2022-02-10 | 2022-02-11 | $301.52 | $286.67 | -3.14% | 2 | |
| 2022-02-08 | 2022-02-09 | $307.33 | $310.67 | 1.41% | 2 | |
| 2022-02-04 | 2022-02-07 | $307.77 | $302.45 | 3.41% | 2 | |
| 2022-02-02 | 2022-02-03 | $301.89 | $297.05 | -2.95% | 2 | |
| 2022-01-27 | 2022-01-28 | $276.37 | $282.12 | -11.74% | 2 | |
| 2022-01-25 | 2022-01-26 | $306.13 | $312.47 | -1.45% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-12-30 | 2022-01-04 | $356.78 | $383.20 | 10.24% | 4 |