Strategy Zoo / S1462
LongTermTrend_V1462
ARCHIVEDhybridllmAdded regime gates to avoid trades in high-volatility or bubble states; simplified and strengthened entry to require shorter-term trend (price > sma_50 or strong 20d return) plus positive sma_50 slope and relaxed annual drawdown cap; improved exit with a larger 20d loss threshold, a sma_50 cross-down exit, and a hard drawdown stop; introduced volatility-based position scaling (smaller size in high vol) and reduced base position to lower risk.
Fitness
0.1557
Generation
67
Complexity
13
Created
2026-10-10
Lineage
Parents (1)
entry from LongTermTrend_V0605, exit from PriceMomentum_V0828
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1462 [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_50 or ret_20d > 0.05) and sma_50_slope > 0.0 and cumret_252d > -0.25):
position = 0.7
if long and (ret_20d < -0.02 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.0% | -0.3% | -9.4% | -1.5% |
| Total Return | 17.4% | -1.0% | -31.0% | -19.7% |
| Sharpe | 0.23 | 0.04 | -0.74 | -0.06 |
| Sortino | 0.15 | 0.02 | -0.41 | -0.04 |
| Calmar | 0.11 | -0.01 | -0.25 | -0.03 |
| Volatility | 12.2% | 13.1% | 12.3% | 12.4% |
| Max DD | -18.4% | -29.3% | -37.8% | -51.9% |
| Win Rate | 44.9% | 46.3% | 41.9% | 44.2% |
| Avg Win | 2.2% | 2.3% | 1.8% | 2.1% |
| Avg Loss | -1.4% | -1.9% | -2.1% | -1.8% |
| Payoff | 1.57 | 1.23 | 0.84 | 1.18 |
| Expectancy | 0.2% | 0.1% | -0.5% | -0.1% |
| Profit Factor | 1.28 | 1.06 | 0.61 | 0.94 |
| Trades | 89 | 54 | 74 | 217 |
| Avg Holding Days | 4.8 | 2.9 | 2.4 | 3.5 |
| Turnover | 15.6 | 25.2 | 27.8 | 20.7 |
| Exposure | 11.7% | 9.4% | 8.0% | 10.3% |
Growth of $100
LongTermTrend_V1462 vs TSLA Buy & Hold
LongTermTrend_V1462 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 | -5.5% | -0.70 | -11.6% | 18 |
| 2017 | 10.6% | 1.93 | -1.6% | 13 |
| 2018 | -11.7% | -0.98 | -12.8% | 4 |
| 2019 | 27.5% | 1.65 | -5.3% | 13 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.6% | 0.71 | -19.7% | 27 |
| 2022 | -12.1% | -1.00 | -14.3% | 27 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 14.1% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -11.5% | -1.45 | 1% |
| hidden test | LOW VOLATILITY | 442 | -2.3% | -0.20 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | -18.8% | -1.13 | 8% |
| hidden test | NORMAL | 815 | -12.0% | -0.93 | 9% |
| hidden test | SIDEWAYS | 297 | -20.8% | -1.93 | 8% |
| hidden test | UPTREND | 371 | -6.6% | -0.39 | 14% |
| train | DOWNTREND | 518 | 1.7% | 0.57 | 0% |
| train | EXPENSIVE | 311 | 8.9% | 1.79 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 1.3% | 0.11 | 1% |
| train | LOW VOLATILITY | 745 | 13.5% | 1.05 | 23% |
| train | MEDIUM VOLATILITY | 568 | -9.6% | -0.82 | 10% |
| train | NORMAL | 1,601 | 1.7% | 0.13 | 14% |
| train | SIDEWAYS | 592 | -1.9% | -0.27 | 5% |
| train | UPTREND | 902 | 6.4% | 0.38 | 23% |
| 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 | -11.5% | -1.10 | 1% |
| validation | LOW VOLATILITY | 183 | 6.4% | 0.48 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 7.0% | 0.47 | 9% |
| validation | NORMAL | 474 | 0.8% | 0.05 | 15% |
| validation | SIDEWAYS | 206 | -5.4% | -0.47 | 6% |
| validation | UPTREND | 425 | 3.5% | 0.23 | 14% |
Trades (full period)
latest 100 of 218
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | — | $382.70 | — | 1.37% | 1 | OPEN |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.67% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -3.21% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -4.19% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.24% | 2 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.14% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -2.24% | 2 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -5.56% | 4 | |
| 2026-05-20 | 2026-06-02 | $417.26 | $423.74 | 1.94% | 9 | |
| 2026-05-14 | 2026-05-19 | $443.30 | $404.11 | -5.71% | 4 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.21% | 3 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.39% | 21 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -4.79% | 2 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 4.09% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.40% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.86% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.59% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.55% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.22% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.50% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.39% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.62% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.71% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.20% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -6.28% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.13% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.73% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.35% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.21% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.79% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.11% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.26% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 4.44% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.09% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.23% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.59% | 2 | |
| 2024-06-06 | 2024-06-07 | $177.94 | $177.48 | 1.04% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -0.74% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.42% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.36% | 2 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -1.74% | 2 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.27% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.95% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.80% | 2 | |
| 2023-07-28 | 2023-07-31 | $266.44 | $267.43 | 2.80% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.39% | 2 | |
| 2023-07-24 | 2023-07-25 | $269.06 | $265.28 | 2.29% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -6.95% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.57% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.74% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.43% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.37% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.61% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 4.68% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.20% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.52% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.26% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.96% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.66% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.41% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.07% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.05% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.03% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.82% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.79% | 2 | |
| 2022-09-23 | 2022-09-26 | $275.33 | $276.01 | -3.35% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -1.94% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.18% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.12% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.96% | 2 | |
| 2022-09-09 | 2022-09-12 | $299.68 | $304.42 | 2.38% | 2 | |
| 2022-09-07 | 2022-09-08 | $283.70 | $289.26 | 2.23% | 2 | |
| 2022-09-01 | 2022-09-02 | $277.16 | $270.21 | 0.25% | 2 | |
| 2022-08-30 | 2022-08-31 | $277.70 | $275.61 | -1.89% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.03% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.73% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.40% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.76% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.13% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.58% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.41% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.14% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.64% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.97% | 2 | |
| 2022-04-25 | 2022-04-26 | $332.67 | $292.14 | -0.63% | 2 | |
| 2022-04-21 | 2022-04-22 | $336.26 | $335.02 | 2.12% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.52% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.70% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.65% | 2 |